[TR] Bu calismada Bayesci yontem kullanilarak Turkiye’de cikti acigini temel bilesenlerine ayrist... more [TR] Bu calismada Bayesci yontem kullanilarak Turkiye’de cikti acigini temel bilesenlerine ayristiran bir cerceve sunulmaktadir. Sonuclarimiz, Lehman krizini takip eden surecte Turkiye’de ic ve dis talep arasinda ciddi bir ayrisma yasanirken, ekonomi genelinde asiri bir isinma olmadigini gostermektedir. Bu bulgular, Turkiye Cumhuriyet Merkez Bankasi'nin (TCMB) yeni politika cercevesine zemin hazirlayan ve kayda deger bir enflasyon baskisi olmaksizin hizli kredi buyumesi ve artan cari islemler acigi ile tanimlanabilecek iktisadi gorunume iliskin goruslerini desteklemektedir. Bu kosullar altinda salt toplam cikti acigina dayandirilan geleneksel para politikasi yaklasimi finansal istikrar ile uyumlu olmayan bir politika onermesinde bulunabilecektir. Bu baglamda,cikti acigi bilesenlerinin turetilmesi, tutarli politikalarin tasarlanmasinda karar alicilara yardimci olacaktir. [EN] We estimate an output gap measure for Turkey in a Bayesian framework with special reference to its components. Our results suggest that Turkey experienced a notable divergence between domestic and external demand with no sign of overheating for the whole economy in the post-Lehman crisis period. This finding confirms the basis for the new policy framework of the Central Bank of Turkey (CBT), which was characterized by rapid credit expansion and growing current account deficit without significant inflationary pressures. Under these circumstances, conventional monetary policy practice focusing solely on aggregate output gap may suggest policy prescriptions inconsistent with financial stability. In this regard, extracting the components of output gap would help policymakers make a suitable policy design to avoid any contradiction among objectives.
[TR] Bu notta, TUFE ve UFE enflasyon oranlari arasindaki farklilasmanin nedenleri ozetlendikten s... more [TR] Bu notta, TUFE ve UFE enflasyon oranlari arasindaki farklilasmanin nedenleri ozetlendikten sonra iki endeks arasindaki geciskenlik iliskisi incelenmektedir. Uretici fiyatlarinin vergi haric derleniyor olmasi ve hizmet fiyatlarini icermemesi, islenmemis gida urunleri ile tarim urunlerinin her iki endekste esanli kapsamlarinin ortusmemesi, tuketici fiyatlarinda goreli payi yuksek belirli urunlerde dolayli vergi artislarinin gozlenmesi, uretici fiyatlarinin kur ve ithalat fiyat geciskenliginin tuketici fiyatlarina kiyasla yuksek olmasi aradaki donemsel farkin temel belirleyicileridir. Ancak, TUFE ve UFE enflasyonlarinin uzun donemli ortalamalarinin birbirine paralel olmasi ve uretici ve tuketici fiyatlarinin uzun donemde birbirine yakinsiyor olmasi sebebiyle donemsel farklarin sistematik bir ayrismaya isaret etmedigi degerlendirilmektedir. Etki-tepki analizlerine dayanan ampirik bulgular, en yakindan iliskili olmasi beklenen cekirdek fiyat tanimlarinda dahi uretici fiyatlarindan tuketici fiyatlarina geciskenligin tam (bire-bir) olmadigi yonundeki gorsel analizleri desteklemektedir. [EN] In this note, the reasons for the difference between CPI and PPI inflation rates are discussed and the pass-through from producer to consumer prices is analyzed. The major determinants of this temporary difference are as follows : Compilation of PPI with tax free prices and the exclusion of prices of services; the mismatch between the contemporary baskets of unprocessed food and agriculture products; indirect tax adjustments for the selected products with a relatively high share in the CPI; the relatively faster and higher pass-through of exchange rate and foreign prices on PPI. Nonetheless, given that the average annual CPI and PPI inflations are similar and that consumer and producer prices converge in the long term, the temporary difference between the two indices does not point to a systematic divergence. Empirical results support visual inspections that imply partial pass-through from producer to consumer prices even when core measures are taken into account.
By Ali Hakan Kara and Fethi Ogunc; Exchange Rate Pass-Through in Turkey: It is Slow, but is it Re... more By Ali Hakan Kara and Fethi Ogunc; Exchange Rate Pass-Through in Turkey: It is Slow, but is it Really Low?
