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Kırılgan Beşli Ülkelerde Tüketici ve Üretici Fiyatları Arasındaki Aktarım Mekanizması: Eşik Eşbütünleşme ve Hata Düzeltme

Yıl 2023, Cilt: 41 Sayı: 2, 251 - 270, 15.06.2023
https://doi.org/10.17065/huniibf.1137805

Öz

Bu çalışmada tüketici ve üretici fiyatlar arasındaki akaktarım mekanizması, asimetrik modeller çerçevesinde ve kırılgan beşli ülkeler kapsamında incelenmiştir. Çalışmada 2010:M1-2021:M8 dönemi dikkate alınarak TAR ve M-TAR eşbütünleşme ve hata düzeltme modelleri kullanılmıştır. Analiz sonuçları Brezilya ve Hindistan için TÜFE ile ÜFE arasında asimetrik bir ilişki olmadığını gösterirken, Güney Afrika, Endonezya ve Türkiye için uzun dönemli asimetrik bir ilişkiye işaret etmiştir. Asimetrik hata düzeltme tahmin sonuçlarına göre Endonezya, Güney Afrika ve Türkiye için uzun dönemli asimetrik nedensellik ilişkisi bulunmazken, kısa dönemde nedensellik ilişkisi tespit edilmiştir. Kırılgan beşli ülkelere ilişkin fiyat endeksleri arasındaki aktarım mekanizmasının farklı işlemesi, ülkelerin iç dinamiklerinin farklılığını ortaya koymaktadır.

