Araştırma Makalesi
Yıl 2018,
Cilt: 36 Sayı: 4, 75 - 94, 30.12.2018
Öz
New Keynesian economic
theory is built on the assumption that prices and wages are sticky. Despite the
aggregate data supporting the sticky prices assumption, micro data indicate
that disagregated prices change much faster than conventionally assumed. In
order to explain the disgreement between macro and micro data, we developed a
FAVAR model (Bernanke, Boivin ve Eliasz, 2005) and computed the common and
sector specific components for Turkish economy from 2005:01 to 2014:12. Our
analysis revealed that share of common components in price setting process in
Turkey is inconsistent with high degree of price rigidity.
Anahtar Kelimeler
Kaynakça
- Abdioğlu, Z.: (2010).Yeni Keynesyenlerde Fiyat ve Ücret Katılıkları: Türkiye Örneği, Doktora Tezi, Karadeniz Teknik Üniversitesi
- Alvarez, L.J. ve Dhyne, E., H. (2005). Sticky Prices in the Euro Area: A summary of new Micro Evidence, ECB Working Paper, No: 63.
- Bai, J., Kunpeng, L., Lu, L. (2014).Estimation and Inference of FAVAR Models, MPRA Paper No. 60960, Erişim adresi Online: http://mpra.ub.uni-muenchen.de/60960/
- Belke, A., Rees, A. (2014).Globalization and Monetary Policy – A FAVAR analysis for the G7 and the eurozone, The North American Journal of Economics and Finance, 29, 306-321.
- Bernanke, B., Blinder A. (1992).The Federal Funds Rate and the Channels of Monetary Transmission, American Economic Review, 82, 901-921.
- Bernanke, B., Gertler, M., Watson, M. (1997).Systematic Monetary Policy And The Effects Of Oil Price Shocks, Brookings Papers On Economic Activity, 1997:1, 91-142
- Bernanke, B., Mihov, I. (1998).The Liquidity Effect And Long-Run Neutrality, Carnegie Rochester Conference Series On Public Policy, 49, 149-194.
- Bernanke, B., Boivin, J. (2003).Monetary Policy İn A Data-Rich Environment, Journal Of Monetary Economics, 50:3, 525-546.
- Bernanke, B., Boivin, J., Elıasz, P. (2005).Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach., Quarterly Journal of Economics, 120(1), 387-422.
- Bils, M., Klenow, P. J. (2004).Some Evidence On The Importance Of Sticky Prices, Journal Of Political Economy, 112(5), 947-985.
- Boivin, J., Giannoni, M. P., Mihov, I. (2009).Sticky Prices And Monetary Policy: Evidence From Disaggregated Us Data, American Economic Review, 99:1, 350-384.
- Boivin, J., Ng, S. (2005).Understanding And Comparing Factor-Based Forecasts, International Journal Of Central Banking, 1(3), 117-151.
- Calvo, G. A. (1983).Staggered Prices İn A Utility-Maximizing Framework, Journal Of Monetary Economics, 12, 383-398.
- Fernald, J.G., Spiegel, M.M., Swanson, E.T. (2014).Monetary policy effectiveness in China: Evidence from a FAVAR model, Journal of International Money and Finance, 49(A), 83-103
- Fischer, S. (1977) Long-Term Contracts, Rational Expectations, and the Optimal Mone Supply Rule, Journal of Political Economy, 85(1), 191-205.
- Fukawa, K.: (2012). Estimation of an empirical FAVAR model and DSGE model for evaluating effects of government spending in Japan, Doktora tezi, City University of New York
- Golosov, M., Lucas R.E. (2007). Menu Costs and Phillips Curves, Journal of Political Economy, 115, 171-199.
- Gupta, R., Jurgias, M., Kabundi, A. (2010). The Effect of Monetary Policy on Real House Price Growth in South Africa: A Factor-Augmented Vector Autoregressin (FAVAR) Approach, Economic Modelling, 27(1), 315-323.
- Kashyap, A. K. (1995). Sticky Prices: New Evidence From Retail Catalogs, Quarterly Journal Of Economics, 100(1), 245-274.
- Klenow, P. J., Kryvtsov, O., (2008).State-Dependent Or Time-Dependent Pricing: Does It Matter For Recent U.S. Inflation?, Quarterly Journal Of Economics, 123(3), 863-904.
- Kydland, F.E., Prescott, E.C. (1982).The Computational Experiment: An Econometric Tool, Journal Of Economic Perspectives, 10(1), 69-85.