In this study, neutral real interest rate gap and output gap are estimated jointly under two diff... more In this study, neutral real interest rate gap and output gap are estimated jointly under two different multivariate unobserved components models with the motivation to provide empirical measures that can be used to analyze the amount of stimulus that monetary policy is passing on to the economy, and to understand historical macroeconomic developments. In the analyses, Kalman filter technique is applied to a small-scale macroeconomic model of the Turkish economy to estimate the unobserved variables for the period 1989-2005. In addition, two alternative specifications for neutral real interest rate are used in the analyses. The first model uses a random walk model for the neutral real interest rate, whereas the second one employs more structural specification, which specifically links the neutral real rate with the trend growth rate and the long-term course of the risk premium. Comparison of the models developed by using various performance criteria clearly indicates the use of more s...
This paper specifies a basic univariate and a bivariate unobserved components models to estimate ... more This paper specifies a basic univariate and a bivariate unobserved components models to estimate potential output using information from observable aggregates and presents results for the Turkish economy. The most important motivation behind measuring output gap for the Turkish economy is the absence of a certain measure for the output gap that can be used for both near-term and long-term inflation forecasts especially within the “inflation-targeting framework”. The first specification used in the paper, i.e. univariate approach, decomposes actual output into potential output that follows a random walk with a time-varying potential growth rate and a stationary output gap. The univariate specifications commonly ignore some economic content, which might be relevant for the measurement of output gap. In this respect, the univariate model is extended by utilizing the relationship between inflation and the output gap, namely the Phillips curve. Whereas both models give similar output gap...
Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch ge... more Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen. Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may be saved and copied for your personal and scholarly purposes. You are not to copy documents for public or commercial purposes, to exhibit the documents publicly, to make them publicly available on the internet, or to distribute or otherwise use the documents in public.
In this study, an output gap measure is derived for the Turkish economy using an estimated New Ke... more In this study, an output gap measure is derived for the Turkish economy using an estimated New Keynesian model. Considering the ongoing structural transformation during the last decade, the model is estimated for 2002-2010 period using Bayesian techniques. The results indicate that output, which reached a trough in the first quarter of 2009 due to the global crisis, has not returned back to its potential level as of the third quarter of 2010. Below-potential level of output for two subsequent years after the crisis has not only provided striking evidence on the depth of the crisis, but also emerged as a major factor exerting downward pressure on inflation during this period. On the other hand, the results point out that the identification of domestic and external drivers of aggregate demand has a critical role for an effective demand management in monetary policy focusing on price stability. INVISIBLE BUT NOT IMPERCEPTIBLE: OUTPUT GAP IN TURKEY JEL E32, C11, E31, C51 Keywords Output gap, Bayesian estimation, Unobserved components model, New Keynesian model ÖZ Bu çalışmada, Yeni Keynesyen bir model kullanılarak Türkiye ekonomisi için bir çıktı açığı göstergesi türetilmiştir. Geçtiğimiz on yıllık dönemdeki yapısal dönüşüm süreci dikkate alınarak, model 2002-2010 dönemi için Bayesçi yöntem kullanılarak tahmin edilmiştir. Bulgular, küresel krizin etkisiyle 2009 yılının ilk çeyreğinde dip yapan üretimin, 2010 yılının üçüncü çeyreği itibarıyla halen potansiyel düzeyine ulaşamadığını göstermektedir. Üretimin iki yıl boyunca potansiyel düzeyinin altında seyretmesi, yaşanan krizin derinliği hakkında çarpıcı bir kanıt sunarken, anılan dönemde enflasyon üzerinde aşağı yönlü baskı oluşturan unsurlardan biri olmuştur. Bununla birlikte sonuçlar göstermektedir ki, fiyat istikrarını gözeten para politikasının talep yönetimini etkin bir şekilde yürütebilmesi için, toplam talep koşullarını belirleyen iç ve dış etmenlerin ayrıştırılması kritik önem taşımaktadır.
