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Journals / İnsan ve Toplum Bilimleri Araştırmaları Dergisi / 2017 / Cilt: 6 - Sayı: 2

Inflation Forecasting using ARIMA and Grey System Models

ARIMA ve Gri Sistem Modelleri ile Enflasyon Tahmini

ARZU TAY BAYRAMOĞLU
ZAFER ÖZTÜRK
Pages
760–776
DOI
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

According to the results obtained, the Grey System Model is more successful in estimating the PPI, and the ARIMA model is more successful for the CPI.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:In this study, the inflation rate which is one of the economic variables that economic units notice is forecasted using ARIMA and Grey System Models in Turkey.
📊
Key Findings & Data:The time series used in the study include 2003: 1-2016: 12 for TUFE and 2006: 1-2016: 12 for UFE.
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Conclusion & Impact:According to the results obtained, the Grey System Model is more successful in estimating the PPI, and the ARIMA model is more successful for the CPI.
🔬Design:Modeling & Simulation
📍Scope:2003 Verileri
⚙️Variables:ARIMA · Gri Sistem Modeli · Enflasyon Tahmini

Abstract

In this study, the inflation rate which is one of the economic variables that economic units notice is forecasted using ARIMA and Grey System Models in Turkey. The time series used in the study include 2003: 1-2016: 12 for TUFE and 2006: 1-2016: 12 for UFE. The findings suggest that the ARIMA model estimated the Consumer Price Index (CPI) with an error of 0.5%, while the Grey System Model forecasted with an error of 0.8%. In the prediction of Producer Price Index (PPI), the ARIMA model forecasted with an error of 1.8%, while the Grey System Model forecasted with an error of 1.1%. According to the results obtained, the Grey System Model is more successful in estimating the PPI, and the ARIMA model is more successful for the CPI. Also, both ARIMA and Grey System Model estimates have predicted the CPI better compared to the PPI.

Özet

Bu çalışmada ARIMA modeli ve Gri Sistem Modeli kullanılarak Türkiye’de enflasyon oranları tahmin edilmeye çalışılmıştır. Çalışma enflasyon hedeflemesinin uygulandığı 2003-2016 dönemini kapsamaktadır. Çalışmada elde edilen sonuçlara göre tüketici fiyat endeksi, ARIMA modeli ile % 0.5 ortalama mutlak yüzde hata ile tahmin edilirken Gri Sistem Modeli ile % 0.8 hata ile tahmin edilmiştir. Üretici fiyat endeksinin tahmininde ise ARIMA modeli %1.8 hata ile tahmin yaparken Gri Sistem Modeli %1.1 hata ile tahmin yapmıştır. Elde edilen sonuçlara göre tüketici fiyat endeksinin tahmininde ARIMA modeli üretici fiyat endeksinin tahmininde ise Gri Sistem Modeli daha başarılıdır. Ayrıca hem ARIMA hem de Gri Sistem Modeli tahminleri tüketici fiyat endeksini üretici fiyat endeksine göre daha iyi tahmin etmiştir. Bu doğrultuda Türkiye’de enflasyon hedeflemesi uygulamasına geçişin enflasyon tahminlerinin başarı yüzdesini olumlu yönde etkilediği sonucuna varılmıştır.

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Cite This Article

BAYRAMOĞLU, A. T., ÖZTÜRK, Z. (2017). Inflation Forecasting using ARIMA and Grey System Models. İnsan ve Toplum Bilimleri Araştırmaları Dergisi, Cilt: 6 - Sayı: 2, 760–776. https://ajindex.com/articles/269914

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