DETERMINANTS OF CONSUMER PRICE INDEX IN NIGER REPUBLIC: SOME EVIDENCE FROM NONLINEAR COINTEGRATION AND ERROR CORRECTION MODEL

Yıl 2023, Cilt: 11 Sayı: 1, 1 - 20, 30.06.2023

Ali Çelik , Hamidou Taffa Abdoul-azize

https://doi.org/10.54429/seyad.1178207

Öz

This study investigates the causal relationships between Gross Domestic Product (GDP) per capita, Exchange Rate (ER), Globalization (GI), Urbanization (UP), Carbon Dioxide emissions (CO2), and consumer price index (CPI). The nonlinear cointegration and error correction model (ECM) of Kapetanios, Shin, and Snell (2006) was used to investigate the short-run and long run relationships between inflation and the above-mentioned variables during the 1990-2019s in the Republic of Niger. The results of nonlinear cointegration showed the existence of a cointegration relationship between CPI, GDP, GI, UP and CO2 and those of the error correction model revealed the existence of a relationship between UP and CPI. In addition, the results of Linear Granger causality tests showed bidirectional causal linkages running from CPI to CO2 and from CO2 to CPI, causal linkage running from CPI to GI, and a unidirectional causal linkage running from GDP to CPI. Consequently, the study ends up with some recommendations for the policy and decision-makers to increase the welfare of the country.

Anahtar Kelimeler

Consumer Price Index, GDP, Globalization, KSS (2006) Nonlinear Cointegration Analysis, Error Correction Model

Nijer Cumhuriyetinde Tüketici Fiyat Endeksinin Belirleyicileri: Doğrusal Olmayan Eşbütünleşme ve Hata Düzeltme Modelinden Bazı Bulgular

Öz

Bu çalışmada, kişi başına Gayri Safi Yurtiçi Hasıla (GSYİH), Döviz Kuru (ER), Küreselleşme (GI), Kentleşme (UP) ve Karbon Dioksit emisyonu (CO2) ile tüketici fiyat endeksi (TÜFE) arasındaki nedensellik ilişkisi incelenmektedir. Bu çerçevede Nijer Cumhuriyeti için 1990-2019 tarih aralığındaki yıllık verilerden yararlanarak Kapetanios, Shin ve Snell'in (2006) doğrusal olmayan eş bütünleşme ve hata düzeltme modeli (ECM) temelinde enflasyou etkileyen faktörler araştrılmaktadır. Doğrusal olmayan eş bütünleşme sonuçları, TÜFE, GSYİH, GI, UP ve CO2 arasında bir eş bütünleşme ilişkisinin varlığını gösterirken, hata düzeltme modeli sonuçları, UP ile TÜFE arasında bir ilişkinin varlığını ortaya koymaktadır. Ayrıca, doğrusal Granger nedensellik testi sonuçları, TÜFE'den CO2'ye ve CO2'den TÜFE'ye çift yönlü nedensellik ilişkisinin varlığını yansıtırken, TÜFE'den GI'ya ve GSYİH'dan TÜFE'ye doğru tek yönlü nedensellik ilişkisinin varlığını göstermektedir. Sonuç olarak çalışma, ülke refahını artırmak için politika yapıcılara ve ekonomik karar vericilere bazı öneriler sunarak son bulmaktadır.

Anahtar Kelimeler

Tüketici Fiyat Endeksi, GSYİH, Küreselleşme, KSS (2006) Doğrusal Olmayan Eşbütünleşme Analizi, Hata Düzeltme Modeli