For central banks, whose primary objective is to maintain low and sustainable inflation, understa... more For central banks, whose primary objective is to maintain low and sustainable inflation, understanding the determinants of food prices and their sensitivity to monetary policy is crucial for measuring the effectiveness of policy actions. This study empirically analyzes the determinants of the processed food inflation in Turkey. The findings point out that the recent acceleration in the processed food inflation mostly stems from supply side shocks triggered by domestic drought and the upsurge in the international food prices. The emergence of a steep difference between the level of temperature and the seasonal averages gives rise to an increase in the processed food inflation, whereas moderate rise in the temperatures above the seasonal averages slows down the food inflation. The study indicates that the import prices mostly affect the domestic processed food prices through the processed intermediate food products rather than consumption goods. Exchange rate pass-through to processed...
InflatIon targetIng and exchange rate pass-through* Reginaldo Pinto Nogueira Junior § resumo O ar... more InflatIon targetIng and exchange rate pass-through* Reginaldo Pinto Nogueira Junior § resumo O artigo apresenta evidência sobre o exchange rate pass-through (ERPT) para um grupo de economias emergentes que adotaram o regime de metas inflacionárias. Algumas economias desenvolvidas também são analisadas para efeito de comparação. O ERPT é estimado por meio de um modelo ARDL para preços ao consumidor e ao produtor. Os resultados mostram uma forte redução do ERPT para ambos os índices de preços, após a adoção do regime de metas. A queda observada, porém, não significa que o ERPT tenha sido totalmente eliminado, em especial no longo prazo.
The views expressed in this working paper are those of the author(s) and do not necessarily repre... more The views expressed in this working paper are those of the author(s) and do not necessarily represent the official views of the Central Bank of the Republic of Turkey. The Working Paper Series are externally refereed. The refereeing process is managed by the Research and Monetary Policy Department.
Complete document available on OLIS in its original format This document and any map included her... more Complete document available on OLIS in its original format This document and any map included herein are without prejudice to the status of or sovereignty over any territory, to the delimitation of international frontiers and boundaries and to the name of any territory, city or area.
This paper presents a time-varying parameter methodology for constructing an estimate of output g... more This paper presents a time-varying parameter methodology for constructing an estimate of output gap for Turkey. We employ the extended Kalman filter technique in a multivariate setting in which economic content is utilized by the inclusion of inflation and output gap dynamics. As a by-product, we characterize time varying nature of output gap and inflation dynamics. Several results emerge: First, we show that estimating the potential output and output gap in a multivariate setting has several advantages over univariate techniques such as the HP filter. Second, our output gap estimates confirm the historical boom-bust cycles in Turkey and point out that business cycle displays sharp turning points rather than exhibiting a smooth pattern. Third, output gap seems to have contributed dramatically to the disinflation process in 2002-2004. Fourth, estimated time varying parameters suggest that, recently, the relation between real interest rates and the output gap seems to have been conver...
Turkiye’de islenmemis gida urunleri fiyatlari tuketici fiyat endeksindeki diger mal ve hizmet gru... more Turkiye’de islenmemis gida urunleri fiyatlari tuketici fiyat endeksindeki diger mal ve hizmet gruplarina gore daha dalgali bir seyir izlemektedir. Bu calismada, sektordeki farkli kesimlerden uzman kisilerle gerceklestirilmis mulakatlardan yola cikilarak, soz konusu fiyatlardaki yuksek oynakliga yol acan yapisal faktorlere yonelik bir analiz sunulmaktadir. Gorusmelerde, uretimin iklim kosullarina bagimli olmasi, bilgi alt yapisinin yetersizligi, araci sayisinin fazla olmasi, tarim sektorune yonelik kamu desteklerine dair belirsizlikler, duzenleme ve denetim/gozetim yapisindaki yetersizlik, tarimsal uretimin bazi bolgelerde yogunlasmasi ve dis talepteki dalgalanmalar bu faktorlerden baslicalari olarak belirtilmistir. Gozlemler, islenmemis gida fiyatlarinin daha istikrarli seyri icin orta-uzun vadeli bir perspektifle gelistirilecek kamu politikalarinin onemli oldugu dusuncesini desteklemektedir.(The unprocessed food prices are more volatile than the prices of other items included in th...
