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Determining Harmonic Fluctuations in Food Inflation

In: MODELING AND ADVANCED TECHNIQUES IN MODERN ECONOMICS

Author

Listed:
  • Yılmaz Akdi
  • Kamil Demirberk Ünlü
  • Cem Baş
  • Yunus Emre Karamanoğlu

Abstract

In this study, we start with a brief expression of consumer price index of Turkey. In the next step, we give the theoretical essentials of periodogram-based unit root and harmonic regression model. Periodogram-based unit root test is used to identify both the stationarity of data and periodicities. Periodicity is beyond seasonality; it is the hidden cycles in the data. Thus, it is harder to detect them compared to seasonal cycles. Harmonic-regression-type trigonometric regression models are useful in modeling data which have hidden periodicity. Afterward, the stationarity properties of monthly inflation and monthly food inflation of Turkey for the period between 2004 and 2020 are investigated. Standard augmented Dickey–Fuller unit root test shows that both series are integrated of order one. However, the periodogram-based unit root test shows that monthly inflation has unit root but monthly food inflation does not. After examining the unit root, the hidden cycles in the food inflation are revealed. The cycles in food inflation are important because they may trigger a headline inflation. The main contribution of this study is the identification of the hidden cycles in food inflation. It has cycles of approximately two, four, six and eight years. These cycles, in short, correspond to cycles of two years of consecutive periods.

Suggested Citation

  • Yılmaz Akdi & Kamil Demirberk Ünlü & Cem Baş & Yunus Emre Karamanoğlu, 2022. "Determining Harmonic Fluctuations in Food Inflation," World Scientific Book Chapters, in: Çağdaş Hakan Aladağ & Nihan Potas (ed.), MODELING AND ADVANCED TECHNIQUES IN MODERN ECONOMICS, chapter 3, pages 47-66, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9781800611757_0003
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    Keywords

    Harmonic Regression; Periodograms; Consumer Price Index; Food Inflation; Turkey; Gaussian Distribution; Europe Union; GDP; Panel Data; Spatial Regression; Measurement Errors; Nonlinear Time Series; Chaotic Time Series; Weibull Distribution; Location Parameters; Fiducial Approach; Hypothesis Testing; Green Swan; Financial Stability; Annex II Countries; Financial Time Series; Kernels; Stock Index; Machine Learning; Statistical Learning; Optimization; WSAR Algorithm; Deep Neural Networks; Phyton; Parameter Estimation; COVID-19; Clustering Analyses; Artificial Neural Networks; Performance Criteria; Time Series Forecasting; Statistical Inference;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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