Türkiye’de Beklenen Enflasyon ile Enflasyon Beklentilerini Etkileyen Makro Ekonomik Değişkenler Arasındaki Nedensellik İlişkisinin Testi

Economic individuals benefit from macroeconomic variables such as past realizations of inflation rates, inflation targets, economic activity, fluctuations in the foreign exchange rates, fluctuations in the oil prices and the country’s risk premium when forming their inflation expectations. The aim of this paper is to examine the causal relationship between this macroeconomic variables and anticipated inflation in Turkey for the period January 2003-December 2009. The study uses causality test developed by Toda-Yamamoto (1995) for causal relationship between anticipated inflation and its affected macroeconomic variables. According to the test results of Toda-Yamamoto causality analysis, there is a unidirectional causality relationship between anticipated inflation and past realizations of inflation rates, inflation targets and EMBI+Turkey. We also find a bi-directional causality relationship between anticipated inflation and currency basket and oil prices. On the other hand, our results suggest no causality relationship between anticipated inflation and industrial production gap.