used in output gap estimation are subject to criticism as being purely statistical and having no ... more used in output gap estimation are subject to criticism as being purely statistical and having no economic content. The information content of the output gap measures estimated by standard multivariate filtering techniques, on the other hand, can be distorted because of the possibly unrealistic restriction that system parameters stay constant over time. In this study, we seek to address these shortcomings by proposing an output gap estimation method that takes into account changing economic relations. We employ a nonlinear time series framework along with an extended Kalman filter, in which economic content is used by inflation and output gap dynamics and the parameters are allowed to be time varying. We use the Turkish economy as a laboratory to show that our method provides useful results, both in terms of the properties of output gap estimates and for the assessment of change in macroeconomic dynamics.
used in output gap estimation are subject to criticism as being purely statistical and having no ... more used in output gap estimation are subject to criticism as being purely statistical and having no economic content. The information content of the output gap measures estimated by standard multivariate filtering techniques, on the other hand, can be distorted because of the possibly unrealistic restriction that system parameters stay constant over time. In this study, we seek to address these shortcomings by proposing an output gap estimation method that takes into account changing economic relations. We employ a nonlinear time series framework along with an extended Kalman filter, in which economic content is used by inflation and output gap dynamics and the parameters are allowed to be time varying. We use the Turkish economy as a laboratory to show that our method provides useful results, both in terms of the properties of output gap estimates and for the assessment of change in macroeconomic dynamics.
This study specifies a basic univariate and a bivariate unobserved components model to estimate p... more This study specifies a basic univariate and a bivariate unobserved components model to estimate potential output using information from observable aggregates and presents results for the Turkish economy. The first specification used in the study, i.e. univariate approach, decomposes actual output into potential output that follows a random walk with a time-varying potential growth rate and a stationary output gap. The univariate specifications commonly ignore some economic content, which might be relevant for the measurement of the output gap. In this respect, the univariate model is extended by utilizing the relationship between inflation and the output gap, namely the Phillips curve. Whereas both models give similar output gap estimates, signal extraction statistics suggest that incorporating the supply side to the system reduces the parameter uncertainty and the total standard error and improves the gap estimate.
This study estimates the neutral real interest rate and output gap jointly under two different mu... more This study estimates the neutral real interest rate and output gap jointly under two different multivariate unobserved components models. In the analyses, Kalman filter is applied to a small-scale macroeconomic model of the Turkish economy to estimate the unobserved variables for the period 1989 to ...
[TR] Bu calismada Bayesci yontem kullanilarak Turkiye’de cikti acigini temel bilesenlerine ayrist... more [TR] Bu calismada Bayesci yontem kullanilarak Turkiye’de cikti acigini temel bilesenlerine ayristiran bir cerceve sunulmaktadir. Sonuclarimiz, Lehman krizini takip eden surecte Turkiye’de ic ve dis talep arasinda ciddi bir ayrisma yasanirken, ekonomi genelinde asiri bir isinma olmadigini gostermektedir. Bu bulgular, Turkiye Cumhuriyet Merkez Bankasi'nin (TCMB) yeni politika cercevesine zemin hazirlayan ve kayda deger bir enflasyon baskisi olmaksizin hizli kredi buyumesi ve artan cari islemler acigi ile tanimlanabilecek iktisadi gorunume iliskin goruslerini desteklemektedir. Bu kosullar altinda salt toplam cikti acigina dayandirilan geleneksel para politikasi yaklasimi finansal istikrar ile uyumlu olmayan bir politika onermesinde bulunabilecektir. Bu baglamda,cikti acigi bilesenlerinin turetilmesi, tutarli politikalarin tasarlanmasinda karar alicilara yardimci olacaktir. [EN] We estimate an output gap measure for Turkey in a Bayesian framework with special reference to its components. Our results suggest that Turkey experienced a notable divergence between domestic and external demand with no sign of overheating for the whole economy in the post-Lehman crisis period. This finding confirms the basis for the new policy framework of the Central Bank of Turkey (CBT), which was characterized by rapid credit expansion and growing current account deficit without significant inflationary pressures. Under these circumstances, conventional monetary policy practice focusing solely on aggregate output gap may suggest policy prescriptions inconsistent with financial stability. In this regard, extracting the components of output gap would help policymakers make a suitable policy design to avoid any contradiction among objectives.
