SHORT-RUN INFLATION EXPECTATION DYNAMICS IN TÜRKİYE: PERSISTENCE, REALIZED INFLATION, AND THE LIMITED ROLE OF COUNTRY-SPECIFIC UNCERTAINTY

Creative Commons License

Benli M., Taş H., Ekinci A.

19. ULUSLARARASI İSTANBUL BİLİMSEL ÇALIŞMALAR KONGRESİ, İstanbul, Türkiye, 28 - 30 Nisan 2026, cilt.1, ss.1068-1088, (Tam Metin Bildiri)

  • Yayın Türü: Bildiri / Tam Metin Bildiri
  • Cilt numarası: 1
  • Basıldığı Şehir: İstanbul
  • Basıldığı Ülke: Türkiye
  • Sayfa Sayıları: ss.1068-1088
  • Bilecik Şeyh Edebali Üniversitesi Adresli: Evet

Özet

ABSTRACT

This paper examines the short-run dynamics of inflation expectations in Türkiye using monthly data for the period 2013M09-2024M12. The analysis focuses on whether country-specific uncertainty provides a meaningful explanation for inflation expectation revisions once realized inflation, monetary conditions, exchange-rate movements, and consumer sentiment are taken into account. The empirical strategy proceeds in two stages. First, the time-series properties of the variables are evaluated through Augmented Dickey-Fuller and Phillips-Perron unit-root tests, and an ARDL bounds-testing framework is used to assess the existence of a long-run level relationship. The results do not support cointegration. Second, given the absence of a stable long-run equilibrium, the analysis turns to short-run dynamic models estimated with Newey-West heteroskedasticity- and autocorrelation-consistent standard errors. The baseline results for 12-month-ahead inflation expectations show that expectation revisions are characterized by persistence and are driven primarily by realized inflation. By contrast, the effect of country-specific uncertainty is weak, sensitive to lag structure, and statistically insignificant in cumulative terms. Additional estimations for current-month, 1-month-ahead, 2-month-ahead, and year-end inflation expectations confirm that the contribution of uncertainty remains limited across expectation horizons, whereas realized inflation retains greater explanatory power. Overall, the findings suggest that short-run inflation expectation formation in Türkiye is more closely linked to inflation persistence and realized price developments than to a stable country-specific uncertainty channel.

Keywords: Inflation expectations; Country-specific uncertainty; Realized inflation; Newey-West estimation; ARDL