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Sektorel Cikti Acigi

Aysu Celgin and Tuba Yılmaz

CBT Research Notes in Economics from Research and Monetary Policy Department, Central Bank of the Republic of Turkey

Abstract: [TR] Bu calismada, enflasyon uzerindeki talep ve kapasite baskilarini takip etmek uzere bir cikti acigi gostergesi turetilmektedir. Bu amacla, ilk asamada COICOP 4 ve 5-basamakli TUFE detayi kullanilarak her bir alt kalem icin ilgili iktisadi faaliyet/talep gostergeleri tespit edilmistir. Bu gostergeler, Hodrick-Prescott (HP) filtresiyle egilimlerinden arindirilarak sektorel cikti acigi serileri olusturulmustur. Bu serilerin ilgili olduklari kalemin TUFE icindeki payiyla agirliklandirilarak toplulastirilmasi yoluyla 2005-2018 donemi icin aylik frekansta takip edilebilecek bir cikti acigi gostergesi elde edilmistir. Alternatif cikti acigi gostergeleriyle karsilastirmak amaciyla 2006 C2-2018 C4 donemi icin enflasyon dinamigini yansitan standart Phillips denklemleri tahmin edilmis ve denklemler aciklayici guc (uyarlanmis R2) ile orneklem disi tahmin performanslari itibariyla degerlendirilmistir. Bulgular, cikti acigini olcmede sektorel unsurlarin da dikkate alinmasinin onemine isaret etmektedir. [EN] In this study, an output gap indicator is derived to monitor demand and capacity pressures on inflation. Accordingly, indicators for economic activity or demand are obtained for each sub-item using the COICOP 4 and 5-digit detail of the CPI. These indicators are detrended by Hodrick-Prescott (HP) filter to form sectoral output gap series. Aggregate output gap measure is calculated as the sum of sectoral output gaps weighted by the related CPI weights, which can be tracked in monthly frequency for 2005-2018 period. To analyze the comparison with alternative output gap indicators, standard Phillips curve equations are estimated for the period of 2006Q2-2018Q4 and compared in terms of their explanatory power (adjusted R2) and out-of-sample forecast performance. Results imply that taking sectoral factors into account is important while measuring output gap.

Date: 2019
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