[TR] Bu notta, TUFE ve UFE enflasyon oranlari arasindaki farklilasmanin nedenleri ozetlendikten s... more [TR] Bu notta, TUFE ve UFE enflasyon oranlari arasindaki farklilasmanin nedenleri ozetlendikten sonra iki endeks arasindaki geciskenlik iliskisi incelenmektedir. Uretici fiyatlarinin vergi haric derleniyor olmasi ve hizmet fiyatlarini icermemesi, islenmemis gida urunleri ile tarim urunlerinin her iki endekste esanli kapsamlarinin ortusmemesi, tuketici fiyatlarinda goreli payi yuksek belirli urunlerde dolayli vergi artislarinin gozlenmesi, uretici fiyatlarinin kur ve ithalat fiyat geciskenliginin tuketici fiyatlarina kiyasla yuksek olmasi aradaki donemsel farkin temel belirleyicileridir. Ancak, TUFE ve UFE enflasyonlarinin uzun donemli ortalamalarinin birbirine paralel olmasi ve uretici ve tuketici fiyatlarinin uzun donemde birbirine yakinsiyor olmasi sebebiyle donemsel farklarin sistematik bir ayrismaya isaret etmedigi degerlendirilmektedir. Etki-tepki analizlerine dayanan ampirik bulgular, en yakindan iliskili olmasi beklenen cekirdek fiyat tanimlarinda dahi uretici fiyatlarindan tuketici fiyatlarina geciskenligin tam (bire-bir) olmadigi yonundeki gorsel analizleri desteklemektedir. [EN] In this note, the reasons for the difference between CPI and PPI inflation rates are discussed and the pass-through from producer to consumer prices is analyzed. The major determinants of this temporary difference are as follows : Compilation of PPI with tax free prices and the exclusion of prices of services; the mismatch between the contemporary baskets of unprocessed food and agriculture products; indirect tax adjustments for the selected products with a relatively high share in the CPI; the relatively faster and higher pass-through of exchange rate and foreign prices on PPI. Nonetheless, given that the average annual CPI and PPI inflations are similar and that consumer and producer prices converge in the long term, the temporary difference between the two indices does not point to a systematic divergence. Empirical results support visual inspections that imply partial pass-through from producer to consumer prices even when core measures are taken into account.
By Ali Hakan Kara and Fethi Ogunc; Exchange Rate Pass-Through in Turkey: It is Slow, but is it Re... more By Ali Hakan Kara and Fethi Ogunc; Exchange Rate Pass-Through in Turkey: It is Slow, but is it Really Low?
In this study, neutral real interest rate gap and output gap are estimated jointly under two diff... more In this study, neutral real interest rate gap and output gap are estimated jointly under two different multivariate unobserved components models with the motivation to provide empirical measures that can be used to analyze the amount of stimulus that monetary policy is passing on to the economy, and to understand historical macroeconomic developments. In the analyses, Kalman filter technique is applied to a small-scale macroeconomic model of the Turkish economy to estimate the unobserved variables for the period 1989-2005. In addition, two alternative specifications for neutral real interest rate are used in the analyses. The first model uses a random walk model for the neutral real interest rate, whereas the second one employs more structural specification, which specifically links the neutral real rate with the trend growth rate and the long-term course of the risk premium. Comparison of the models developed by using various performance criteria clearly indicates the use of more s...
This paper specifies a basic univariate and a bivariate unobserved components models to estimate ... more This paper specifies a basic univariate and a bivariate unobserved components models to estimate potential output using information from observable aggregates and presents results for the Turkish economy. The most important motivation behind measuring output gap for the Turkish economy is the absence of a certain measure for the output gap that can be used for both near-term and long-term inflation forecasts especially within the “inflation-targeting framework”. The first specification used in the paper, i.e. univariate approach, decomposes actual output into potential output that follows a random walk with a time-varying potential growth rate and a stationary output gap. The univariate specifications commonly ignore some economic content, which might be relevant for the measurement of output gap. In this respect, the univariate model is extended by utilizing the relationship between inflation and the output gap, namely the Phillips curve. Whereas both models give similar output gap...
Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch ge... more Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen. Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may be saved and copied for your personal and scholarly purposes. You are not to copy documents for public or commercial purposes, to exhibit the documents publicly, to make them publicly available on the internet, or to distribute or otherwise use the documents in public.
