KaydedilenlerDerginizi ekleyin

Dergiler / İktisat Politikası Araştırmaları Dergisi / 2023 / Cilt: 10 Sayı: 1

Türkiye'de Gıda Fiyatlarının Belirleyicileri: Fourier Engle-Granger Eşbütünleşme Testi

Determinants of Food Prices in Türkiye: Fourier Engle-Granger Cointegration Test

Veysel İnal
Şerif Canbay
Mustafa Kırca
Sayfa
133–156
Yayın Tarihi
2023-01-30
DOI
—
🏛️Bu makalenin bibliyografik verileri ve tam metin bağlantısı DergiPark üzerinden sağlanmıştır.
DergiPark Kaydı ↗
✨

Yapay Zeka Hızlı Bakış & Çıkarımlar

AI Insight
⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

FEG eşbütünleşme testi sonuçlarına göre, uzun dönemde tüketici faiz oranları, reel efektif döviz kuru ve gıda üretim endeksinin gıda fiyatları üzerinde anlamlı etkisinin olduğu tespit edilmiştir.

📌 3 Maddede Bu Makale

🎯
Amaç & Hipotez:Bu çalışma, 2008M04-2020M08 döneminde Türkiye'de tüketici faiz oranları, reel efektif döviz kuru endeksi ve gıda üretim endeksinin gıda fiyat endeksi üzerindeki etkilerini ortaya koymayı amaçlamaktadır.
📊
Temel Bulgular & Veri:Bu çalışmada, Türkiye'de ciddi bir sorun haline gelen gıda fiyat endeksindeki artışa neden olan faktörler araştırılırken yeni geliştirilen bir zaman serisi analizi kullanılmıştır.
💡
Sonuç & Katkı:FEG eşbütünleşme testi sonuçlarına göre, uzun dönemde tüketici faiz oranları, reel efektif döviz kuru ve gıda üretim endeksinin gıda fiyatları üzerinde anlamlı etkisinin olduğu tespit edilmiştir.
🔬Tür:Modelleme & Sayısal Simülasyon
📍Kapsam:Genişletilmiş Akademik Örneklem
⚙️Değişkenler:Gıda fiyat endeksi · Reel efektif döviz kuru · Tüketici faiz oranı

Özet

Bu çalışma, 2008M04-2020M08 döneminde Türkiye'de tüketici faiz oranları, reel efektif döviz kuru endeksi ve gıda üretim endeksinin gıda fiyat endeksi üzerindeki etkilerini ortaya koymayı amaçlamaktadır. Değişkenler arasındaki ilişkiler Fourier Engle-Granger (FEG) eşbütünleşme testi, uzun dönem katsayı tahmin edicileri ve hata düzeltme modeline dayalı Fourier Granger nedensellik testleri ile incelenmiştir. Bu çalışmada, Türkiye'de ciddi bir sorun haline gelen gıda fiyat endeksindeki artışa neden olan faktörler araştırılırken yeni geliştirilen bir zaman serisi analizi kullanılmıştır. Hem dönem hem de yöntem açısından Türkiye için bu konuda yapılan ilk çalışmadır. FEG eşbütünleşme testi sonuçlarına göre, uzun dönemde tüketici faiz oranları, reel efektif döviz kuru ve gıda üretim endeksinin gıda fiyatları üzerinde anlamlı etkisinin olduğu tespit edilmiştir. Uzun vadede, gıda üretim endeksindeki %1'lik bir artış gıda fiyat endeksini %0,39 ve %0,33 oranında, reel döviz kurundaki %1'lik bir artış ise gıda fiyat endeksini %0,26 ve %0,25 oranında düşürmektedir. Tüketici faiz oranlarının önemli bir etkisi yoktur. Ayrıca hata düzeltme modeline dayalı Fourier Granger nedensellik testi sonuçlarına göre reel efektif döviz kuru endeksi ve gıda üretim endeksinden gıda fiyat endeksine doğru nedensellik ilişkisi vardır. Çalışma politika yapıcılar için önemli bulgular içermektedir

