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Türkiye Ekonomisi İçin ARIMA ve Phillips Eğrisi Modellerinin Enflasyon Tahmin Performanslarının Karşılaştırılması: 1995-2014

Author

Listed:
  • Fahriye Öztürk

    (Gazi University)

  • İbrahim Tokatlıoğlu

    (Gazi University)

  • Hakan Naim Ardor

    (Gazi University)

Abstract

Enflasyonun doğru bir şekilde tahmin edilmesi, enflasyonla mücadele konusunda politika yapıcılar için oldukça önemlidir. Gerek ülkelerin merkez bankaları gerekse de akademisyenler enflasyonu en az hata ile tahmin edebilme konusunda geniş bir literatürün oluşmasına katkı sağlamışlardır. Bu çalışmada, literatürde yer bulmuş farklı enflasyon tahmin modellerinin Türkiye’nin 1995-2014 yılları arasında enflasyon tahmini için öngörü başarıları araştırılmıştır. Öngörü başarılarının değerlendirilmesinde, kök ortalama kare hata (Root Mean Square Error, RMSE), ortalama mutlak hata (Mean Absolute Error, MAE), ortalama mutlak yüzde hata (Mean Absolute Percent Error, MAPE) ve Theil U (Theil Inequality Coeficient) katsayı kriterleri kullanılmıştır. Türkiye’nin enflasyon öngörüleri için ARMA, Genelleştirilmiş Phillips Eğrisi,Yeni Keynesyen Phillips Eğrisi, HodrickPrescott filtreleme yöntemi ile elde edilen doğal işsizlik oranı (veya NAIRU) kullanılarak elde edilen enflasyonun üçgen tahmin modeli ve kalman filtreleme yöntemi ile elde edilen zamanla değişen NAIRU kullanılarak tahmin edilen enflasyonun üçgen modellerinin örneklem içi öngörülerinin başarısı karşılaştırılmıştır.

Suggested Citation

  • Fahriye Öztürk & İbrahim Tokatlıoğlu & Hakan Naim Ardor, 2014. "Türkiye Ekonomisi İçin ARIMA ve Phillips Eğrisi Modellerinin Enflasyon Tahmin Performanslarının Karşılaştırılması: 1995-2014," Ekonomik Yaklasim, Ekonomik Yaklasim Association, vol. 25(92), pages 19-53.
    • Handle: RePEc:eyd:eyjrnl:v:25:y:2014:i:92:p:19-53
    DOI: 10.5455/ey.35511
    Note: [English Title] The Comparison of in-sample Forecast Performance of Inflation with ARIMA and Phillips Curve Models for Turkey: 1995-2014 [English Abstract] It is important for policymakers to forecast inflation correctly to struggle with it. There is a wide literature about forecasting inflation with minimum error created by central banks and economists. In this paper, the forecast performance of inflation with different tecniques are examined for the Turkish Economy for the period of 1995-2014. The forecast performance of different tecniques are evaluated by root mean square error, mean absolute error, mean absolute percent error and Theil U coefficient. The inflation forecasts are done by ARIMA, Augmented Phillips Curve, New Keynessien Phillips Curve and Triangle Model. The NAIRU (non-accelerating inflation rate of unemployment) variable in Triangle Model is produced by using two different methods which are Hodrick-Prescott Fitler and Time Varying Parameters. [English Keywords] Inflation Forecast, Phillips Curve, ARIMA, Hodrick-Prescott, triangle model, Kalman filter.
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    Keywords

    Enflasyon tahmini; Phillips Eğrisi; ARIMA; Hodrick-Prescott; üçgen model; Kalman filtresi.;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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