In this study, an output gap measure is derived for the Turkish economy using an estimated New Ke... more In this study, an output gap measure is derived for the Turkish economy using an estimated New Keynesian model. Considering the ongoing structural transformation during the last decade, the model is estimated for 2002-2010 period using Bayesian techniques. The results indicate that output, which reached a trough in the first quarter of 2009 due to the global crisis, has not returned back to its potential level as of the third quarter of 2010. Below-potential level of output for two subsequent years after the crisis has not only provided striking evidence on the depth of the crisis, but also emerged as a major factor exerting downward pressure on inflation during this period. On the other hand, the results point out that the identification of domestic and external drivers of aggregate demand has a critical role for an effective demand management in monetary policy focusing on price stability. INVISIBLE BUT NOT IMPERCEPTIBLE: OUTPUT GAP IN TURKEY JEL E32, C11, E31, C51 Keywords Output gap, Bayesian estimation, Unobserved components model, New Keynesian model ÖZ Bu çalışmada, Yeni Keynesyen bir model kullanılarak Türkiye ekonomisi için bir çıktı açığı göstergesi türetilmiştir. Geçtiğimiz on yıllık dönemdeki yapısal dönüşüm süreci dikkate alınarak, model 2002-2010 dönemi için Bayesçi yöntem kullanılarak tahmin edilmiştir. Bulgular, küresel krizin etkisiyle 2009 yılının ilk çeyreğinde dip yapan üretimin, 2010 yılının üçüncü çeyreği itibarıyla halen potansiyel düzeyine ulaşamadığını göstermektedir. Üretimin iki yıl boyunca potansiyel düzeyinin altında seyretmesi, yaşanan krizin derinliği hakkında çarpıcı bir kanıt sunarken, anılan dönemde enflasyon üzerinde aşağı yönlü baskı oluşturan unsurlardan biri olmuştur. Bununla birlikte sonuçlar göstermektedir ki, fiyat istikrarını gözeten para politikasının talep yönetimini etkin bir şekilde yürütebilmesi için, toplam talep koşullarını belirleyen iç ve dış etmenlerin ayrıştırılması kritik önem taşımaktadır.
For central banks, whose primary objective is to maintain low and sustainable inflation, understa... more For central banks, whose primary objective is to maintain low and sustainable inflation, understanding the determinants of food prices and their sensitivity to monetary policy is crucial for measuring the effectiveness of policy actions. This study empirically analyzes the determinants of the processed food inflation in Turkey. The findings point out that the recent acceleration in the processed food inflation mostly stems from supply side shocks triggered by domestic drought and the upsurge in the international food prices. The emergence of a steep difference between the level of temperature and the seasonal averages gives rise to an increase in the processed food inflation, whereas moderate rise in the temperatures above the seasonal averages slows down the food inflation. The study indicates that the import prices mostly affect the domestic processed food prices through the processed intermediate food products rather than consumption goods. Exchange rate pass-through to processed...
InflatIon targetIng and exchange rate pass-through* Reginaldo Pinto Nogueira Junior § resumo O ar... more InflatIon targetIng and exchange rate pass-through* Reginaldo Pinto Nogueira Junior § resumo O artigo apresenta evidência sobre o exchange rate pass-through (ERPT) para um grupo de economias emergentes que adotaram o regime de metas inflacionárias. Algumas economias desenvolvidas também são analisadas para efeito de comparação. O ERPT é estimado por meio de um modelo ARDL para preços ao consumidor e ao produtor. Os resultados mostram uma forte redução do ERPT para ambos os índices de preços, após a adoção do regime de metas. A queda observada, porém, não significa que o ERPT tenha sido totalmente eliminado, em especial no longo prazo.
The views expressed in this working paper are those of the author(s) and do not necessarily repre... more The views expressed in this working paper are those of the author(s) and do not necessarily represent the official views of the Central Bank of the Republic of Turkey. The Working Paper Series are externally refereed. The refereeing process is managed by the Research and Monetary Policy Department.
Complete document available on OLIS in its original format This document and any map included her... more Complete document available on OLIS in its original format This document and any map included herein are without prejudice to the status of or sovereignty over any territory, to the delimitation of international frontiers and boundaries and to the name of any territory, city or area.