Abstract

This study aims to reveal the effects of consumer interest rates, real effective exchange rate index, and food production index on the food price index in Türkiye, in the date range 2008M04-2020M08. The relationships between the variables were investigated with the Fourier Engle-Granger (FEG) cointegration test, long-run coefficient estimators, and Fourier Granger causality tests based on the error correction model. This study uses a novel developed time series analysis while investigating the factors that cause the increase in the food price index, which has become a serious problem in Türkiye. It is the first study on this subject for Türkiye in terms of the period and the method. According to the FEG cointegration test results, it was determined that consumer interest rates, real effective exchange rates, and food production index significantly affected food prices in the long run. Over the long term, a 1% increase in the food production index decreased the food price index by 0.39% and 0.33%, and a 1% increase in the real exchange rate index reduced the food price index by 0.26% and 0.25%. Consumer interest rates did not have a significant effect. In addition, according to the Fourier Granger causality test results based on the error correction model, causality relationships from the real effective exchange rate index and food production index to the food price index were determined. The study contains important findings for policymakers.

🔖

Bu Makaleye Atıf Yap

İnal, V., Canbay, Ş., Kırca, M. (2023). Türkiye'de Gıda Fiyatlarının Belirleyicileri: Fourier Engle-Granger Eşbütünleşme Testi. İktisat Politikası Araştırmaları Dergisi, Cilt: 10 Sayı: 1, 133–156. https://ajindex.com/articles/1064235

📄 Tam Metin PDF Okuyucu

↗Yeni Sekme

Kaynakça (96)

