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Turkiye’de Enflasyon ve Nispi Fiyat Degiskenligi Iliskisi: VABHO Modelleriyle Uzun Donem Analizi

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  • K. Batu Tunay

    () (Yildiz Teknik University)

Abstract

This study analyzes long-term relation between inflation and relative price variability in Turkey. Vector autoregressive moving average (VARMA) models are used as analyzing methodology. Data base taken into consideration in models are monthly wholesale price index and monthly commodity price indices forming this index between the period 1990:1-2008:12. Findings obtained from VARMA models show that there is a strong positive relationship in the long-term between inflation and relative price variability in Turkey.

Suggested Citation

  • K. Batu Tunay, 2010. "Turkiye’de Enflasyon ve Nispi Fiyat Degiskenligi Iliskisi: VABHO Modelleriyle Uzun Donem Analizi," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 12(1), pages 40-64, November.
  • Handle: RePEc:ist:ancoec:v:12:y:2010:i:1:p:40-64
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    File URL: http://eidergisi.istanbul.edu.tr/sayi12/iueis12m3.pdf
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    Keywords

    Inflation; Relative Price Variability; VAR Models; VARMA Models; Iterative Linear Algorithms; OLS.;

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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