A. Nazif Çatik

A Comparative Analysis of Alternative Univariate Time Series Models in Forecasting Turkish Inflation

This paper analyses inflation forecasting power of artificial neural networks with alternative univariate time series models for Turkey. The forecasting accuracy of the models is compared in terms of both static and dynamic forecasts for the period between 1982:1 and 2009:12. We find that at earlier forecast horizons conventional models, especially ARFIMA and ARIMA, provide better one-step ahead forecasting performance. However, unobserved components model turns out to be the best performer in terms of dynamic forecasts. The superiority of the unobserved components model suggests that inflation in Turkey has time varying pattern and conventional models are not able to track underlying trend of inflation in the long run.

A spatial approach to measure productivity spillovers of foreign affiliated firms in Turkish manufacturing industries

In this paper we aim to analyze the productivity spillovers of foreign affiliated and domestic firms in Turkish manufacturing industries. As a novelty inter-sectoral linkages are modeled through the use of spatial models. Our results indicate the existence of positive and significant productivity spillovers among the neighborhood firms. We also find that an increase in the share of foreign affiliated firms in a given industry has positive impact on the productivity level of vertically related industries. However, our results do not provide any clear evidence that domestic firms benefit from the foreign affiliated firms either operating in the same industry or in the neighborhood industries. The findings suggest that unlike the effects of foreign affiliated firms, research and development expenditures significantly contribute to the productivity levels of domestic firms.

The bank lending channel in Turkey: has it changed after the low-inflation regime?

In this article we aim to analyse the role of credit channel in the monetary transmission mechanism under different inflationary environments in Turkey covering the period from January 1986 to October 2009. Our results suggest that traditional interest rate channel is only valid for the post-inflation targeting period. This variable is also a more effective monetary policy tool in terms of its impacts on economic activity in both the regimes. Credit shocks itself have significant power on economic activity and prices. However, the effect of monetary shocks on credit volume is very limited, especially in the low-inflation regime.

Inflationary Effects of Oil Prices in Turkey: A Regime-Switching Approach

This paper investigates the existence of oil pass-through to inflation for Turkey covering the period February 1996-May 2007. Oil price-augmented Phillips curves are estimated with linear and Markov regime-switching models. Markov regime-switching models reveal the asymmetric structure of oil pass-through and indicate the existence of two different regimes characterized as the high- and the low-inflation periods. We find evidence for asymmetric oil pass-through in the high-inflation regime for headline and food- and energy-excluded inflation measures. Our results suggest that Jarque-Bera core inflation is not affected by oil price variations under either inflationary environment. Hence, we suggest the Jarque-Bera indicator as an intermediate target in the analysis of the future trend of inflation.

Relative price variability and the Philips curve: Evidence from Turkey

We argue that relative price changes are a key component of the Phillips curve relationship between inflation and output. Building on work by Ball and Mankiw, we propose including measures of the variances and skewness of relative price adjustment in an otherwise standard model of the Phillips curve. We examine the case of Turkey, where distribution of price changes is especially skewed and where the existence of a Phillips curve has been questioned. We have two main findings: (i) inclusion of measures of the distribution of relative price changes improves our understanding of the Phillips curve trade-off; (ii) there is no evidence of such a trade-off if these measures are not included.

Oil Pass-Through to Domestic Prices in Turkey: Does the Change in Inflation Regime Matter?

Abstract This paper investigates the existence of oil pass through to inflation under different inflation regimes in Turkey. In order to compare the difference between the oil pass-through effects in the low and high inflation periods we employ Markov Regime Switching Vector Autoregressive (MS-VAR) model as a non-linear estimation framework. The regime-dependent impulse responses do not indicate strong pass through from crude oil prices to inflation in both regimes. However, this channel is working through refined petroleum product prices. The results show that there is a substantial decline in pass-through from refined petroleum prices to inflation as the economy moves from high to low inflation regime. These findings support the hypothesis of Taylor (2000) suggesting that low inflationary environment leads to a low pass-through.

A meta-frontier approach to measure productivity differences of domestic and foreign affiliated firms

This paper aims to evaluate the performance of foreign affiliated and domestic firms in Turkish manufacturing subsectors covering the period 1992 and 2001. Due to the heterogeneity between domestic and foreign affiliated firms in terms of technology level, we construct a meta-frontier model to measure relative efficiency and technology gap ratios (TGRs) of domestic and foreign affiliated firms. We find that technical efficiencies of foreign affiliated firms are higher than domestic firms, and display a stable pattern during the investigation period. However; technology gap ratios indicate the existence of a negative relationship between the TGRs and technical efficiency of the firms in domestic subsectors. This means that technically efficient firms are in fact using the low level of technology. However the results do not indicate any significant relationship between the technical efficiency and TGRs of foreign affiliated firms.

Diffusion of Telecommunication Services in Turkey

This paper evaluates the forecasting ability of alternative product growth models for telecommunication services in Turkey. The variable exponential growth model better explains the diffusion process of fixed line services, suggesting that S-shaped models are not able to model the period of the maturity stage. However, the Gompertz model is superior in explaining the diffusion process of mobile line services. Results suggest that forecasting ability of growth curves depends on the differences in characteristics and the competitive structures of the markets.