Kaynakça

  • Abdioğlu, Z., & Korkmaz, Ö. (2012). Tüketici ve üretici fiyat endekslerinde fiyat geçişkenliği: Alt sektörler. Çukurova Üniversitesi İİBF Dergisi, 16(2), 65-81. https://dergipark.org.tr/en/pub/cuiibfd/issue/4146/54440
  • Alemu, Z. G. (2012). Causality links between consumer and producer price inflation in South Africa. Applied Economics Letters, 19(1), 13-18. https://doi.org/10.1080/13504851.2011.564127
  • Anggraeni, D., & Irawan, T. (2018). Causality analysis of producer price index (ppi) and consumer price index (cpi) in Indonesia. Jurnal Ekonomi dan Kebijakan Pembangunan, 7(1), 60-77. https://doi.org/10.29244/jekp.7.1.2018.60-77
  • Atuk, O., Ogunc, F., Ozmen, M. U., & Sarikaya, C. (2013). Turkiye’de uretici ve tuketici fiyatlari arasindaki iliski uzerine bir degerlendirme (No. 1321). Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  • Balke, N. S., & Fomby, T. (1997). Threshold cointegration. International Economic Review, 38, 627–643. https://doi.org/10.2307/2527284
  • Caner, M., & Hansen, B. (1998), Threshold autoregression with a near unit root. Working paper, University of Wisconsin, Dept. of Economics. https://doi.org/10.1111/1468-0262.00257
  • Cerquera-Losada, Ó. H., Murcia-Arias, J. P., & Conde-Guzmán, J. (2018). Relationship between the consumer price index and the producer price index for six south American countries. Apuntes del Cenes, 37(66), 39-74.
  • Cerquera-Losada, Ó. H., Murcia-Arias, J. P., & Conde-Guzmán, J. (2018). Relationship between the consumer price index and the producer price index for six south American countries. Apuntes del Cenes, 37(66), 39-74.
  • Clark, T. E. (1995). Do producer prices lead consumer prices? Economic Review-Federal Reserve Bank of Kansas City, 80, 25-25.
  • Dickey, D. & Fuller, W. A. (1979). Distribution of the estimates for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, 427–431. https://doi.org/10.1080/01621459.1979.10482531
  • Enders, W. & Siklos, P. L. (2001). Cointegration and threshold adjustment. Journal of Business & Economic Statistics, 19,2, 166-176, https://doi.org/10.1198/073500101316970395
  • Engle, R. F., & Granger, C. W. J. (1987). Cointegration and error correction: Representation, estimation and testing. Econometrica, 55, 251–276. https://doi.org/10.2307/1913236 Erdem, H. F., & Yamak, R. (2014). Üretici fiyat endeksi ve tüketici fiyat endeksi arasındaki geçişkenliğin derecesi. Anadolu Üniversitesi Sosyal Bilimler Dergisi, 14(4), 1-13. https://doi.org/10.18037/ausbd.25661
  • Ghazali, M. F., Yee, O. A., & Muhammad, M. Z. (2008). Do producer prices cause consumer prices? Some empirical evidence. International Journal of Business and Management, 3(11), 78-82.
  • Johansen, S. (1996). Likelihood-based inference in cointegrated vector auto-regressive models, Oxford, U.K.: Oxford University Press.
  • Jongwanich, J., Park, D., & Wongcharoen, P. (2019). Determinants of producer price versus consumer price inflation in emerging Asia. Journal of the Asia Pacific Economy, 24(2), 224-251. https://doi.org/10.1080/13547860.2019.1574251
  • Kangal, M., (2021). FED’in Para Politikalarının Gelişmekte Olan Ülkeler Üzerindeki Etkisi, Haliç Üniversitesi Sosyal Bilimler Dergisi, 4 (2), 243-266.
  • Khan, K., Su, C. W., Tao, R., & Lobonţ, O. R. (2018). Producer price index and consumer price index: Causality in central and Eastern European countries. Ekonomicky Casopis, 66(4), 367-395.
  • Kapetanios, G., Shin, Y., & Snell, A. (2003). Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics, 112(2), 359-379. https://doi.org/10.1016/S0304-4076(02)00202-6
  • Kocak, N. A. (2021). Türkiye'de tüketici ve üretici fiyatları arasındaki ilişkinin alternatif tahmin yöntemleri kullanılarak analizi. Business and Economics Research Journal, 12(1), 33-47. doi: 10.20409/berj.2021.309
