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Türkiye’de Enflasyon Dinamiklerinin Phillips Eğrisi ile İncelenmesi: Markov Rejim Değişim Modelinden Kanıtlar

Year 2024, , 285 - 296, 30.04.2024

Ali İlhan

https://doi.org/10.37880/cumuiibf.1427745

Abstract

Birçok gelişmiş ve yükselen piyasa ekonomisinin aksine enflasyon, Türkiye ekonomisi için COVID-19 pandemisi öncesinde de bir problemdi. Türkiye, 1990’lı yıllarda bazı aylarda üç haneli rakamlara ulaşan şiddetli bir enflasyon yaşadı. 2000’li yıllarda esnek döviz kuru ve örtük enflasyon hedeflemesi çerçevesinde başarılı bir dezenflasyon programı ile enflasyon tek haneli rakamlara düşürülmüş olsa da küresel finansal kriz sonrası dönemde fiyat istikrarı yeniden bir sorun haline geldi. Enflasyon 2010’lu yıllarda giderek arttı ve 2021’in sonlarında kontrolden çıktı. Bu çalışma, Phillips eğrisi çerçevesini kullanarak Türkiye’deki enflasyon dinamiklerini farklı enflasyon ortamları için incelemeyi amaçlamaktadır. Bu doğrultuda, döviz kuru ve petrol fiyatları ile genişletilmiş Phillips eğrisi denklemi, Ocak 2006 ve Eylül 2023 arası dönem için Markov rejim değişim modeli ile tahmin edilmiştir. Örneklemde düşük ve yüksek enflasyon rejimleri olmak üzere iki rejim tanımlanmıştır. Tahmin sonuçlarına göre, Phillips eğrisi her iki rejimde de geçersizdir. İşsizlik açığı, cari enflasyon üzerindeki negatif etkisine karşın istatistiksel olarak anlamsızdır. Geriye dönük enflasyon katsayısının yüksek rejimde artması, Türkiye’de enflasyon hedeflemesi öncesi dönemde hakim olan endeksleme davranışının yeniden canlandığını yansıtmaktadır. Petrol fiyatlarının olumlu etkisi yalnızca düşük rejimde istatiksel olarak anlamlıdır. Döviz kurundaki artış her iki rejimde de enflasyonu anlamlı biçimde arttırırken yüksek enflasyon rejimindeki etkisi daha büyüktür. Bu ampirik bulgular, Türkiye’de enflasyonun kontrol altına alınmasında öncelikli konuların enflasyon ataleti ve döviz kuru istikrarı olduğuna işaret etmektedir.

Keywords

Enflasyon Markov rejim değişim modeli para politikası Phillips eğrisi Türkiye

References

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Exploring Inflation Dynamics with the Phillips Curve in Türkiye: Evidence from the Markov Regime Switching Model

Year 2024, , 285 - 296, 30.04.2024

Ali İlhan

https://doi.org/10.37880/cumuiibf.1427745

Abstract

Unlike in many advanced and emerging market economies, inflation was already a problem for the Turkish economy before the COVID-19 pandemic. During the 1990s, Türkiye experienced severe inflation, which reached three digits in some months. Although inflation was reduced to single digits in the 2000s through a successful disinflation program under an implicit inflation targeting framework with a flexible exchange rate regime, price stability became a problem again after the global financial crisis. Inflation gradually increased during the 2010s and became out of control after late 2021. This study aims to explore inflation dynamics in Türkiye using the Phillips curve framework for different inflation environments. To this end, the Phillips curve equation, augmented with the exchange rate and oil prices, is estimated using the Markov regime switching model between January 2006 and September 2023. Two regimes are identified in the sample, namely low- and high-inflation regimes. According to the estimation results, the Phillips curve is invalid in both regimes. The unemployment gap is statistically insignificant despite its negative impact on current inflation. The increasing coefficient of backward inflation in the high regime reflects the resurgent indexation behavior, which was dominant before inflation targeting was introduced in Türkiye. The positive impact of oil prices is only statistically significant in the low regime. While an increase in the exchange rate significantly raises inflation in both regimes, the effect is greater in the high-inflation regime. These empirical findings indicate that the primary issues for controlling inflation in Türkiye are inflation inertia and exchange rate stability.

Keywords

Inflation Markov regime switching model monetary policy the Phillips curve Türkiye

