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The Hybrid New Keynesian Phillips Curve: An Application For Türkiye

Year 2023, Issue: 39, 129 - 146, 27.12.2023
https://doi.org/10.26650/ekoist.2023.39.1309349

Abstract

Inflation is a continuous structural problem in the history of Türkiye’s economy. High increases in inflation cause unpredictability and worries about the future. This situation negatively affects the pricing behavior of economic agents. The question that comes to the fore at this point is to what extent this change in the formation of expectations is reflected in the pricing behavior and inflation dynamics. In this paper, the effects of the output gap, import prices, and expectations on inflation between the 2013-2022 period in Türkiye were examined. Vector Autoregressive Model / VAR was the preferred method for analysis. According to the variance decomposition results of the study, inflation, changes in import prices, expected inflation, expected increases in USD/TL exchange rates, interest rate expectations and the output gap help explain a significant part of the total change in inflation. The results of the Impact-Response analysis and the effect of inflation on itself indicated inflation inertia. This showed that despite the policies implemented by the decision makers, economic agents adjusted their pricing behavior according to past inflation rather than future inflation expectations. For this reason, the measures taken by the decision-makers was not completely successful. However, the analysis did not show that the inflation-targeting regime was successful in anchoring the expectations of economic agents. If the central bank or the economic authority reduces inflation uncertainty and develops policies based on expectations, it will have a positive effect on inflation. This will bring remarkable results for policymakers, especially for price stability and inflation targeting.