  • Landry, Anthony E. (2005). Expectations and exchange rate dynamics: A state-dependent pricing approach, Job Market Paper, Boston University. https://doi.org/10.1016/j.jinteco.2009.01.010
  • Li, S., Tang, G., Yang, D., & Du, S. (2019). Research on the relationship between cpi and ppi based on vec model. Open Journal of Statistics, 9(02), 218. https://doi.org/10.4236/ojs.2019.92016 Otero, J., & Smith, J. (2017). Response surface models for OLS and GLS detrending-based unit-root tests in nonlinear ESTAR models. The Stata Journal, 17(3), 704-722.
  • Oyeleke, O. J., & Ojediran, O. A. (2018). Exploring the relationship between consumer price index (cpi) and producer price index (ppi) in Nigeria. Advances in Social Sciences Research Journal, 5(11) 214-224. https://doi.org/10.14738/assrj.511.5450
  • Öner, H. (2018). Tüfe ve yurt içi üfe enflasyon oranları ile alt enflasyon kalemleri arasındaki ilişkinin ampirik analizi. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 11(4), 129-142. https://doi.org/10.25287/ohuiibf.432268
  • Phillips, P. & Perron, P. (1988). Testing for a unit root in time series regression. Biometrica, 75, 335-346. https://doi.org/10.1093/biomet/75.2.335
  • Saraç, B., & Karagöz, K. (2010). Türkiye’de tüketici ve üretici fiyatları arasındaki ilişki: Yapısal kırılma ve sınır testi. Maliye Dergisi, (159), 220-232.
  • Shahbaz, M., Awan, R. U., & Nasir, N. M. (2009). Producer & consumer prices nexus: ARDL bounds testing approach. International Journal of Marketing Studies, 1(2), 78.
  • Sidaoui, J., Capistrán, C., Chiquiar, D., & Ramos-Francia, M. (2009). A note on the predictive content of ppi over cpi inflation: The case of Mexico (No. 2009-14). Working Papers.
  • Su, C. W., Khan, K., Lobont, O. R., & Sung, H. C. (2016). Is there any relationship between producer price index and consumer price index in Slovakia? A bootstrap rolling approach 1. Ekonomicky Casopis, 64(7), 611.
  • Tarı, R., Abasiz, T., & Pehlivanoğlu, F. (2012). Tefe (üfe)-tüfe fiyat endeksleri arasindaki nedensellik ilişkisi: frekans alani yaklaşimi. Akdeniz Universitesi İktisadi ve Idari Bilimler Fakultesi Dergisi, 12(24).
  • Tiwari, A. K., & Shahbaz, M. (2013). Modelling the relationship between whole sale price and consumer price indices: Cointegration and causality analysis for India. Global Business Review, 14(3), 397-411. https://doi.org/10.1177/0972150913496784
  • Topuz, Y. V., Yazdifar, H., & Sahadev, S. (2018). The relation between the producer and consumer price indices: a two-country study. Journal of Revenue and Pricing Management, 17(3), 122-130. https://doi.org/10.1057/s41272-017-0125-x
  • Uslu, E. (2012). Reel kurun denge değerinden sapmasında balassa-samuelson etkisi: Türkiye örneği. (Yayımlanmamış uzmanlık yeterlilik tezi). Türkiye Cumhuriyet Merkez Bankası.
  • Walter E., & C. W. J. Granger (1998) Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of Business & Economic Statistics, 16(3), 304-311, https://doi.org/10.1080/07350015.1998.10524769
  • World Bank, World Development Indicators, Retrieved 22 May 2022 from https://databank.worldbank.org/source/world-development-indicators
  • Wei, S. J., & Xie, Y. (2018). On the divergence between CPI and PPI as inflation gauges: The role of supply chains. National Bureau of Economic Research.
  • Yıldırım, Z. (2015). Enflasyon rejimleri ve üretici enflasyonundan tüketici enflasyonuna geçişkenlik. Central Bank Review, 15(3), 89-114.
  • Yin, W. K., & Jia, L. X. (2013). Threshold cointegration and causality between CPI and PPI in selected countries: Some international evidence, Working Paper Series, Hong Kong Shue Yan University.

