IDEAS home Printed from https://ideas.repec.org/p/tcb/econot/1313.html
   My bibliography  Save this paper

Cesitli Enflasyon Beklentisi Olcutleri Kullanilarak Genel Bir Enflasyon Beklentisi Gostergesi Elde Edilmesi

Author

Listed:
  • Murat Duran
  • Eda Gulsen
  • Orhun Sevinc

Abstract

[TR] Bu notta, faktor analizi kullanilarak, Turkiye’de kisa ve orta vadeli enflasyona iliskin anket ve piyasa bazli cesitli beklenti olcutlerinin ortak hareketini yakalayan kompozit beklenti gostergeleri elde edilmeye calisilmistir. Ortaya cikan gostergeler anketlerle belirli kesimlerin egilimlerini olcmek amaciyla tasarlanan veya piyasanin ima ettigi beklentiler gibi farkli kaynaklardan gelen bilgiyi harmanlamaktadir. Enflasyon beklentilerinin seviyesinden ziyade degisim yonune iliskin bilgi iceren bu gostergelerin enflasyon beklentilerinin izlenmesi ve yorumlanmasi acisindan faydali olacagi dusunulmektedir. [EN] In this note, using factor analysis, we attempt to construct composite indicators of short and medium term inflation expectations that capture the common movement of various survey and market based measures of inflation expectations. These indicators summarize the information regarding the inflation expectations obtained from financial markets and various surveys which are designed to measure the expectations of different economic agents such as consumers, firms and experts. These indicators provide information regarding the direction of change in the inflation expectations rather than the level and we think that they will prove useful in monitoring and interpreting the inflation expectations.

Suggested Citation

  • Murat Duran & Eda Gulsen & Orhun Sevinc, 2013. "Cesitli Enflasyon Beklentisi Olcutleri Kullanilarak Genel Bir Enflasyon Beklentisi Gostergesi Elde Edilmesi," CBT Research Notes in Economics 1313, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  • Handle: RePEc:tcb:econot:1313
    as

    Download full text from publisher

    File URL: https://www.tcmb.gov.tr/wps/wcm/connect/4c277fb4-8ce2-4789-9f05-af97d79ccc6c/EN1313eng.pdf?MOD=AJPERES&CACHEID=ROOTWORKSPACE-4c277fb4-8ce2-4789-9f05-af97d79ccc6c-m3fw5gI
    Download Restriction: no

    References listed on IDEAS

    as
    1. Duran, Murat & Gülşen, Eda, 2013. "Estimating inflation compensation for Turkey using yield curves," Economic Modelling, Elsevier, vol. 32(C), pages 592-601.
    2. Refet S. Gürkaynak & Brian Sack & Jonathan H. Wright, 2010. "The TIPS Yield Curve and Inflation Compensation," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(1), pages 70-92, January.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Aslanidis, Nektarios & Christiansen, Charlotte, 2012. "Smooth transition patterns in the realized stock–bond correlation," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 454-464.
    2. Fernando M. Duarte & Carlo Rosa, 2015. "The equity risk premium: a review of models," Economic Policy Review, Federal Reserve Bank of New York, issue 2, pages 39-57.
    3. Güler, Mustafa Haluk & Keleş, Gürsu & Polat, Tandoğan, 2017. "An empirical decomposition of the liquidity premium in breakeven inflation rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 185-192.
    4. Mehmet Pasaogullari & Simeon Tsonevy, 2011. "The term structure of inflation compensation in the nominal yield curve," Working Papers (Old Series) 1133, Federal Reserve Bank of Cleveland.
    5. Szafranek, Karol, 2017. "Flattening of the New Keynesian Phillips curve: Evidence for an emerging, small open economy," Economic Modelling, Elsevier, vol. 63(C), pages 334-348.
    6. Jens Hilscher & Alon Raviv & Ricardo Reis, 2014. "Inflating Away the Public Debt? An Empirical Assessment," NBER Working Papers 20339, National Bureau of Economic Research, Inc.
    7. Andreasen, Martin M. & Christensen, Jens H.E. & Rudebusch, Glenn D., 2019. "Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices," Journal of Econometrics, Elsevier, vol. 212(1), pages 26-46.
    8. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2010. "Inflation Expectations and Risk Premiums in an Arbitrage‐Free Model of Nominal and Real Bond Yields," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(s1), pages 143-178, September.
    9. Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2010. "Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle," NBER Working Papers 16358, National Bureau of Economic Research, Inc.
    10. Kim, Young Min & Kang, Kyu Ho & Ka, Kook, 2020. "Do bond markets find inflation targets credible? Evidence from five inflation-targeting countries," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 66-84.
    11. Nina Boyarchenko & Valentin Haddad & Matthew Plosser, 2016. "The Federal Reserve and market confidence," Staff Reports 773, Federal Reserve Bank of New York.
    12. Berge, Travis J., 2018. "Understanding survey-based inflation expectations," International Journal of Forecasting, Elsevier, vol. 34(4), pages 788-801.
    13. Kenneth Kuttner & Adam Posen, 2011. "How Flexible Can Inflation Targeting Be and Still Work?," Department of Economics Working Papers 2011-10, Department of Economics, Williams College, revised Sep 2011.
    14. Gabriele Galati & Richhild Moessner, 2020. "Effects of Fed policy rate forecasts on real yields and inflation expectations at the zero lower bound," BIS Working Papers 873, Bank for International Settlements.
    15. Elena Andreou & Eric Ghysels & Andros Kourtellos, 2013. "Should Macroeconomic Forecasters Use Daily Financial Data and How?," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(2), pages 240-251, April.
    16. Kajuth, Florian & Watzka, Sebastian, 2011. "Inflation expectations from index-linked bonds: Correcting for liquidity and inflation risk premia," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(3), pages 225-235, June.
    17. D’Amico, Stefania & Kim, Don H. & Wei, Min, 2018. "Tips from TIPS: The Informational Content of Treasury Inflation-Protected Security Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(1), pages 395-436, February.
    18. Bretscher, Lorenzo & Hsu, Alex & Tamoni, Andrea, 2020. "Fiscal policy driven bond risk premia," Journal of Financial Economics, Elsevier, vol. 138(1), pages 53-73.
    19. Jens H. E. Christensen, 2008. "Treasury bond yields and long-run inflation expectations," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue aug15.
    20. Gilbert Cette & Marielle de Jong, 2013. "Breakeven inflation rates and their puzzling correlation relationships," Applied Economics, Taylor & Francis Journals, vol. 45(18), pages 2579-2585, June.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tcb:econot:1313. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: () or (). General contact details of provider: http://edirc.repec.org/data/tcmgvtr.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.