  1. Abbott, P. C., Hurt, C. & Tyner, W. E. (2008). What’s driving food prices? In Family Court Review, 46(3), 1-40. google scholar
  2. Abdullah, M. & Kalim, R. (2012). Empirical analysis of food price inflation in Pakistan. World Applied Sciences Journal, 16(7), 933-939. google scholar
  3. Agriculture-Forestry Council, 2022. https://cdniys.tarimorman.gov.tr/api/File/GetFile/330/Sayfa/1416/1778/ DosyaGaleri/5._tarimsal_girdiler_ve_finansman.pdf [last accessed 02.01.2022]. google scholar
  4. Agyei, S. K., Isshaq, Z., Frimpong, S., Adam, A. M., Bossman, A. & Asiamah, O. (2021). Covid-19 and food prices in Sub-Saharan Africa. African Development, 33, 102-113. google scholar
  5. Ağazade, S. (2021). Analysis of the relationship between cotton production and prices by using koyck approach in Türkiye. Journal of Tekirdag Agricultural Faculty, 18(3), 386-399. google scholar
  6. Anh, V. T., Quan, L. T. T., Phuc, N. V., Chi, H. M. & Duc, V. H. (2021). Exchange rate pass-through in ASEAN countries: An application of the SVAR model. Emerging Markets Finance and Trade, 57(1), 21-34. google scholar
  7. Baek, J. & Koo, W. W. (2010). Analyzing factors affecting U.S. food price inflation. Canadian Journal of Agricultural Economics, 58(3), 303-320. google scholar
  8. Baffes, J. & Dennis, A. (2014). Long-term drivers of food prices. DC: World Bank. https://openknowledge. worldbank.org/bitstream/handle/10986/15594/WPS6455. pdf?sequence=1 [last accessed 28.12.2021]. google scholar
  9. Baffoe-Bonnie, J. (1998). The dynamic impact of macroeconomic aggregates on housing prices and stock of houses: A national and regional analysis. Journal of Real Estate Finance and Economics 17(2), 179-197. google scholar
  10. Bakkal, S. & Aysan, E. (2011). The effect of the economic crisis on consumer loans in the Turkish banking system (1. Press), Istanbul, Hiperlink Publications. google scholar
  11. Baltzer, K. (2013). International to domestic price transmission in fourteen developing countries during the 200708 food crisis (No. 2013/031). WIDER working paper. google scholar
  12. Barsky, R. B. & Summers, L. H. (1988). Gibson’s paradox and the gold standard. Journal of Political Economy, 96(3), 528-550. google scholar
  13. Başkaya, Y. S., Gürgür, T. & Öğünç, F. (2008). Factors that determine processed food prices. TCMB Working Paper 08(09), 1-49. google scholar
  14. Bayramoğlu, A. T. & Koç Yurtkur, A. (2015). International factors on food and agricultural price determinations in Türkiye. Anadolu University Journal of Social Sciences, 15(2), 63-74. google scholar
  15. Bekkers, E., Brockmeier, M., Francois, J., Yang, F., (2017). Local food prices and international price transmission. World Development 96, 216-230. google scholar
  16. Campa, J. M.,Goldberg, L. S., 2005. Exchange rate pass-through into import prices. Review of Economics and Statistics 87(4), 679-690. google scholar
  17. CBRT, 2020. Inflation report (2020)-IV. https://www.tcmb.gov.tr/wps/wcm/connect/cca35dc9-7d37-4419-a20d-f3948377f78e/enfekim2020_iv_tam.pdf? MOD=AJPERES&CACHEID=ROOTWORKSPACE-cca35dc9-7d37-4419-a20d-f3948377f78e-no9w7rI [last accessed 02.01.2022]. google scholar
  18. CBRT (2022). Inflation report 2022-I. https://www.tcmb.gov.tr/wps/wcm/connect/75635e65-74bf-4d04-83ca-415ffea1f032/enfocak_2022_i_tam.pdf? MOD=AJPERES&CACHEID=ROOTWORKSPACE-75635e65-74bf-4d04-83ca-415ffea1f032-nWqBrwE [last accessed 03.01.2022]. google scholar
  19. Chadha, J. S. & Perlman, M. (2014). Was the gibson paradox for real? A Wicksellian study of the relationship between interest rates and prices (Vol. 1403). Available at https://www.econstor.eu/ bitstream/10419/105698/1/1403.pdf [last accessed 20.02.2022]. google scholar
  20. Christiaensen, L. J. & Subbarao, K., (2005). Towards an understanding of household vulnerability in rural Kenya. Journal of African Economies, 14(4), 520-558. google scholar
  21. Çıplak, U. & Yücel, M. E. (2004). Trade protection measures, agricultural and food prices. TCMB Çalışma Tebliği 04(01), 1-24. google scholar
  22. Davidson, J., Halunga, A., Lloyd, T., Mccorriston, S. & Morgan, C. W. (2012). Explaining UK food price inflation (1). http://eprints.bournemouth.ac.uk/24500/1/UK_Food_Inflation_WP1.pdf [last accessed 22.01.2022]. google scholar
  23. De Janvry, A. & Sadoulet, E. (2002). World poverty and the role of agricultural technology: direct and indirect effects. Journal of Development Studies, 38(4), 1-26. google scholar