TRANSMISSION MECHANISM BETWEEN CONSUMER AND PRODUCER PRICES IN FRAGİLE FIVE COUNTRIES: THRESHOLD COINTEGRATION AND ERROR CORRECTION

Yıl 2023, Cilt: 41 Sayı: 2, 251 - 270, 15.06.2023
https://doi.org/10.17065/huniibf.1137805

Öz

This study focuses on examining the interrelationship between consumer and producer prices within the framework of the fragile five within the scope of asymmetric models. Considering the 2010:M1-2021:M8 period, TAR and M-TAR cointegration and error correction models were used in the study. The results of the analysis indicated that there was no asymmetrical relationship between CPI and PPI for Brazil and India, while it pointed to an asymmetric long-term relationship for South Africa, Indonesia, and Turkey. According to the asymmetric error correction estimation results, while no long-term asymmetric causality relationship could be found for Indonesia, South Africa and Turkey, it was determined for the short-term. According to this, there is a causal relationship from PPI to CPI for Indonesia, from CPI to PPI for South Africa, and bidirectional causality for Turkey. The differences in the transmission mechanism between the price indices of the fragile five countries reveal the differences in the internal dynamics of the countries.

Kaynakça

  • Abdioğlu, Z., & Korkmaz, Ö. (2012). Tüketici ve üretici fiyat endekslerinde fiyat geçişkenliği: Alt sektörler. Çukurova Üniversitesi İİBF Dergisi, 16(2), 65-81. https://dergipark.org.tr/en/pub/cuiibfd/issue/4146/54440
  • Alemu, Z. G. (2012). Causality links between consumer and producer price inflation in South Africa. Applied Economics Letters, 19(1), 13-18. https://doi.org/10.1080/13504851.2011.564127
  • Anggraeni, D., & Irawan, T. (2018). Causality analysis of producer price index (ppi) and consumer price index (cpi) in Indonesia. Jurnal Ekonomi dan Kebijakan Pembangunan, 7(1), 60-77. https://doi.org/10.29244/jekp.7.1.2018.60-77
  • Atuk, O., Ogunc, F., Ozmen, M. U., & Sarikaya, C. (2013). Turkiye’de uretici ve tuketici fiyatlari arasindaki iliski uzerine bir degerlendirme (No. 1321). Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  • Balke, N. S., & Fomby, T. (1997). Threshold cointegration. International Economic Review, 38, 627–643. https://doi.org/10.2307/2527284
  • Caner, M., & Hansen, B. (1998), Threshold autoregression with a near unit root. Working paper, University of Wisconsin, Dept. of Economics. https://doi.org/10.1111/1468-0262.00257
  • Cerquera-Losada, Ó. H., Murcia-Arias, J. P., & Conde-Guzmán, J. (2018). Relationship between the consumer price index and the producer price index for six south American countries. Apuntes del Cenes, 37(66), 39-74.
  • Cerquera-Losada, Ó. H., Murcia-Arias, J. P., & Conde-Guzmán, J. (2018). Relationship between the consumer price index and the producer price index for six south American countries. Apuntes del Cenes, 37(66), 39-74.
  • Clark, T. E. (1995). Do producer prices lead consumer prices? Economic Review-Federal Reserve Bank of Kansas City, 80, 25-25.
  • Dickey, D. & Fuller, W. A. (1979). Distribution of the estimates for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, 427–431. https://doi.org/10.1080/01621459.1979.10482531
  • Enders, W. & Siklos, P. L. (2001). Cointegration and threshold adjustment. Journal of Business & Economic Statistics, 19,2, 166-176, https://doi.org/10.1198/073500101316970395
  • Engle, R. F., & Granger, C. W. J. (1987). Cointegration and error correction: Representation, estimation and testing. Econometrica, 55, 251–276. https://doi.org/10.2307/1913236 Erdem, H. F., & Yamak, R. (2014). Üretici fiyat endeksi ve tüketici fiyat endeksi arasındaki geçişkenliğin derecesi. Anadolu Üniversitesi Sosyal Bilimler Dergisi, 14(4), 1-13. https://doi.org/10.18037/ausbd.25661
  • Ghazali, M. F., Yee, O. A., & Muhammad, M. Z. (2008). Do producer prices cause consumer prices? Some empirical evidence. International Journal of Business and Management, 3(11), 78-82.
  • Johansen, S. (1996). Likelihood-based inference in cointegrated vector auto-regressive models, Oxford, U.K.: Oxford University Press.
  • Jongwanich, J., Park, D., & Wongcharoen, P. (2019). Determinants of producer price versus consumer price inflation in emerging Asia. Journal of the Asia Pacific Economy, 24(2), 224-251. https://doi.org/10.1080/13547860.2019.1574251
  • Kangal, M., (2021). FED’in Para Politikalarının Gelişmekte Olan Ülkeler Üzerindeki Etkisi, Haliç Üniversitesi Sosyal Bilimler Dergisi, 4 (2), 243-266.
