The Relationship between Türkiye’s and World Food Prices: Dynamic Correlation and Dynamic Regression Analysis Türkiye ve Dünya Gıda Fiyatları İlişkisi: Dinamik Korelasyon ve Dinamik Regresyon Analizi

Kaya M. V., Ertuğrul Ş. Y.

Sosyoekonomi, vol.32, no.61, pp.413-426, 2024 (ESCI, Scopus, TRDizin) identifier

  • Publication Type: Article / Article
  • Volume: 32 Issue: 61
  • Publication Date: 2024
  • Doi Number: 10.17233/sosyoekonomi.2024.03.19
  • Journal Name: Sosyoekonomi
  • Journal Indexes: Emerging Sources Citation Index (ESCI), Scopus, TR DİZİN (ULAKBİM)
  • Page Numbers: pp.413-426
  • Keywords: Consumption, CPI, Food Price
  • Ankara Haci Bayram Veli University Affiliated: Yes

Abstract

The study employed a rigorous methodology to analyse the relationship between Türkiye’s and international food prices. Monthly data from 2005.1 to 2023.3 was used. Initially, the linearity of the series was examined, and upon discovering its nonlinear properties, the study was completed with nonlinear time series models. The applied analysis examined the dynamic correlation between Türkiye’s and world food prices using the DCC-GARCH method. This was followed by using MSR and Kalman filter models for dynamic regression analysis, providing a comprehensive understanding of the relationship.