- Levy, D., Müller, G., Chen, Haipeng A., Bergen, M. E., And Dutta, S., (2008). Holiday Price Rigidity And Cost Of Price, Adjustment,Emory Law And Economics Research, Paper No. 06-13; Bar Ilan Univ. Pub Law Working Paper No. 06-1.
- Lagana, G., Sgro, P.M. (2011).A factor-augmented VAR approach: The efffect of a rise in the US personal income tax rate on the US and Canada, Economic Modelling, 28(3), 1163-1169.
- Macdonald, J. M., Aaronson, D., (2000). How Do Retail Prices React To Minimum Wage Increases?”, Federal Reserve Bank Of Chicago Working Paper, Wp-00-20.
- Özmen, M.U., Sevinç, O. (2011). Price Rigidity in Turkey: Evidence from Micro Data, TCMB Working Paper, No: 11/25.
- Sılva, C.V.:(2008). The effect of monetary policy on housing: a factor-augmented vector autoregression (FAVAR) approach, Applied Economics Letters, 15(10), 749-752.
- Sims, C.A (1992). Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy, European Economic Review, 36, 975-1000
- Sims, C., Zha, T. (1998). Does Monetary Policy Generate Recessions? Federal Reserve Bank of Atlanta.
- Stock, J.H.; Watson, M. W. (2002). Has the Business Cycle Changed and Why?, NBER Working Papers 9127, National Bureau of Economic Research, Inc.
- Taylor, J.B. (1979).“Monetary Policy During a Transition to Rational Expectations”, Journal of Political Economy, 69, 108-113.
- Vasishtha, G., Maier, P. (2013).The impact of the global business cycle on small open economies: A FAVAR approach for Canada, The North American Journal of Economics and Finance, 24, 191-207.
Yıl 2018,
Cilt: 36 Sayı: 4, 75 - 94, 30.12.2018
Öz
Fiyatların ve ücretlerin katı olduğu varsayımı
üzerine inşa edilmiş Yeni Keynesyen iktisat teorisine göre para nötr değildir
ve parasal genişleme ekonomide reel sonuçlar üretir. Her ne kadar
toplulaştırılmış veriler fiyat katılığı varsayımını desteklese de, mikro
veriler incelendiğinde toplulaştırılmamış fiyatların geleneksel olarak varsayılandan
çok daha değişken olduğu görülmüştür. Makro ve mikro veriler arasındaki bu
uyumsuzluğu açıklamak için, bir FAVAR modeli (Bernanke, Boivin ve Eliasz, 2005)
geliştirilmiş ve fiyat değişimlerinde sektöre özgü ve ortak bileşenlerin payı
2005:01-2014:12 ekonomik verileri kullanılarak hesaplanmıştır. Yaptığımız bu
analize göre, Türkiye’de fiyatların belirlenmesinde ortak bileşenlerin payı,
yüksek bir fiyat katılık derecesine imkan vermeyecek kadar büyüktür.
Anahtar Kelimeler
Kaynakça
- Abdioğlu, Z.: (2010).Yeni Keynesyenlerde Fiyat ve Ücret Katılıkları: Türkiye Örneği, Doktora Tezi, Karadeniz Teknik Üniversitesi
- Alvarez, L.J. ve Dhyne, E., H. (2005). Sticky Prices in the Euro Area: A summary of new Micro Evidence, ECB Working Paper, No: 63.
- Bai, J., Kunpeng, L., Lu, L. (2014).Estimation and Inference of FAVAR Models, MPRA Paper No. 60960, Erişim adresi Online: http://mpra.ub.uni-muenchen.de/60960/
- Belke, A., Rees, A. (2014).Globalization and Monetary Policy – A FAVAR analysis for the G7 and the eurozone, The North American Journal of Economics and Finance, 29, 306-321.
- Bernanke, B., Blinder A. (1992).The Federal Funds Rate and the Channels of Monetary Transmission, American Economic Review, 82, 901-921.
- Bernanke, B., Gertler, M., Watson, M. (1997).Systematic Monetary Policy And The Effects Of Oil Price Shocks, Brookings Papers On Economic Activity, 1997:1, 91-142
- Bernanke, B., Mihov, I. (1998).The Liquidity Effect And Long-Run Neutrality, Carnegie Rochester Conference Series On Public Policy, 49, 149-194.
- Bernanke, B., Boivin, J. (2003).Monetary Policy İn A Data-Rich Environment, Journal Of Monetary Economics, 50:3, 525-546.
- Bernanke, B., Boivin, J., Elıasz, P. (2005).Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach., Quarterly Journal of Economics, 120(1), 387-422.
