ÇEKİRDEK ENFLASYON ÖLÇÜTLERİNİN KARŞILAŞTIRILMASI: TÜRKİYE UYGULAMASI

Enflasyon hedeflemesi rejimini benimseyen ülkelerde çekirdek enflasyonun para politikasının şekillenmesinde önde gelen göstergelerdendir. 2002 yılından beri enflasyon hedeflemesi rejimini kullanan Türkiye'de, dışlama yöntemiyle dokuz çekirdek enflasyon göstergesi TÜİK tarafından hesaplanmakta ve yayınlanmaktadır. Çalışmada bu ölçülerden hangisinin daha iyi niteliklere sahip olduğu değerlendirilmiştir. Bu amaçla, uzun dönem ilişkileri araştırmak amacıyla Engle-Granger Koentegrasyon Testi ve sınır testi yaklaşımı, kısa dönem ilişkileri incelemek amacıyla Granger nedensellik testi ve hata düzeltme modeli 2003:12015:3 dönemi aylık verileri vasıtasıyla araştırılmıştır. Bulgular, Türkiye'de çekirdek enflasyon ölçütlerinden D1 ve D2 çekirdek enflasyon ölçüsünün enflasyonu tahmin edebilme performansının diğerlerine göre daha iyi olduğunu göstermektedir

A COMPARISON OF CORE INFLATION INDICATORS: AN APPLICATION FOR TURKEY

It is obvious that core inflation is a main indicator in monetary policy application in countries which adopted inflation targeting regime. Nine core inflation indicators calculated and published via exclusion method by TÜİK in Turkey where inflation targeting regime has been applied since 2005.In the study the core inflation indicator which has better properties than the others has been evaluated. For this purpose, the Engle-Granger co-integration test and Bound Test were used to search long run relationship and error correction model and Granger causality test is used to search short run relation by employing monthly data from the period of 2003:1 to 2015:3. The findings show that D1 and D2 core inflation indicator is the best indicator to predict inflation among the all core inflation indicators in Turkey