  24. Demir, Y. (2022). The determination of the impact of global energy and food prices on inflation in Turkey with time-varying causality method. Süleyman Demirel University Visionary Journal, 13(33), 189-203. google scholar
  25. Dev, S. M. (2020). Addressing Covid-19 impacts on agriculture, food security, and livelihoods in India. IFPRI Research Post. google scholar
  26. Dikmen, N. (2006). The relationship between koyck-almon approach and tobacco production and price. Çankırı University Journal ofSocial Sciences, 15(2), 153-168. google scholar
  27. Doğan, H. G. & Gürler, Z. (2013). Implementation on an agricultural product selected of econometric model distributed lag (almon model sample of dry onion). The Journal ofAcademic Review, 39, 1-12. google scholar
  28. Dua, P. & Goel, D. (2021). Determinants of inflation in India. The Journal ofDeveloping Areas, 55(2), 205-221. google scholar
  29. Electronic Data Delivery System, (2021). The central bank of the Republic of Türkiye (Dataset). https://evds2. tcmb.gov.tr/ [last accessed 02.03.2022]. google scholar
  30. Enders W, & Lee J. (2012). The flexible Fourier form and dickey-fuller type unit root tests. Economic Letters, 117, 196-199. google scholar
  31. Engle, R. & Granger, C. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica, 55 (2), 251-276. google scholar
  32. Engle, R. F. & Rangel, J. G. (2008). The spline-GARCH model for low-frequency volatility and its global macroeconomic causes. The review offinancial studies, 21(3), 1187-1222. google scholar
  33. Erdal, G. (2006). The analysis of the relation between production and price in agricultural products with the koyck model (Tomato Case). Journal of Agricultural Faculty of Gaziosmanpaşa University, 23(2), 21-29. google scholar
  34. Erdal, G. & Erdal, H. (2008). The interaction between production and prices for dry onion. Journal ofAgricultural Faculty of Gaziosmanpaşa Unıversity, 25(1), 33-39. google scholar
  35. Eren, O., Kal, S. H. & Özmen, M. U. (2017). Türkiye’de gıda enflasyonunun belirleyicileri. CBT Research Notes in Economics No: 2017-15. Research and Monetary Policy Department, Central Bank of the Republic of Türkiye (1-15). google scholar
  36. Esmaeili, A. & Shokoohi, Z. (2011). Assessing the effect of oil price on world food prices: Application of principal component analysis. Energy Policy, 39(2), 1022-1025. google scholar
  37. FAO (2021). Statistical yearbook. https://www.fao.org/3/cb4477en/cb4477en.pdf [last accessed 15.03.2022]. google scholar
  38. FAO & WFP (2020). FAO-WFP early warning analysis of acute food insecurity hotspots. https://www.fao.org/3/ cb1907en/cb1907en.pdf [last accessed 16.03.2022]. google scholar
  39. Fisher, I. (1930). The theory of interest: is determined by impatience to spend income and the opportunity to invest it. USA: Kelley Publishing google scholar
  40. Friedman, M. & Schwartz, A. J. (1982). Monetary trends in the United States and the United Kingdom relate to income, prices and interest rates, 1867-1975. In National Bureau of Economic Research. google scholar
  41. Gibson, A.H. (1923). The future course of high class investment values. banker’s magazine (London) 115, 15-34. google scholar
  42. Gilbert, C.L. (2010). How to understand high food prices. Journal of Agricultural Economics 61 (2), 398-425. google scholar
  43. Granger, C.W. (1981). Some properties of time series data and their use in econometric model specifications. Journal of Econometrics, 16(1), 121-130. google scholar
  44. Granger, C.W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: Journal of the Econometric Society, 424-438. google scholar
  45. Gregory, A. W. & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal ofEconometrics 70(1), 99-126. google scholar
  46. Gümüşsoy, F.G. (2021). Relation of dry onion production and price determination with ARDL boundary test and almon model: cobweb theorem. Journal ofEconomics Public Finance Business, 4(1), 37-55. google scholar
  47. Gürdal, T., Kırca, M., İnal, V. & Değirmenci, T. (2018). Sustainability of current account deficit: Fourier unit root test. Business and Organization Research, Full Text Book: 717-725. google scholar
  48. Gündüz, M. A., Kalaycı, S. & Afşar, B. (2017). Effect of exchange rates and oil prices in export of agricultural products: The example of Türkiye. Journal ofBusiness Research Turk, 9(4), 805-819. google scholar
  49. Güngör, E., & Erer, D. (2022). Examination of the nonlinear relationship between, exchange rate, oil prices and the food prices in Turkey: time-varying parameter VAR (TVPVAR) models. Alanya Academic Review Journal, 6(2), 2481-2497 google scholar