  • Khan, K., Su, C. W., Tao, R., & Lobonţ, O. R. (2018). Producer price index and consumer price index: Causality in central and Eastern European countries. Ekonomicky Casopis, 66(4), 367-395.
  • Kapetanios, G., Shin, Y., & Snell, A. (2003). Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics, 112(2), 359-379. https://doi.org/10.1016/S0304-4076(02)00202-6
  • Kocak, N. A. (2021). Türkiye'de tüketici ve üretici fiyatları arasındaki ilişkinin alternatif tahmin yöntemleri kullanılarak analizi. Business and Economics Research Journal, 12(1), 33-47. doi: 10.20409/berj.2021.309
  • Landry, Anthony E. (2005). Expectations and exchange rate dynamics: A state-dependent pricing approach, Job Market Paper, Boston University. https://doi.org/10.1016/j.jinteco.2009.01.010
  • Li, S., Tang, G., Yang, D., & Du, S. (2019). Research on the relationship between cpi and ppi based on vec model. Open Journal of Statistics, 9(02), 218. https://doi.org/10.4236/ojs.2019.92016 Otero, J., & Smith, J. (2017). Response surface models for OLS and GLS detrending-based unit-root tests in nonlinear ESTAR models. The Stata Journal, 17(3), 704-722.
  • Oyeleke, O. J., & Ojediran, O. A. (2018). Exploring the relationship between consumer price index (cpi) and producer price index (ppi) in Nigeria. Advances in Social Sciences Research Journal, 5(11) 214-224. https://doi.org/10.14738/assrj.511.5450
  • Öner, H. (2018). Tüfe ve yurt içi üfe enflasyon oranları ile alt enflasyon kalemleri arasındaki ilişkinin ampirik analizi. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 11(4), 129-142. https://doi.org/10.25287/ohuiibf.432268
  • Phillips, P. & Perron, P. (1988). Testing for a unit root in time series regression. Biometrica, 75, 335-346. https://doi.org/10.1093/biomet/75.2.335
  • Saraç, B., & Karagöz, K. (2010). Türkiye’de tüketici ve üretici fiyatları arasındaki ilişki: Yapısal kırılma ve sınır testi. Maliye Dergisi, (159), 220-232.
  • Shahbaz, M., Awan, R. U., & Nasir, N. M. (2009). Producer & consumer prices nexus: ARDL bounds testing approach. International Journal of Marketing Studies, 1(2), 78.
  • Sidaoui, J., Capistrán, C., Chiquiar, D., & Ramos-Francia, M. (2009). A note on the predictive content of ppi over cpi inflation: The case of Mexico (No. 2009-14). Working Papers.
  • Su, C. W., Khan, K., Lobont, O. R., & Sung, H. C. (2016). Is there any relationship between producer price index and consumer price index in Slovakia? A bootstrap rolling approach 1. Ekonomicky Casopis, 64(7), 611.
  • Tarı, R., Abasiz, T., & Pehlivanoğlu, F. (2012). Tefe (üfe)-tüfe fiyat endeksleri arasindaki nedensellik ilişkisi: frekans alani yaklaşimi. Akdeniz Universitesi İktisadi ve Idari Bilimler Fakultesi Dergisi, 12(24).
  • Tiwari, A. K., & Shahbaz, M. (2013). Modelling the relationship between whole sale price and consumer price indices: Cointegration and causality analysis for India. Global Business Review, 14(3), 397-411. https://doi.org/10.1177/0972150913496784
  • Topuz, Y. V., Yazdifar, H., & Sahadev, S. (2018). The relation between the producer and consumer price indices: a two-country study. Journal of Revenue and Pricing Management, 17(3), 122-130. https://doi.org/10.1057/s41272-017-0125-x
  • Uslu, E. (2012). Reel kurun denge değerinden sapmasında balassa-samuelson etkisi: Türkiye örneği. (Yayımlanmamış uzmanlık yeterlilik tezi). Türkiye Cumhuriyet Merkez Bankası.
  • Walter E., & C. W. J. Granger (1998) Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of Business & Economic Statistics, 16(3), 304-311, https://doi.org/10.1080/07350015.1998.10524769
  • World Bank, World Development Indicators, Retrieved 22 May 2022 from https://databank.worldbank.org/source/world-development-indicators
  • Wei, S. J., & Xie, Y. (2018). On the divergence between CPI and PPI as inflation gauges: The role of supply chains. National Bureau of Economic Research.
  • Yıldırım, Z. (2015). Enflasyon rejimleri ve üretici enflasyonundan tüketici enflasyonuna geçişkenlik. Central Bank Review, 15(3), 89-114.
  • Yin, W. K., & Jia, L. X. (2013). Threshold cointegration and causality between CPI and PPI in selected countries: Some international evidence, Working Paper Series, Hong Kong Shue Yan University.
Toplam 37 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Ekonomik Modeller ve Öngörü
Bölüm Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
Yazarlar

