Kırılgan Beşli Ülkelerde Tüketici ve Üretici Fiyatları Arasındaki Aktarım Mekanizması: Eşik Eşbütünleşme ve Hata Düzeltme

Abstract

This study focuses on examining the interrelationship between consumer and producer prices within the framework of the fragile five within the scope of asymmetric models. Considering the 2010:M1-2021:M8 period, TAR and M-TAR cointegration and error correction models were used in the study. The results of the analysis indicated that there was no asymmetrical relationship between CPI and PPI for Brazil and India, while it pointed to an asymmetric long-term relationship for South Africa, Indonesia, and Turkey. According to the asymmetric error correction estimation results, while no long-term asymmetric causality relationship could be found for Indonesia, South Africa and Turkey, it was determined for the short-term. According to this, there is a causal relationship from PPI to CPI for Indonesia, from CPI to PPI for South Africa, and bidirectional causality for Turkey. The differences in the transmission mechanism between the price indices of the fragile five countries reveal the differences in the internal dynamics of the countries.