  50. Hannsgen, G. (2004). Gibson’s paradox, monetary policy, and the emergence of cycles. Working Paper No.410, The Levy Economics Institute of Board College. google scholar
  51. Hatemi-j, A. (2008). Tests for cointegration with two unknown regime shifts with an application to financial market integration. Empirical Economics, 35(3), 497-505. google scholar
  52. Howard, M. (2002). Causality between exports, imports and income in Trinidad and Tobago. International Economic Journal, 16(4), 97-106. google scholar
  53. Imran, K., Anwar, S., & Hye, Q. M. A. (2009). Food prices and money supply: a causality analysis for Bangladesh economy. Journal of Social and Economic Policy, 6(2), 1-6. google scholar
  54. Jomo, K. S., & Chowdhury, A. (2020). Covid-19 pandemic recession and recovery. Development, 63(2), 226-237. google scholar
  55. Juhro, S.M., Siregar, R.Y. & Trisnanto, B. (2022). Exchange rate policy and capital flow management. In: Warjiyo, P., Juhro, S.M. (eds) Central Bank Policy Mix: Issues, Challenges, and Policy Responses. Springer, Singapore. https://doi.org/10.1007/978-981-16-6827-2_4 google scholar
  56. Kara, H. & Öğünç, F. (2012). Pass-through from exchange rates and import prices to domestic prices. İktisat İşletme ve Finans, 27(317), 1-20. google scholar
  57. Karacan, R. (2017). An empirical study about the impact of the change in exchange rate on food expenses in Türkiye. The Journal ofAcademic Social Science, 5(40), 142-152. google scholar
  58. Karadaş, H. A. & Koşaroğlu, Ş. M. (2020). The relationship between agricultural product prices, crude oil prices and exchange rate: a cointegration analysis for Türkiye. Istanbul Commerce University Journal of Social Science, 515-526. google scholar
  59. Karali, B. & Power, G. J. (2013). Short-and long-run determinants of commodity price volatility. Am J Agric Econ, 95(3), 724-738. google scholar
  60. Katusiime, L. (2018). Investigating spillover effects between foreign exchange rate volatility and commodity price volatility in Uganda. Economies, 7(1), 1-17. google scholar
  61. Korkmaz, S. & Bayır, M. (2015). The effect of exchange rate fluctuatıons to domestıc prıce ındex. Academic Review of Economics and Administrative Sciences, 8(4), 69-85. google scholar
  62. Kutlu, Ş. (2021). Determinants of food inflation in Türkiye: evidence from the SVAR model. Ekev Academy Journal 87, 581-598. google scholar
  63. Lamb, R.L. (2000). Food crops, exports, and the short-run policy response of agriculture in Africa. Agricultural Economics, 22(2000), 271-298. google scholar
  64. Maki, D. (2012). Tests for cointegration allowing for an unknown number of breaks. Economic Modelling, 41(2014). google scholar
  65. Makun, K. (2021). Food inflation dynamics in a Pacific Island economy-a study of Fiji: causes and policy implications. The Journal ofDeveloping Areas, 55(4), 119-132. google scholar
  66. Maslow, A.H. (1943). A theory of human motivation. Psychological Review, 50(4), 370-396. google scholar
  67. Maslow, A.H. (1958). A dynamic theory of human motivation. In C. L. Stacey & M. DeMartino (Ed.), Howard Allen Publishers, 26-47. google scholar
  68. Mills, T.C. (2008). Exploring historical economic relationships: two and a half centuries of British interest rates and inflation. Cliometrica, 2(3), 213-228. google scholar
  69. Mirdala, R. (2014). Exchange rate pass-through to consumer prices in the European transition economies. Procedia Economics and Finance, 12, 428-436. google scholar
  70. Mohanty, M. S. & Klau, M. (2001). What determines inflation in emerging market economies? In modelling aspects of the inflation process and the monetary transmission mechanism in emerging market countries (8). https:// www.bis.org/publ/bppdf/bispap08.pdf#page=9 [last accessed 10.02.2022]. google scholar
  71. Muth, J.F. (1961). Rational expectations and the theory of price movements. Econometrica: Journal of the Econometric Society, 29(3), 315-335. google scholar
  72. Nadiah, H.A. & Mansur, M. (2018). Determinants of food price inflation: Evidence from Malaysia based on linear and nonlinear ARDL. MPRA Paper 91517, 1-26. google scholar
  73. Özbay, N. & Çelik, Ş. (2016). Investigation by almon lag model of production and price relationships in watermelon production in Türkiye. Journal ofAgriculture and Nature, 19(2), 141-146. google scholar
