Seasonal Adjustment Methods : An Application to the Turkish Monetary Aggregates

Seasonality can be defined as a pattern of a time series, which repeats at regular intervals every year. Seasonal fluctuations in data make it difficult to analyse whether changes in data for a given period reflect important increases or decreases in the level of the data, or are due to regularly occurring variation. In search for the economic measures that are independent of seasonal variations, methods had been developed to remove the effect of seasonal changes from the original data to produce seasonally adjusted data. The seasonally adjusted data, providing more readily interpretable measures of changes occurring in a given period, reflects real economic movements without the misleading seasonal changes. The choice of method for seasonal adjustment is crucial for the removal of all seasonal effects in the data. Seasonal adjustment is normally done using the off-the-shelf programs-most commonly worldwide by one of the programs in the X-11 family, X-12 ARIMA, the latest improved version. Another program in common use is the TRAMO/SEATS package developed by the Bank of Spain and promoted by Eurostat. In this study, the performances of two seasonal adjustment methods, X-12 ARIMA and TRAMO/SEATS, on the monetary aggregates will be studied. In section five, the two methods are applied to the M2 monetary aggregate series, and the resulting seasonally adjusted series are compared using specific criteria. In sections six and seven, some of the issues that should be concerned in the process of seasonal adjustment, are discussed.Seasonal Adjustment, TRAMO/SEATS, X-12 ARIMA

TUFE'de Sabit ve Degisken Agirlik Sistemi Yaklasimlari: Turkiye Taze Meyve-Sebze Fiyatlari Uzerine Bir Uygulama

Turkiye’de islenmemis gida fiyatlarinin olculen oynakligi diger ulkelere kiyasla oldukca yüusektir. Yapisal unsurlarin yani sira, mevsimsel urunlerin fiyatlarinin endekse dahil edilme bicimi gibi teknik hususlarin da oynakligin bu yuksek seyrinde etkili olabilecegi dusunulmektedir. Bu calisma, diger ulke orneklerini de inceleyerek, tuketici fiyatlarinin hesaplanmasinda islenmemis mevsimsel gida urunleri (taze meyve ve sebze) fiyatlarinin ele alinisinda yaygin olarak kullanilan degisken ve sabit agirlik yaklasimlarini karsilastirmali olarak analiz etmektedir. Endeksin sabit agirlik yontemiyle hesaplanmasi durumunda taze meyve ve sebze enflasyonlarinin daha dusuk bir oynaklik gosterebilecegi saptanmaktadir.

Design and Evaluation of Core Inflation Measures for Turkey

This study analyzes core inflation concept for Turkey from the perspective of design and evaluation. To our best knowledge, this is the first study to evaluate the performance of the core inflation measures for Turkey. We first define and calculate new core inflation indicators using the disaggregated price data for the time period of January 1994 to June 2007. The core inflation measures developed in this paper include weighted median, trimmed mean and volatility-based measures along with the permanent exclusion-based methods. Later, we evaluate the performance of the core inflation measures with regards to pre-defined criteria including unbiasedness, reduced volatility, trend tracking ability and predictive ability. Considering the significant shift in the inflation process in Turkey, we split the sample into two as pre- and post-2003 when evaluating the performance of the core inflation measures. Overall, no single core inflation indicator stands out alone as “the core” and therefore different core measures should be followed simultaneously to get a better understanding of the real trend of inflation and to identify various shocks hitting the inflation. However, limited influence estimators and volatility-based core measures perform relatively better compared to permanent exclusion-based methods. The study also provides an extensive analysis of the distribution of price changes at various aggregation levels.Inflation, core inflation, Turkey

Cekirdek Enflasyon Gostergelerinin Kullanimi Uzerine Bir Degerlendirme

[TR] Bu calismada, Turkiye’de kullanilan cekirdek enflasyon gostergelerinin bir ozeti sunulmus ve bu gostergelerin ekonomik ve istatistiksel ozellikleri kisaca analiz edilmistir. Ayrica bu cekirdek enflasyon gostergelerinin performanslari, serilerin bilgilendirme ve tuketici enflasyonunu tahmin etme gucunu olcmek icin yaygin olarak kullanilan uc kritere gore degerlendirilmistir. Ele alinan butun cekirdek gostergelerin belirli kriterleri karsiladigi bulgulanmakla birlikte, istatistiksel yontemlere dayanarak olusturulan SATRIM endeksinin onculeyici gucunun diger gostergelere kiyasla daha yuksek oldugu bulunmustur. Dinamik faktor modellerine dayali olarak turetilen Fcore gostergesinin ise diger gostergelere kiyasla ortalama enflasyona daha yakin seyrettigi gozlenmektedir. H ve I gostergelerinin avantaji ise kamuoyu tarafindan kolayca takip edilebilmeleri ve kolayca hesaplanabilmeleridir. Her gostergenin farkli avantajlari oldugundan ve farkli tipte soklara tepki verdiginden, alternatif gostergelerin kullanilmasinin faydali olacagi, dolayisiyla herhangi bir gostergenin yegane cekirdek enflasyon olarak nitelendirilmemesinin gerekliligi vurgulanmaktadir. [EN] This study provides a summary of core inflation indicators for Turkey and a brief discussion on their economic and statistical properties. Moreover, the performance of these core indicators are evaluated with respect to three popular criteria designed to assess the informativeness and the predictive power of these series for the analysis of headline inflation. While all indicators satisfy these criteria; the performance of SATRIM (which is an indicator constructed by using statistical methods) is worth mentioning with its predictive power of future inflation. Moreover, in terms of historical average, Fcore indicator (factor model based core inflation), seems to be closer to headline CPI inflation than the other indicators. H and I indicators, on the other hand, are more tractable and easily replicable. Overall, since each indicator has its own advantage and the response of each indicator to various types of shocks differs depending on the type of the shock, no single measure should be regarded solely as the unique core inflation indicator.