References

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  • Çamlıca, F. (2010). Yeni Keynesyen Bir Bakış Açısıyla Türkiye’nin Enflasyon Dinamikleri Yönünden Yapısal Analizi. Uzmanlık Yeterlilik Tezi, Türkiye Cumhuriyet Merkez Bankası, Ocak. google scholar
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  • Fanelli, L. (2008). Testing the new Keynesian Phillips curve through vector autoregressive models: Results from the Euro area. Oxford Bulletin of Economics and Statistics, 70(1), 53-66. google scholar
  • Friedman, M. (1977). Nobel lecture: inflation and unemployment. Journal of political economy, 85(3), 451-472. google scholar
  • Friedman, M. (1995). The role of monetary policy. Essential Readings in Economics, 215-231. Galı, J., & Gertler, M. (1999). Inflation dynamics: A structural econometric analysis. Journal of monetary Economics, 44(2), 195-222. DOI: https://doi.org/10.1016/S0014-2921(03) 00028-X google scholar
  • Hartmann, M., Herwartz, H., & Ulm, M. (2020). Inflation Targeting Under Inflation Uncertainty—Multi-Economy Evidence From A Stochastic Volatility Model. Macroeconomic Dynamics, 1-36. google scholar
  • Johansen, S. (1995). Likelihood-based inference in cointegrated vector autoregressive models. OUP Oxford. google scholar
  • Kara, A. H., & Orak, M. (2008). Enflasyon hedeflemesi. Krizler, Para ve İktisatçılar, Ed. Ercan Kumcu, Istanbul: Remzi Kitabevi, 81, 157. google scholar
  • Kara, H., & Oğünç, F. (2011). Doviz kuru ve ithalat fiyatlarinin enflasyona etkisi (No. 1114). Research and Monetary Policy Department, Central Bank of the Republic of Turkey. google scholar
  • Kara, A. H., Ogunc, F., & Sarikaya, C. (2017). Inflation dynamics in Turkey: A historical accounting (No. 1703). Research and Monetary Policy Department, Central Bank of the Republic of Turkey. google scholar
  • Kara, H., & Sarıkaya, Ç. (2021). Enflasyon dinamiklerindeki değişim: Döviz kuru geçişkenliği güçleniyor mu? (No. 2121). Working Paper. google scholar
  • Kaygısız, A., D. (2018). Döviz kuru dalgalanmalarının enflasyon üzerindeki geçiş etkisi: Türkiye örneği. Internetional Review of Economics and Management, 6(2), 117-137. google scholar
  • Korkmaz, S. (2010). Yeni Keynesyen Phillips Eğrisinin Türkiye’ye Uygulanması. Uluslararası Yönetim İktisat ve İşletme Dergisi, 6(11), 141-162. google scholar
  • Leigh, D., & Rossi, M. (2002). Exchange rate pass- through in Turkey, IMF working paper, https://www.imf.org/external/pubs/ft/wp/ 2002/wp02204.pdf.(Eris'gimTarihi:10.08.2018). google scholar
  • Lucas, R. E., & Rapping, L. A. (1969). Price Expectations and the Phillips Curve. The American Economic Review, 59 (3), 342-350.). google scholar
  • Lucas Jr, R. E. (1972). Expectations and the Neutrality of Money. Journal of economic theory, 4(2), 103-124. google scholar
  • Lütkepohl, H. (2005). New introduction to multiple time series analysis. Springer Science & Business Media. google scholar
  • Makridakis, S., Wheelwright, S. C., & Hyndman, R. J. (2008). Forecasting methods and applications. John wiley & sons. google scholar
  • Mert, M., & Çağlar, A. E. (2019). Eviews ve Gauss uygulamalı zaman serileri analizi. Ankara: Detay Yayıncılık. google scholar
  • McKnight, S., Mihailov, A., & Rumler, F. (2020). Inflation forecasting using the New Keynesian Phillips Curve with a time-varying trend. Economic Modelling, 87, 383-393. google scholar
  • Nason, J. M., & Smith, G. W. (2008). The new Keynesian Phillips curve: Lessons from single-equation econometric estimation. FRB Richmond Economic Quarterly, 94(4), 361-395. google scholar
  • Ogunc, F., Ozmen, M. U., & Sarikaya, C. (2018). Inflation dynamics in Turkey from a Bayesian perspective (No. 1810). google scholar
  • Peker, O., & S. Gormuş. (2008). Turkiye’de doviz kurunun enflasyonist etkileri. Suleyman Demirel Universitesi IIBF Dergisi, 13(2), 187-202. google scholar
  • Phelps, E. S. (1969). The new microeconomics in inflation and employment theory. The American Economic Review, 59(2), 147-160. google scholar
  • Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346. google scholar
  • Rudd, J., & Whelan, K. (2007). Modeling inflation dynamics: A critical review of recent research. Journal of Money, Credit and Banking, 39, 155-170. google scholar
  • Samuelson, P. A., & Solow, R. M. (1960). Analytical aspects of anti-inflation policy. The American Economic Review, 50(2), 177-194. google scholar
  • Sims, C. A. (1980). Macroeconomics and reality. Econometrica: journal of the Econometric Society, 1-48. google scholar
  • Snowdon, B., & Vane, H. R. (2005). Modern macroeconomics: its origins, development and current state. Edward Elgar Publishing. google scholar
  • Terzioğlu, M. K. (2017). Çıktı Büyüklüğü Belirsizliği ve Ekonomi Politikaları Arasındaki Bağlantı: Asimetri Etkisi. Uluslararası Yönetim İktisat ve İşletme Dergisi, 13(13), 920-927. google scholar
  • Terzioğlu, M. K. (2018). Effects of inflation uncertainty on economic policies: Inflation-targeting regime. Financial Management from an Emerging Market Perspective, 265-281. google scholar
  • Tombak, F. (2021). Hibrit Yeni Keynesyen Philips Eğrisi Çerçevesinde Çıktı Açığının Enflasyon Üzerine Etkisi, Türkiye Örneği. Maliye ve Finans Yazıları, (Özel Sayı 2), 33-50. google scholar
  • Wardhono, A., Nasir, M. A., Qori’ah, C. G., & Indrawati, Y. (2021). Movement of Inflation and New Keynesian Phillips Curve in ASEAN. Economies, 9(1), 34. google scholar
  • Yasar, A., & Terzioglu, M. K. (2020). Çıktı Büyüklüğü, Enflasyon ve Para Arzı Arasındaki İlişkinin Modellenmesi: FIVAR ve VARFI Model Karşılaştırması. PressAcademia Procedia, 12(1), 11-15. google scholar
  • Yellen, J. L. (2015). Inflation dynamics and monetary policy. Speech at the Philip Gamble Memorial Lecture, University of Massachusetts, Amherst, available athttp://www. federalreserve. gov/newsevents/speech/yellen20150924a. htm, 1 (2), 3. google scholar
  • Yılmaz, C. B. (2012). Türkiye’de Enflasyon Beklentilerini Belirleyen Makroekonomik Unsurlar. TCMB Uzmanlık Yeterlilik Tezi, Ankara. google scholar
  • Zobl, F. X., & Ertl, M. (2021). The Condemned Live Longer-New Evidence of the New Keynesian Phillips Curve in Central and Eastern Europe. Open Economies Review, 32(4), 671-699. google scholar
Year 2023, Issue: 39, 129 - 146, 27.12.2023
https://doi.org/10.26650/ekoist.2023.39.1309349