  74. Özdemir, M. & Yıldırım, S. (2017). Price level and interest rate: is the gibson paradox relevant for the Turkish economy? Journal ofFinance, 174, 26-47. google scholar
  75. Page, H. (2013). Global governance and food security as global public good. New York: Center on International Cooperation. google scholar
  76. Petetin, L. (2020). The COVID-19 crisis: an opportunity to integrate food democracy into post-pandemic food systems. European Journal ofRisk Regulation 11(Speciel Issue 2), 326-336. google scholar
  77. Phillips, P.C.B. & Hansen, B.E. (1990). Statistical inference in instrumental variables regression with I(1) processes. The Review ofEconomic Studies, 57(1), 99-125. google scholar
  78. Phuc, N. V. & Duc, V. H. (2021). Macroeconomics determinants of exchange rate pass-through: new evidence from the Asia-Pacific region. Emerging Markets Finance and Trade, 57(1), 5-20. google scholar
  79. Reboredo, J. C. & Ugando, M. (2014). US dollar exchange rate and food price dependence: implications for portfolio risk management. North American Journal ofEconomics and Finance, 30(C), 32-89. google scholar
  80. Republic of Türkiye Ministry of Agriculture and Foresty 2020. Supporting agricultural-based economic investments within the scope of rural development support. https://www.tarimorman.gov.tr/TRGM/ Belgeler/K%C4%B1rsal%20Ekonomik%20Altyap%C4%B1%20Yat%C4%B1r%C4%B1mlar%C4%B1%20 Uygulama%20Rehberi%20De%C4%9Fi%C5%9Fikli%C4%9Fi/I._UYGULAMA_ESASLARI_ EKONOMIK_.pdf [last accessed 03.01.2022]. google scholar
  81. Said, S. E. & Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71 (3), 599-607. google scholar
  82. Stock J.H. & Watson M.W. (1993) A simple estimator of cointegrating vectors in higher order integrated systems. Econometrica, 61 (4), 783-820 google scholar
  83. Trostle, R. (2008). Global agricultural supply and demand: factors contributing to the recent increase in food commodity prices, US department of agriculture. Economic Research Service Report WRS-0801. google scholar
  84. TSI (2022). Newsletter 45790. https://data.tuik.gov.tr/Bulten/Index?p=Tuketici-Fiyat-Endeksi-Ocak-2022-45790 [last accessed 02.01.2022]. google scholar
  85. TSI (2022a). Foreign trade statistics. https://data.tuik.gov.tr/Bulten/Index?p=Dis-Ticaret-Istatistikleri-Ocak-2022-45536 [last accessed 02.01.2022]. google scholar
  86. TSI (2022b). Household consumption expenditures. https://data.tuik.gov.tr/Bulten/Index?p=Hanehalki-Tuketim-Harcamasi-2019-33593 [last accessed 02.01.2022]. google scholar
  87. TURKSTAT (2022). Food Price Index, https://data.tuik.gov.tr/Bulten/Index?p=Tuketici-Fiyat-Endeksi-Aralik-2021-45789 [last accessed 19.07.2022]. google scholar
  88. Uysal, D., Yılmaz, K. Ç.& Kasa, H. (2022). Analysis of time changing causes between the exchange rate and the prices of food and non-alcoholic beverages. Third Sector Social Economic Review, 57(1), 492-505. google scholar
  89. Valentina, S. (2020). Covid 19 is driving up food prices all over the world. https://ilostat.ilo.org/ covid-19-is-driving-up-food-prices-all-over-the world/ [last accessed 02.01.2022]. google scholar
  90. Woertz, E., Soler, E. & Farres, O. (2014). The impact of food price volatility and food inflation on Southern and Eastern Mediterranean Countries. Economics, 2, 1-9. google scholar
  91. Wodon, Q.T., Tsimpo, C. & Coulombe, H. (2008). Assessing the potential impact on poverty of rising cereals prices: The case of Ghana, The World Bank. google scholar
  92. Wong, K. K. & Shamsudin, M. N. (2017). Impact of crude oil price, exchange rates and real GDP on Malaysia’s food price fluctuations: Symmetric or asymmetric? International Journal of Economics and Management, 11(1) 259-275. google scholar
  93. Woo, W.T. (1984). Exchange rates and the prices of nonfood, nonfuel products corresponding. Brookings Papers on Economic Activity, 2, 511-536. google scholar
  94. Xie, H., Wang, P. & Yao, G. (2014). Exploring the dynamic mechanisms of farmland abandonment based on a spatially explicit economic model for environmental sustainability: A case study in jiangxi province, China. Sustainability, 6(3), 1260-1282. google scholar
  95. Yılancı, V. (2019). A residual-based cointegration test with a fourier approximation. MPRA Paper 95395. google scholar
  96. Yurttancikmaz, Z. Ç., Ahmid, A. F., Öndeş, T. & Karcioğlu, R. (2020). The impact of oil price and exchange rate on agricultural commodity prices:evidence from Turkey . GSI Journals Serie B: Advancements in Business and Economics, 3(1), 1-15. DOI: 10.5281/zenodo.4030139 google scholar