Tutun Urunlerinde Ozel Tuketim Vergisi Uygulamasi

[TR] Bu notta tutun urunlerinden alinan dolayli vergilerin hesaplanma yontemi ve bu yontemin nihai tuketici fiyatlari uzerine etkileri incelenmektedir. Tutun urunlerinden alinan dolayli vergiler Katma Deger Vergisi (KDV) ile Ozel Tuketim Vergisidir (OTV). OTV’nin hesaplanis bicimi zaman icinde degisirken, guncel uygulamada OTV tutari, belirli maktu tutardan az olmamak kosuluyla nihai urun fiyatinin nispi bir orani olarak hesaplanmaktadir. Bu uygulama ile tutun urunleri OTV’ye tabi diger urunlerden farklilasmaktadir. Son donemde TUFE’de yer alan tutun urunleri fiyat seviyeleri bakimindan buyuk olcude nispi hesaplamaya tabi olmaktadir. Bu durumda, OTV orani ile nihai tuketici fiyati arasindaki dogrusal olmayan iliski neticesinde nispi OTV oranin seviyesi yukseldikce, orandaki her bir birimlik artis nihai tuketici fiyatlarini oncekine kiyasla daha yuksek oranda artirmaktadir. Dolayisiyla, tutun urunlerinde OTV ayarlamasi yapilirken bu noktanin dikkate alinmasi onemlidir. Bu notta ayrica tutun urunlerindeki OTV uygulamasinin kronolojik gelisimi de sunulmaktadir. [EN] In this note methodology of indirect taxes on tobacco products along with its implications on final consumer prices is analyzed. Two indirect taxes are exercised on tobacco products: Value Added Tax (VAT) and Special Consumption Tax (SCT). SCT methodology has been changed several times, while currently the SCT tax is calculated as a proportion of the final consumer price on condition that it is not less than the fixed amount. In this manner, tobacco products differentiate from rest of the products subject to SCT. Recently, tobacco products included in the CPI basket are mostly subject to proportional rate. In this regard, owing to the non-linear relation between the SCT rate and final consumer price, as the level of the proportional rate increase, any unit increase of the rate rises the final prices more than the previous one. Consequently, this point should be taken into consideration when the SCT rates for tobacco products are adjusted. In this note the chronology of the changes made to SCT on tobacco products is also presented.

Mevsimsel Modellerde Calisma Gunu Degiskeni

Bir zaman serisindeki egilimlerin saglikli bir sekilde olculebilmesi icin mevsimsel etkilerden arindirilmis olmasi buyuk onem tasimaktadir. Ancak, her yil ayni donemde tekrarlayan hareketleri temsil eden mevsimsel bilesenin ayristirilmasi tek basina yeterli degildir. Takvim gunu etkileri adi altinda siniflandirilan ve aydan aya farklilik gosteren tatil gunleri de ekonomik degiskenlerdeki kisa vadeli dalgalanmalarin bir diger kaynagidir. Ozellikle, hareketli tatiller olarak adlandirilan Ramazan ve Kurban bayrami tatillerinin, ay icerisinde calisilan gun sayisi uzerindeki etkileri buyuk olabilmekte ve uretime gosterge olan serilerde dalgalanmaya yol acabilmektedir. Bu notta, ilgili serilerde takvim gunu etkilerinin arindirilmasi icin olusturulan regresyon degiskeni tanitilmaktadir. Sanayi uretim endeksi kullanilarak elde edilen sonuçlar, calisma gunu sayisinin kayan bayramlar nedeniyle bir onceki yilin ayni donemine gore farklilastigi durumlarda, ham veri ile hesaplanan yillik degisim oranlarinin bilgi iceriginin sinirlandigini gostermektedir. Calisma bulgulari, Turkiye ekonomisinde sanayi uretim endeksine iliskin yillik bazda yapilan karsilastirmalarda takvim etkilerinden arindirilmis serilerin onemini ortaya koymaktadir.

Filtering Short Term Fluctuations in Inflation Analysis

Many economic time series, specifically inflation, are inherently subject to seasonal fluctuations which obscure the real changes of the series. In this respect, seasonal adjustment is a powerful tool when removing such fluctuations. On the other hand, seasonal adjustment may provide highly volatile series, making it still difficult to interpret the movements of the series. The reason is that seasonal adjustment deals with certain type of movements that are completed on specific seasonal frequencies. However, it is possible that there may be other short term fluctuations occurring at non seasonal frequencies. From this observation and in the context of inflation, an improved methodology aiming to deal with all short term fluctuations that are completed within a year is proposed in this study. The two-step approach combines wavelet filters and band pass filters. This method yields much smoother time series than seasonal adjustment does. Moreover, the filtered series capture the dynamics of the inflation in sub groups well. Hence, this two-step procedure provides a useful tool for improved short term inflation analysis.Consumer prices, inflation, seasonal adjustment, wavelet filter, band pass filter