References

  • Abbas, S. K., Bhattacharya, P. S., & Sgro, P. (2016). The new Keynesian Phillips curve: An update on recent empirical evidence, International Review of Economics and Finance, 43, 378-403. http://dx.doi.org/10.1016/j.iref.2016.01.003
  • Altuğ, S., & Bildirici, M. (2012). Business Cycles in Developed and Emerging Economies: Evidence from a Univariate Markov Switching Approach, Emerging Markets Finance and Trade, 48(6), 4-38. https://doi.org/10.2753/REE1540-496X480601
  • Arabacı, Ö., & Eryiğit, K. Y. (2012). A Threshold Regression Estimation of Philips Curve: Turkey Case, Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 7(2), 29-47.
  • Arabacı, Ö., & Özdemir, M. (2014). A Non-Causal Autoregression Based Estimation of New Keynesian Phillips Curve for the Turkish Economy, İktisat İşletme ve Finans, 29(342), 45-70. https://doi.org/10.3848/iif.2014.342.4183
  • Ardor, H. N., Tokatlıoğlu, İ., & Öztürk, F. (2014). Türkiye Ekonomisi İçin Enflasyonun Üçgen Modeli İle Phillips Eğrisi Denklemi Tahmini, Ekonomik Yaklaşım, 25(91), 29-53.
  • Baharumshah, A. Z., Soon, S-V., & Wohar, M. E. (2017). Markov-switching analysis of exchange rate pass-through: Perspective from Asian countries, International Review of Economics and Finance, 51, 245-257. https://dx.doi.org/10.1016/j.iref.2017.05.009
  • Ball, L., & Mazumder, S. (2019). A Phillips Curve with Anchored Expectations and Short-Term Unemployment, Journal of Money, Credit and Banking, 51(1), 111-137. https://doi.org/10.1111/jmcb.12502
  • Bari, B., & Adalı, Z. (2020). How Oil Prices Drive Inflation in Turkish Economy: Two Different Channels, Fiscaoeconomia, 4(3), 705-721. https://doi.org/10.25295/fsecon.786956
  • Bari, B., & Şıklar, İ. (2021). An Estimation of the Open Economy Hybrid New Keynesian Phillips Curve for Turkey, Fiscaoeconomia, 5(3), 1081-1100. https://doi.org/10.25295/fsecon.981011
  • Başer Andiç, S., Küçük, H., & Öğünç, F. (2015). Inflation Dynamics in Turkey: In Pursuit of a Domestic Cost Measure, Emerging Markets Finance and Trade, 51(2), 418-431. https://doi.org/10.1080/1540496X.2015.1019771
  • Bildirici, M. E., & Ozaksoy Sonustun (2018). Backward bending structure of Phillips Curve in Japan, France, Turkey and the U.S.A., Economic Research-Ekonomska Istraživanja, 31(1), 537-549. https://doi.org/10.1080/1331677X.2018.1441046
  • Bildirici, M. E. (2020). The relationship between cement production, mortality rate, air quality, and economic growth for China, India, Brazil, Turkey, and the USA: MScBVAR and MScBGC analysis, Environmental Science and Pollution Research, 27, 2248-2263. https://doi.org/10.1007/s11356-019-06586-w
  • Bildirici, M., & Kayıkçı, F. (2021). The Relation Between Growth, Energy Imports, Militarization and Current Account Balance in India, Brazil, Turkey and Pakistan, Economic Computation and Economic Cybernetics Studies and Research, 55(3), 37-54. https://doi.org/10.24818/18423264/55.3.21.03
  • Binici, M., Centorrino, S., Cevik, S., & Gwon, G. (2022). Here Comes the Change: The Role of Global and Domestic Factors in Post-Pandemic Inflation in Europe, IMF Working Paper, 2022/241. https://www.imf.org/en/Publications/WP/Issues/2022/12/09/Here-Comes-the-Change-The-Role-of-Global-and-Domestic-Factors-in-Post-Pandemic-Inflation-in-525754 Accessed: 24.12.2023
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  • CBRT (2023). Inflation Report, 2023-IV. https://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN/Main+Menu/Publications/Reports/Inflation+Report/2023/Inflation+Report+2023+-+IV Accessed: 12.01.2024.
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  • CBRT (2024b). Central Bank Interest Rates, https://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN/Main+Menu/Core+Functions/Monetary+Policy/Central+Bank+Interest+Rates/1+Week+Repo Accessed: 12.01.2024.
  • Chowdhury, K. B., & Sarkar, N. (2017). Is the Hybrid New Keynesian Phillips Curve Stable? Evidence from Some Emerging Economies, Journal of Quantitative Economics, 15, 427-449. https://doi.org/10.1007/s40953-016-0059-y
  • Costain, J., Nakov, A., & Petit, B. (2022). Flattening of the Phillips Curve with State-Dependent Prices and Wages, The Economic Journal, 132(642), 546-581. https://doi.org/10.1093/ej/ueab063
  • Çatık, A. N., Martin, C., & Önder, A. Ö. (2011). Relative price variability and the Phillips Curve: evidence from Turkey, Journal of Economic Studies, 38(5), 546-561. https://doi.org/10.1108/01443581111161814
  • Çatık, A. N., & Önder, A. Ö. (2011). Inflationary Effects of Oil Prices in Turkey: A Regime-Switching Approach, Emerging Markets Finance and Trade, 47(5), 125-140. https://doi.org/10.2753/REE1540-496X470506
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Details

Primary Language English
Subjects Economic Theory (Other)
Journal Section Makaleler
Authors

Ali İlhan 0000-0001-6201-5353

Early Pub Date April 29, 2024
Publication Date April 30, 2024
Submission Date January 29, 2024
Acceptance Date March 10, 2024
Published in Issue Year 2024

Cite

APA İlhan, A. (2024). Exploring Inflation Dynamics with the Phillips Curve in Türkiye: Evidence from the Markov Regime Switching Model. Cumhuriyet Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 25(2), 285-296. https://doi.org/10.37880/cumuiibf.1427745

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