- Bils, M., Klenow, P. J. (2004).Some Evidence On The Importance Of Sticky Prices, Journal Of Political Economy, 112(5), 947-985.
- Boivin, J., Giannoni, M. P., Mihov, I. (2009).Sticky Prices And Monetary Policy: Evidence From Disaggregated Us Data, American Economic Review, 99:1, 350-384.
- Boivin, J., Ng, S. (2005).Understanding And Comparing Factor-Based Forecasts, International Journal Of Central Banking, 1(3), 117-151.
- Calvo, G. A. (1983).Staggered Prices İn A Utility-Maximizing Framework, Journal Of Monetary Economics, 12, 383-398.
- Fernald, J.G., Spiegel, M.M., Swanson, E.T. (2014).Monetary policy effectiveness in China: Evidence from a FAVAR model, Journal of International Money and Finance, 49(A), 83-103
- Fischer, S. (1977) Long-Term Contracts, Rational Expectations, and the Optimal Mone Supply Rule, Journal of Political Economy, 85(1), 191-205.
- Fukawa, K.: (2012). Estimation of an empirical FAVAR model and DSGE model for evaluating effects of government spending in Japan, Doktora tezi, City University of New York
- Golosov, M., Lucas R.E. (2007). Menu Costs and Phillips Curves, Journal of Political Economy, 115, 171-199.
- Gupta, R., Jurgias, M., Kabundi, A. (2010). The Effect of Monetary Policy on Real House Price Growth in South Africa: A Factor-Augmented Vector Autoregressin (FAVAR) Approach, Economic Modelling, 27(1), 315-323.
- Kashyap, A. K. (1995). Sticky Prices: New Evidence From Retail Catalogs, Quarterly Journal Of Economics, 100(1), 245-274.
- Klenow, P. J., Kryvtsov, O., (2008).State-Dependent Or Time-Dependent Pricing: Does It Matter For Recent U.S. Inflation?, Quarterly Journal Of Economics, 123(3), 863-904.
- Kydland, F.E., Prescott, E.C. (1982).The Computational Experiment: An Econometric Tool, Journal Of Economic Perspectives, 10(1), 69-85.
- Levy, D., Müller, G., Chen, Haipeng A., Bergen, M. E., And Dutta, S., (2008). Holiday Price Rigidity And Cost Of Price, Adjustment,Emory Law And Economics Research, Paper No. 06-13; Bar Ilan Univ. Pub Law Working Paper No. 06-1.
- Lagana, G., Sgro, P.M. (2011).A factor-augmented VAR approach: The efffect of a rise in the US personal income tax rate on the US and Canada, Economic Modelling, 28(3), 1163-1169.
- Macdonald, J. M., Aaronson, D., (2000). How Do Retail Prices React To Minimum Wage Increases?”, Federal Reserve Bank Of Chicago Working Paper, Wp-00-20.
- Özmen, M.U., Sevinç, O. (2011). Price Rigidity in Turkey: Evidence from Micro Data, TCMB Working Paper, No: 11/25.
- Sılva, C.V.:(2008). The effect of monetary policy on housing: a factor-augmented vector autoregression (FAVAR) approach, Applied Economics Letters, 15(10), 749-752.
- Sims, C.A (1992). Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy, European Economic Review, 36, 975-1000
- Sims, C., Zha, T. (1998). Does Monetary Policy Generate Recessions? Federal Reserve Bank of Atlanta.
- Stock, J.H.; Watson, M. W. (2002). Has the Business Cycle Changed and Why?, NBER Working Papers 9127, National Bureau of Economic Research, Inc.
- Taylor, J.B. (1979).“Monetary Policy During a Transition to Rational Expectations”, Journal of Political Economy, 69, 108-113.
- Vasishtha, G., Maier, P. (2013).The impact of the global business cycle on small open economies: A FAVAR approach for Canada, The North American Journal of Economics and Finance, 24, 191-207.
Toplam 31 adet kaynakça vardır.
Ayrıntılar
| Bölüm | Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi |
|---|---|
| Yazarlar | |
| Yayımlanma Tarihi | 30 Aralık 2018 |
| Gönderilme Tarihi | 17 Şubat 2017 |
| Yayımlandığı Sayı | Yıl 2018 Cilt: 36 Sayı: 4 |
Kaynak Göster
Cited By
RASYONEL DİKKATSİZLİK MODELİ VE FİYAT KATILIKLARI
Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
Bige Kucukefe
https://doi.org/10.25287/ohuiibf.297986
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