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Journals / Dumlupınar Üniversitesi Sosyal Bilimler Dergisi / 2021 / Sayı: 67

An Alternative Measurement of Transmission Between Consumer and Producer Prices: Disaggregated Indices in Turkey

Tüketici ve Üretici Fiyatları Arasında Geçişkenliğin Alternatif Ölçümü: Alt Endeksler Ayrımında Türkiye Örneği

Necmettin Alpay KOCAK
Pages
12–27
Publication Date
2021-01-28
DOI
—
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AI Summary & Key Takeaways

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

USD/TL exchange rate is found to have a positive effect on the transmission between the sub-indices in both short and long term for both clusters.

📌 3 Key Takeaways

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Objective & Hypothesis:The existence and dimensions of the transmission between consumer prices and producer prices are examined in this study.
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Key Findings & Data:Unlike the literature, the following methods are used in the study in which the analysis period covers between February 2005 and April 2020; the VAR-DCC-GARCH method to determine the existence of the time varying (dynamic) transmission among sub -indices and to measure theirs level; the K-Means cluster analysis to examine the differentiation in the transmission; the dynamic panel ARDL error correction model to measure the effects of USD/TL exchange rate on the transmission.
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Conclusion & Impact:USD/TL exchange rate is found to have a positive effect on the transmission between the sub-indices in both short and long term for both clusters.
🔬Design:Modeling & Simulation
📍Scope:2005 Verileri
⚙️Variables:Tüketici fiyatları · Üretici fiyatları · Dinamik koşullu korelasyon

Abstract

The existence and dimensions of the transmission between consumer prices and producer prices are examined in this study. Unlike the literature, the following methods are used in the study in which the analysis period covers between February 2005 and April 2020; the VAR-DCC-GARCH method to determine the existence of the time varying (dynamic) transmission among sub -indices and to measure theirs level; the K-Means cluster analysis to examine the differentiation in the transmission; the dynamic panel ARDL error correction model to measure the effects of USD/TL exchange rate on the transmission. The findings point out that there is a valid transmission between the Consumer Price Index (CPI) and the Domestic Producer Price Index (D-PPI) sub-indices. The CPI sub-indices which are related to service prices and all D-PPI sub-indices are concentrated in a cluster. USD/TL exchange rate is found to have a positive effect on the transmission between the sub-indices in both short and long term for both clusters.

Özet

Bu çalışmada tüketici fiyatları ile üretici fiyatları arasındaki geçişkenlik ilişkisinin varlığı ve boyutları incelenmiştir. 2005 Şubat-2020 Nisan arasındaki dönemin analiz edildiği çalışmada, literatürden farklı olarak alt endeksler arasındaki zamana bağlı değişen (dinamik) geçişkenliğin varlığının ortaya konulmasında ve seviyesinin ölçülmesinde VAR-DCC-GARCH yöntemi; geçişkenlik katsayılarında farklılaşmayı irdelemek amacıyla K-Means kümeleme analizi; USD/TL kurunun alt endeksler arasındaki dinamik geçişkenlik katsayılarına etkilerinin ölçülmesinde dinamik panel ARDL hata düzeltme modeli kullanılmıştır. Elde edilen bulgular, Tüketici Fiyat Endeksi (TÜFE) ve Yurt içi Üretici Fiyat Endeksi (Yİ-ÜFE) alt endeksleri arasında geçişkenliğin var olduğunu göstermiştir. Yüksek geçişkenliğe sahip hizmet fiyatlarıyla ilişkili TÜFE alt endeksleri ve tüm Yİ-ÜFE alt endekslerinin bir kümede yoğunlaştığı görülmüştür. USD/TL kurunun geçişkenlik üzerinde her iki küme için de kısa ve uzun dönemde istatistiksel olarak anlamlı ve pozitif etkiye sahip olduğu tespit edilmiştir.

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Cite This Article

KOCAK, N. A. (2021). An Alternative Measurement of Transmission Between Consumer and Producer Prices: Disaggregated Indices in Turkey. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, Sayı: 67, 12–27. https://ajindex.com/articles/659729

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