This paper presents a time-varying parameter methodology for constructing an estimate of output g... more This paper presents a time-varying parameter methodology for constructing an estimate of output gap for Turkey. We employ the extended Kalman filter technique in a multivariate setting in which economic content is utilized by the inclusion of inflation and output gap dynamics. As a by-product, we characterize time varying nature of output gap and inflation dynamics. Several results emerge: First, we show that estimating the potential output and output gap in a multivariate setting has several advantages over univariate techniques such as the HP filter. Second, our output gap estimates confirm the historical boom-bust cycles in Turkey and point out that business cycle displays sharp turning points rather than exhibiting a smooth pattern. Third, output gap seems to have contributed dramatically to the disinflation process in 2002-2004. Fourth, estimated time varying parameters suggest that, recently, the relation between real interest rates and the output gap seems to have been conver...
Turkiye’de islenmemis gida urunleri fiyatlari tuketici fiyat endeksindeki diger mal ve hizmet gru... more Turkiye’de islenmemis gida urunleri fiyatlari tuketici fiyat endeksindeki diger mal ve hizmet gruplarina gore daha dalgali bir seyir izlemektedir. Bu calismada, sektordeki farkli kesimlerden uzman kisilerle gerceklestirilmis mulakatlardan yola cikilarak, soz konusu fiyatlardaki yuksek oynakliga yol acan yapisal faktorlere yonelik bir analiz sunulmaktadir. Gorusmelerde, uretimin iklim kosullarina bagimli olmasi, bilgi alt yapisinin yetersizligi, araci sayisinin fazla olmasi, tarim sektorune yonelik kamu desteklerine dair belirsizlikler, duzenleme ve denetim/gozetim yapisindaki yetersizlik, tarimsal uretimin bazi bolgelerde yogunlasmasi ve dis talepteki dalgalanmalar bu faktorlerden baslicalari olarak belirtilmistir. Gozlemler, islenmemis gida fiyatlarinin daha istikrarli seyri icin orta-uzun vadeli bir perspektifle gelistirilecek kamu politikalarinin onemli oldugu dusuncesini desteklemektedir.(The unprocessed food prices are more volatile than the prices of other items included in th...
used in output gap estimation are subject to criticism as being purely statistical and having no ... more used in output gap estimation are subject to criticism as being purely statistical and having no economic content. The information content of the output gap measures estimated by standard multivariate filtering techniques, on the other hand, can be distorted because of the possibly unrealistic restriction that system parameters stay constant over time. In this study, we seek to address these shortcomings by proposing an output gap estimation method that takes into account changing economic relations. We employ a nonlinear time series framework along with an extended Kalman filter, in which economic content is used by inflation and output gap dynamics and the parameters are allowed to be time varying. We use the Turkish economy as a laboratory to show that our method provides useful results, both in terms of the properties of output gap estimates and for the assessment of change in macroeconomic dynamics.
used in output gap estimation are subject to criticism as being purely statistical and having no ... more used in output gap estimation are subject to criticism as being purely statistical and having no economic content. The information content of the output gap measures estimated by standard multivariate filtering techniques, on the other hand, can be distorted because of the possibly unrealistic restriction that system parameters stay constant over time. In this study, we seek to address these shortcomings by proposing an output gap estimation method that takes into account changing economic relations. We employ a nonlinear time series framework along with an extended Kalman filter, in which economic content is used by inflation and output gap dynamics and the parameters are allowed to be time varying. We use the Turkish economy as a laboratory to show that our method provides useful results, both in terms of the properties of output gap estimates and for the assessment of change in macroeconomic dynamics.
This study specifies a basic univariate and a bivariate unobserved components model to estimate p... more This study specifies a basic univariate and a bivariate unobserved components model to estimate potential output using information from observable aggregates and presents results for the Turkish economy. The first specification used in the study, i.e. univariate approach, decomposes actual output into potential output that follows a random walk with a time-varying potential growth rate and a stationary output gap. The univariate specifications commonly ignore some economic content, which might be relevant for the measurement of the output gap. In this respect, the univariate model is extended by utilizing the relationship between inflation and the output gap, namely the Phillips curve. Whereas both models give similar output gap estimates, signal extraction statistics suggest that incorporating the supply side to the system reduces the parameter uncertainty and the total standard error and improves the gap estimate.
This study estimates the neutral real interest rate and output gap jointly under two different mu... more This study estimates the neutral real interest rate and output gap jointly under two different multivariate unobserved components models. In the analyses, Kalman filter is applied to a small-scale macroeconomic model of the Turkish economy to estimate the unobserved variables for the period 1989 to ...
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Papers by Fethi Öğünç