ENFLASYON DİRENCİNİN YAPISAL KIRILMALAR DİKKATE ALINARAK OTOREGRESİF MODELLEME İLE ANALİZ EDİLMESİ: TÜRKİYE ÖRNEĞİ.

Inflation persistence is a coefficient that shows how quickly the inflation rate will return to the long-term average value after any shocks. The lower this value, the faster the return to the long-term average value of inflation. This value affects the effectiveness of the monetary policy and at the same time can be affected by this policy. In this study, in order to evaluate the inflation persistence of the Turkish economy, monthly Consumer Price Index (CPI) inflation data covering the period 1982:03-2017:12 is analysed with a univariate approach. The inflation rate is calculated as percentage growth rate of the CPI from a month earlier. In order to calculate the inflation persistence, AR(1) model for an inflation rate is estimated. A distinguishing feature of this paper from other papers is that effects of structural breaks on both unit root tests and inflation persistence analyses are taken into account. In this study firstly inflation series is separated into three different periods according to the results of the LM unit-root tests with structural breaks. Then, the inflation persistence and the mean inflation rate are calculated for each period separately. Estimation results show that the long run mean inflation rate % 4.9 and the inflation persistence is 0.40 in the first period covering 1982:03-1988:02, the long run mean inflation rate % 7.3 and the inflation persistence is 0.36 in the second period covering 1988:03-2001:04, the long run mean inflation rate % 2.34 and the inflation persistence is 0.59 in the third period covering 2001:05-2017:12. Moreover there is a structural break in the autoregressive model estimated for third period and the inflation persistence which is equal to 0.71 before the structural break is decreased to 0.18 after the structural break. [ABSTRACT FROM AUTHOR]