Kaynakça

• Adenuga, I. A., Bello, H. T., & Ejumedia, P. E. (2012). Is inflation a purely monetary phenomenon? empirical investigation from nigeria. (1970–2009). European Scientific Journal, 8(17).
• Adu, G., & Marbuah, G. (2011). Determinants of inflation in Ghana: An empirical investigation. South African Journal of Economics, 79(3), 251-269.
• Aisen, A., & Veiga, F. J. (2006). Does political instability lead to higher inflation? A panel data analysis. Journal of Money, Credit and Banking, 1379-1389.
• Altowaijri, H. A. (2011). Determinants of inflation in Saudi Arabia. World Review of Business Research, 1(4), 109-114.
• Andrews, D., Oberoi, J., Wirjanto, T., & Zhou, C. (2018). Demography and inflation: An international study. North American Actuarial Journal, 22(2), 210-222.
• Asghar, N., Jaffri, A. A., & Asjed, R. (2013). An empirical investigation of domestic and external determinants of inflation in Pakistan. Pakistan Economic and Social Review, 55-70.
• Aurangzeb, A. U. H., & Haq, U. A. (2012). Determinants of inflation in Pakistan. University Journals of Management and Social Sciences, 2(4), 89-96.
• Ayodeji, I. O. (2020). Panel logit regression analysis of the effects of corruption on inflation pattern in the Economic Community of West African states. Heliyon, 6(12), e05637.
• Bandara, R. (2011). The determinants of inflation in Sri Lanka: An application of the vector autoregression model. South Asia Economic Journal, 12(2), 271-286.
• Bashir, F., Nawaz, S., Yasin, K., Khursheed, U., Khan, J., & Qureshi, M. J. (2011). Determinants of inflation in Pakistan: An econometric analysis using Johansen co-integration approach. Australian Journal of Business and Management Research, 1(5), 71.
• Bobeica, E., Nickel, C., Lis, E., & Sun, Y. (2017). Demographics and inflation (No. 2006). ECB working paper.
• Brock, W., Dechert, W., and Scheinkman, J. (1987). A Test for independence based on the correlation dimension. University of Wisconsin at Madison, department of economics working paper.
• Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American statistical association, 74(366a), 427-431.
• Diks, C., & Panchenko, V. (2006). A new statistic and practical guidelines for nonparametric Granger causality testing. Journal of Economic Dynamics and Control, 30(9-10), 1647-1669.
• Fenira, M. (2014). Democracy: a determinant factor in reducing inflation. International Journal of Economics and Financial Issues, 4(2), 363-375.
• Fodjou, W., Noula, A. G., & Mevamba-Chekem, J (2021). Economic Resilience in Sub-Saharan Africa: An Analysis of the Determinants.
• Gonzalez, A., & Holt, R. D. (2002). The inflationary effects of environmental fluctuations in source–sink systems. Proceedings of the National Academy of Sciences, 99(23), 14872-14877.
• Greenidge, K., & DaCosta, D. (2009). Determinants of Inflation in Selected Caribbean Countries. Journal of Business, Finance & Economics in Emerging Economies, 4(2).
• Güriş, B. (2020). R uygulamalı doğrusal olmayan zaman serisi analizi, Der yayınları, İstanbul.
• Gyebi, F., & Boafo, G. K. (2013). Macroeconomic determinants of inflation in Ghana from 1990-2009. International journal of business and social research (IJBSR), 3(6), 81-93.
• Inim, V., Samuel, U. E., & Prince, A. I. (2020). Other determinants of inflation in Nigeria. European Journal of Sustainable Development, 9(2), 338-338.
• Islam, M. M., Alharthi, M., & Murad, M. W. (2021). The effects of carbon emissions, rainfall, temperature, inflation, population, and unemployment on economic growth in Saudi Arabia: An ARDL investigation. Plos one, 16(4), e0248743.
• Jelilov, G., Obasa, O. J., & Isik, A. (2016). Impact of inflation and unemployment on economic growth in ten (10) selected member’s states of economic community of West Africa States (ECOWAS)(2001-2014). Advances in Economics and Business, 4(5), 222-244.
• Kapetanios, G., Shin, Y., & Snell, A. (2006). Testing for cointegration in nonlinear smooth transition error correction models. Econometric Theory, 22(2), 279-303.
• Keho, Y. (2016). Budget deficits, money supply and price level in West Africa. Journal of Economic & Financial Studies, 4(05), 01-08.
• Khan, M., Ali, W., & Khan, A. (2021). Does Globalization Matter for Inflation in Pakistan? Empirical Evidence from Global Slack Hypothesis. Business & Economic Review, 13(2), 111-148.
• Khan, R. E. A., & Gill, A. R. (2010). Determinants of inflation: A case of Pakistan (1970-2007). Journal of economics, 1(1), 45-51.
• Khan, S. U., & Saqib, O. F. (2011). Political instability and inflation in Pakistan. Journal of Asian economics, 22(6), 540-549.
• Khani Hoolari, S. M., Abounoori, A. A., & Mohammadi, T. (2014). The Effect of Governance and Political Instability Determinants on Inflation in Iran.
• Kim, B. Y. (2001). Determinants of inflation in Poland: A structural cointegration approach (No. 16/2001). BOFIT Discussion Papers.
• Kirimi, W. N. (2014). The determinants of inflation in Kenya (1970–2013) (Doctoral dissertation, University of Nairobi).
• Lim, Y. C., & Sek, S. K. (2015). An examination on the determinants of inflation. Journal of Economics, Business and Management, 3(7), 678-682.
• Menji, S. (2008). Determinants of recent inflation in ethiopia. Bachelor Degree thesis, Unity University.
• Mohamed, J. (2020). Time Series Modeling and Forecasting of Somaliland Consumer Price Index: A Comparison of ARIMA and Regression with ARIMA Errors. American Journal of Theoretical and Applied Statistics, 9(4), 143-153.
• Ong, T. S., & Chang, Y. S. (2013). Macroeconomic determinants of Malaysian housing market. Human and Social Science Research, 1(2), 119-127.
• Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.
• Pitigala, N., & Lopez-Calix, J. (2021). Trade policy options for export diversification: The case of Mali, Chad, Niger, and Guinea. Journal of Infrastructure, Policy and Development, 4(2), 261-286.
• Ratnasiri, H. P. G. S. (2011). The main determinants of inflation in Sri Lanka: A VAR based analysis. Staff studies, 39(1).
• Saleem F. F., Haider Z., S. Shoukat, S. Shafiq, A. Zahid, A. Shahzad, and W. Hassan, “Determinants of inflation in Pakistan,” Interdisciplinary Journal of Contemporary Research in Business, vol. 4, no. 9, pp. 245-253, 2013
• Suzuki, M. (1993). Domestic political determinants of inflation. European Journal of Political Research, 23(3), 245-259.
• Telatar, E., Telatar, F., Cavusoglu, T., & Tosun, U. (2010). Political instability, political freedom and inflation. Applied Economics, 42(30), 3839-3847.
• Westelius, M. N. J., & Liu, Y. (2016). The impact of demographics on productivity and inflation in Japan. International Monetary Fund.
• Yoon, J. W., Kim, J., & Lee, J. (2018). Impact of demographic changes on inflation and the macroeconomy. KDI Journal of Economic Policy, 40(1), 1-30.