Abstract

References

  • Abel, A., B., Bernanke, B. S., & Croushore, D. (2017). Macroekonomi. 9. Baskı, Çev. Ömer Faruk ÇOLAK, Elif Yayınevi. google scholar
  • Agenor, P. R., & Hoffmaister, A. W. (1997). Money, wages and inflation in middle-income developing countries. International Monetary Fund Working Paper. No: 97-174 google scholar
  • Aytekin, İ., Bayrakdar, S., Aksoy, E. (2023). Türkiye’de döviz kuru ile enflasyon arasındaki uzun ve kısa dönemli ilişkinin incelenmesi. İktisat Politikası Araştırmaları Dergisi - Journal of Economic Policy Researches, 10(1), 87-112. https://doi.org/10.26650/JEPR1114402 google scholar
  • Chin, K. H. (2019). New Keynesian Phillips curve with time-varying parameters. Empirical Economics, 57(6), 1869-1889. google scholar
  • Claus, I. (2000). Is the output gap a useful indicator of inflation. Reserve Bank of New Zealand Discussion Paper No. DP2000/05. 1-21. google scholar
  • Çamlıca, F. (2010). Yeni Keynesyen Bir Bakış Açısıyla Türkiye’nin Enflasyon Dinamikleri Yönünden Yapısal Analizi. Uzmanlık Yeterlilik Tezi, Türkiye Cumhuriyet Merkez Bankası, Ocak. google scholar
  • Çiçek, S., & Alkan, B. (2019). Enflasyon ve beklenen enflasyon belirsizlikleri üzerinden türkiye’de para politikasının değerlendirmesi. Bankacılar Dergisi, 109, 82-100. google scholar
  • Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: journal of the Econometric Society, 1057-1072. google scholar
  • Duğru, M. (2020). Multidisipliner Yaklaşımla İktisadi Kriz Olgusu, “2001 Finans Krizi ile Artan İşsizliğin Yoksulluk Üzerindeki Etkisi: Türkiye Örneği”. Ankara: Gazi Kitapevi. 2020, 3-28. google scholar
  • Eren, E., & Çiçek, S. (2009). Küreselleşme ve enflasyon: Küresel çıktı açığı hipotezi: Türkiye örneği. Anadolu Uluslararası İktisat Kongresi, 17-19. google scholar
  • Fanelli, L. (2008). Testing the new Keynesian Phillips curve through vector autoregressive models: Results from the Euro area. Oxford Bulletin of Economics and Statistics, 70(1), 53-66. google scholar
  • Friedman, M. (1977). Nobel lecture: inflation and unemployment. Journal of political economy, 85(3), 451-472. google scholar
  • Friedman, M. (1995). The role of monetary policy. Essential Readings in Economics, 215-231. Galı, J., & Gertler, M. (1999). Inflation dynamics: A structural econometric analysis. Journal of monetary Economics, 44(2), 195-222. DOI: https://doi.org/10.1016/S0014-2921(03) 00028-X google scholar
  • Hartmann, M., Herwartz, H., & Ulm, M. (2020). Inflation Targeting Under Inflation Uncertainty—Multi-Economy Evidence From A Stochastic Volatility Model. Macroeconomic Dynamics, 1-36. google scholar
  • Johansen, S. (1995). Likelihood-based inference in cointegrated vector autoregressive models. OUP Oxford. google scholar
  • Kara, A. H., & Orak, M. (2008). Enflasyon hedeflemesi. Krizler, Para ve İktisatçılar, Ed. Ercan Kumcu, Istanbul: Remzi Kitabevi, 81, 157. google scholar
  • Kara, H., & Oğünç, F. (2011). Doviz kuru ve ithalat fiyatlarinin enflasyona etkisi (No. 1114). Research and Monetary Policy Department, Central Bank of the Republic of Turkey. google scholar
  • Kara, A. H., Ogunc, F., & Sarikaya, C. (2017). Inflation dynamics in Turkey: A historical accounting (No. 1703). Research and Monetary Policy Department, Central Bank of the Republic of Turkey. google scholar
  • Kara, H., & Sarıkaya, Ç. (2021). Enflasyon dinamiklerindeki değişim: Döviz kuru geçişkenliği güçleniyor mu? (No. 2121). Working Paper. google scholar
  • Kaygısız, A., D. (2018). Döviz kuru dalgalanmalarının enflasyon üzerindeki geçiş etkisi: Türkiye örneği. Internetional Review of Economics and Management, 6(2), 117-137. google scholar
  • Korkmaz, S. (2010). Yeni Keynesyen Phillips Eğrisinin Türkiye’ye Uygulanması. Uluslararası Yönetim İktisat ve İşletme Dergisi, 6(11), 141-162. google scholar
  • Leigh, D., & Rossi, M. (2002). Exchange rate pass- through in Turkey, IMF working paper, https://www.imf.org/external/pubs/ft/wp/ 2002/wp02204.pdf.(Eris'gimTarihi:10.08.2018). google scholar
  • Lucas, R. E., & Rapping, L. A. (1969). Price Expectations and the Phillips Curve. The American Economic Review, 59 (3), 342-350.). google scholar