Nilcan Mert 0000-0002-4065-4768

Yayımlanma Tarihi 15 Haziran 2023
Gönderilme Tarihi 29 Haziran 2022
Yayımlandığı Sayı Yıl 2023 Cilt: 41 Sayı: 2

Kaynak Göster

APA Mert, N. (2023). TRANSMISSION MECHANISM BETWEEN CONSUMER AND PRODUCER PRICES IN FRAGİLE FIVE COUNTRIES: THRESHOLD COINTEGRATION AND ERROR CORRECTION. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 41(2), 251-270. https://doi.org/10.17065/huniibf.1137805
AMA Mert N. TRANSMISSION MECHANISM BETWEEN CONSUMER AND PRODUCER PRICES IN FRAGİLE FIVE COUNTRIES: THRESHOLD COINTEGRATION AND ERROR CORRECTION. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. Haziran 2023;41(2):251-270. doi:10.17065/huniibf.1137805
Chicago Mert, Nilcan. “TRANSMISSION MECHANISM BETWEEN CONSUMER AND PRODUCER PRICES IN FRAGİLE FIVE COUNTRIES: THRESHOLD COINTEGRATION AND ERROR CORRECTION”. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi 41, sy. 2 (Haziran 2023): 251-70. https://doi.org/10.17065/huniibf.1137805.
EndNote Mert N (01 Haziran 2023) TRANSMISSION MECHANISM BETWEEN CONSUMER AND PRODUCER PRICES IN FRAGİLE FIVE COUNTRIES: THRESHOLD COINTEGRATION AND ERROR CORRECTION. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 41 2 251–270.
IEEE N. Mert, “TRANSMISSION MECHANISM BETWEEN CONSUMER AND PRODUCER PRICES IN FRAGİLE FIVE COUNTRIES: THRESHOLD COINTEGRATION AND ERROR CORRECTION”, Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, c. 41, sy. 2, ss. 251–270, 2023, doi: 10.17065/huniibf.1137805.
ISNAD Mert, Nilcan. “TRANSMISSION MECHANISM BETWEEN CONSUMER AND PRODUCER PRICES IN FRAGİLE FIVE COUNTRIES: THRESHOLD COINTEGRATION AND ERROR CORRECTION”. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 41/2 (Haziran 2023), 251-270. https://doi.org/10.17065/huniibf.1137805.
JAMA Mert N. TRANSMISSION MECHANISM BETWEEN CONSUMER AND PRODUCER PRICES IN FRAGİLE FIVE COUNTRIES: THRESHOLD COINTEGRATION AND ERROR CORRECTION. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2023;41:251–270.
MLA Mert, Nilcan. “TRANSMISSION MECHANISM BETWEEN CONSUMER AND PRODUCER PRICES IN FRAGİLE FIVE COUNTRIES: THRESHOLD COINTEGRATION AND ERROR CORRECTION”. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, c. 41, sy. 2, 2023, ss. 251-70, doi:10.17065/huniibf.1137805.
Vancouver Mert N. TRANSMISSION MECHANISM BETWEEN CONSUMER AND PRODUCER PRICES IN FRAGİLE FIVE COUNTRIES: THRESHOLD COINTEGRATION AND ERROR CORRECTION. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2023;41(2):251-70.

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