PDF

___

Andıç, Selen B. (2014). “Yurt İçi Üretici Fiyat Endeksi Çekirdek Enflasyon Göstergeleri (No. 1406)”. Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
Andrade, Isabel C. ve O’Brien, Raymond J. (2001). “A measure of core inflation in the UK”, Department of Economics, Institute for Economics and Business Administration (ISEG), Technical University of Lisbon Working Paper, No. 2001/05.
Bakhshi, Hasan ve Yates, Anthony (1999). “To Trim or Not to Trim? An Application of a Trimmed Mean Inflation Estimator to the United Kingdom”. Bank of England Working Paper 97, Bank of England, London.
Blix, Marten (1995). “Underlying Inflation: A Common Trends Approach”. Bnak of Sweden Working Paper No:23.
Blignaut, Zelda, Farrell, Greg N., Munyama, Victor, ve Rangasamy, Logan (2009). “A Note on the Trimmed Mean Measure of Core Inflation in South Africa”. South African Journal of Economics 77(4), 538-552.
Bryan, Michael F. ve Cecchetti, Stephen G. (1994). “Measuring Core Inflation”. In Monetary Policy The University of Chicago Press 195-219.
Ceylan, Servet (2006). “Türkiye Ekonomisi İçin Alternatif Çekirdek Enflasyon Ölçütleri”. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 20(2), 19-34.
Cihan, Cengiz (2002). “Measuring Core Inflation in Turkey”, Yüksek Lisans Tezi, Orta Doğu Teknik Üniversitesi, Ankara.
Clark, Todd E. (2001). “Comparing Measures of Core Inflation”. Economic Review-Federal Reserve Bank of Kansas City, 86(2), 5- 32.
Çağlayan, Ebru, ve Saçaklı, İrem (2006). “Satın Alma Gücü Paritesinin Geçerliliğinin Sıfır Frekansta Spektrum Tahmincisine Dayanan Birim Kök Testleri İle İncelenmesi”, Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi 20.1, 121-137.
Dewachter, Hans ve Lustig, Hanno (1997). “A Cross-Country Comparison of CPI as a Measure of Inflation”. Discussion Paper Series 97.06.
Dickey, David A. ve Fuller, Wayne A. (1979). “Distribution of the estimators for autoregressive time series with a unit root”. Journal of the American statistical association, 74(366a), 427-431.
Dickey, David A. ve Fuller, Wayne A. (1981). “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”. Econometrica: Journal of the Econometric Society,49(4), 1057- 1072.
Eckstein, Otto (1981). Core Inflation. (New Jersey: Prentice-Hall, Inc.).
Engle, Robert F. ve Granger, Clive W. (1987). “Co-integration and Error Correction: Representation, Estimation, and Testing”. Econometrica: Journal of the Econometric Society, 55(2), 251-276
Engle, Robert F. ve Byung S. Yoo (1987). "Forecasting and Testing in Cointegrated Systems," Journal of Econometrics, 35, 143-159.
Gartner, Christine ve Wehinger, Gert D. (1998). “Core Inflation in Selected European Union Countries”. Oestrreichische Nationalbank Working Paper Series, No. 33.
Granger, Clive W. (1969). “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods”. Econometrica: Journal of the Econometric Society, 37(3), 424-438.
Granger, Clive W. (1988). “Some Recent Development in a Concept of Causality”. Journal of Econometrics 39(1), 199-211.
International Labour Organization (ILO), Eurostat, IMF, OECD, World Bank, and the UN. 2004. Consumer Price Index manual: Theory and practice, ed. Peter Hill. Geneva: International Labour Organization. Available at http://www.ilo.org/public/english/bureau/stat/guides/ cpi/index.htm#manual
Gujarati, Damodar N. (2001). Temel Ekonometri. Çev. Ümit Şenesen ve Göktürk Şenesen. 2. Literatür Yayıncılık.
Holden, Rachel (2006). “Measuring Core Inflation”. Reserve Bank of New Zealand Bulletin, 69(4), 5–11.
Kearns, Jonathan (1998). “The Distribution and Measurement of Inflation”. Reserve Bank of Australia Research Discussion Paper 9810 (September). Reserve Bank of Australia, Sydney, Australia.
MacKinnon, James G. (1991) “Critical Values for Cointegration Tests”. San Diego: Department of Economics, University of California 267-276.
Marques, Carlos R., Neves, Pedro D. ve da Silva, Afonso G. (2002). “Why should Central Banks avoid the use of the underlying inflation indicator?. Economics Letters, 75(1), 17-23.
Miller, Stephan M. ve Russek, Frank S. (1990). “Co-integration and error-correction models: The temporal causality between government taxes and spending”. Southern Economic Journal, 221-229.
Morana, Claudio (2000). “Measuring Core Inflation in the Euro Area”. Working Paper 36, European Central Bank.
Morón, Eduardo A. ve Zegarra, Luis F. (1999). “Predictability of Competing Measures of Core Inflation: an Application for Peru”. Revista de Análisis Económico, 14(2), 3-21.
Pesaran, M. Hashem, Shin, Yongcheol, Smith, Richard J. (2001). “Bounds Testing Approaches to the Analysis of Level Relationships”. Journal of Applied Econometrics, 16(3), 289-326.
Phillips, Peter C. ve Perron, Pierre (1988). “Testing for a Unit Root in Time Series Regression”. Biometrika, 75(2), 335-346.
Roger, Scott (1998). “Core Inflation: Concepts, Uses and Measurement”. Reserve Bank of New Zealand Discussion Paper, 9, 1-29
Quah, Danny ve Vahey, Shain P. (1995). “Measuring Core Inflation”. The Economic Journal, 105(432), 1130-1144.
Özatay, Fatih (2009). “Türkiye’de 2000-2008 Döneminde Para Politikası”. İktisat İşletme ve Finans, 24(275), 37-65.
Smith, Julie K. (2001). “Weighted Median Inflation: Is This Core Inflation?”. Journal of Money, Credit and Banking 36(2), 253- 263.
Serel, Alpaslan (2014). Enflasyon Hedeflemesi Rejimi (Teorik Tartışmalar ve Ülke Uygulamaları Çerçevesinde). Ezgi Kitabevi Yayınları.
TCMB (2001). “Çekirdek Enflasyon Teknik Komite Çalışma Raporu”.
Wynne, Mark (1999). “Core Inflation: A Review of Some Conceptual Issues”. European Central Bank, Working Paper No.5.
Vega, Juan L. ve Wynne, Mark A. (2003). “A First Assessment of Some Measures of Core Inflation for the Euro Area”. German Economic Review, 4(3), 269-306.
Yiğit, Özlem ve Gökçe, Atilla (2012). “Türkiye’de Çekirdek Enflasyon: Ekonometrik Bir Yaklaşım”. Central Bank Review, 12(1), 37-51.