  • Lucas Jr, R. E. (1972). Expectations and the Neutrality of Money. Journal of economic theory, 4(2), 103-124. google scholar
  • Lütkepohl, H. (2005). New introduction to multiple time series analysis. Springer Science & Business Media. google scholar
  • Makridakis, S., Wheelwright, S. C., & Hyndman, R. J. (2008). Forecasting methods and applications. John wiley & sons. google scholar
  • Mert, M., & Çağlar, A. E. (2019). Eviews ve Gauss uygulamalı zaman serileri analizi. Ankara: Detay Yayıncılık. google scholar
  • McKnight, S., Mihailov, A., & Rumler, F. (2020). Inflation forecasting using the New Keynesian Phillips Curve with a time-varying trend. Economic Modelling, 87, 383-393. google scholar
  • Nason, J. M., & Smith, G. W. (2008). The new Keynesian Phillips curve: Lessons from single-equation econometric estimation. FRB Richmond Economic Quarterly, 94(4), 361-395. google scholar
  • Ogunc, F., Ozmen, M. U., & Sarikaya, C. (2018). Inflation dynamics in Turkey from a Bayesian perspective (No. 1810). google scholar
  • Peker, O., & S. Gormuş. (2008). Turkiye’de doviz kurunun enflasyonist etkileri. Suleyman Demirel Universitesi IIBF Dergisi, 13(2), 187-202. google scholar
  • Phelps, E. S. (1969). The new microeconomics in inflation and employment theory. The American Economic Review, 59(2), 147-160. google scholar
  • Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346. google scholar
  • Rudd, J., & Whelan, K. (2007). Modeling inflation dynamics: A critical review of recent research. Journal of Money, Credit and Banking, 39, 155-170. google scholar
  • Samuelson, P. A., & Solow, R. M. (1960). Analytical aspects of anti-inflation policy. The American Economic Review, 50(2), 177-194. google scholar
  • Sims, C. A. (1980). Macroeconomics and reality. Econometrica: journal of the Econometric Society, 1-48. google scholar
  • Snowdon, B., & Vane, H. R. (2005). Modern macroeconomics: its origins, development and current state. Edward Elgar Publishing. google scholar
  • Terzioğlu, M. K. (2017). Çıktı Büyüklüğü Belirsizliği ve Ekonomi Politikaları Arasındaki Bağlantı: Asimetri Etkisi. Uluslararası Yönetim İktisat ve İşletme Dergisi, 13(13), 920-927. google scholar
  • Terzioğlu, M. K. (2018). Effects of inflation uncertainty on economic policies: Inflation-targeting regime. Financial Management from an Emerging Market Perspective, 265-281. google scholar
  • Tombak, F. (2021). Hibrit Yeni Keynesyen Philips Eğrisi Çerçevesinde Çıktı Açığının Enflasyon Üzerine Etkisi, Türkiye Örneği. Maliye ve Finans Yazıları, (Özel Sayı 2), 33-50. google scholar
  • Wardhono, A., Nasir, M. A., Qori’ah, C. G., & Indrawati, Y. (2021). Movement of Inflation and New Keynesian Phillips Curve in ASEAN. Economies, 9(1), 34. google scholar
  • Yasar, A., & Terzioglu, M. K. (2020). Çıktı Büyüklüğü, Enflasyon ve Para Arzı Arasındaki İlişkinin Modellenmesi: FIVAR ve VARFI Model Karşılaştırması. PressAcademia Procedia, 12(1), 11-15. google scholar
  • Yellen, J. L. (2015). Inflation dynamics and monetary policy. Speech at the Philip Gamble Memorial Lecture, University of Massachusetts, Amherst, available athttp://www. federalreserve. gov/newsevents/speech/yellen20150924a. htm, 1 (2), 3. google scholar
  • Yılmaz, C. B. (2012). Türkiye’de Enflasyon Beklentilerini Belirleyen Makroekonomik Unsurlar. TCMB Uzmanlık Yeterlilik Tezi, Ankara. google scholar
  • Zobl, F. X., & Ertl, M. (2021). The Condemned Live Longer-New Evidence of the New Keynesian Phillips Curve in Central and Eastern Europe. Open Economies Review, 32(4), 671-699. google scholar
There are 45 citations in total.

Details

Primary Language English
Subjects Econometrics (Other)
Journal Section RESEARCH ARTICLE
Authors

Havva Koç 0000-0002-0906-1438

Publication Date December 27, 2023
Submission Date June 3, 2023
Published in Issue Year 2023 Issue: 39

Cite

APA Koç, H. (2023). The Hybrid New Keynesian Phillips Curve: An Application For Türkiye. EKOIST Journal of Econometrics and Statistics(39), 129-146. https://doi.org/10.26650/ekoist.2023.39.1309349