This paper examines the long-run and medium-run predictive relationship between money growth and inflation in Turkey for the period 1986m1–2018m12, using frequency-domain methods. For the full sample, the measures of spectral coherence and gain spectrum suggest a one-to-one relationship, and the frequency domain decomposition of the Granger causality test indicates a bidirectional predictive relationship between the two variables at zero frequency. As suggested by the wavelet coherence, we also analyzed the two subperiods before and after 2006 separately. Our results suggest that while both variables have predictive power for each other in the second subperiod, only money growth helps predict inflation in the first one. In order to prevent spurious results, the analysis is rerun in a multivariate Vector Autoregression (VAR) system, where output growth, interest rate, exchange rate growth, and domestic debt growth are included as additional variables. We observe that while money growth has predictive power for inflation in the first subperiod, this relationship disappears in the second one. We argue that the change in the relationship between the two variables at low frequencies after 2006 is primarily a result of the decrease in fiscal dominance of the government, the CBRT’s switch to the inflation targeting regime, and the CBRT’s “unconventional monetary policy framework”.

中文翻译：

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土耳其货币增长与通货膨胀之间的低频关系

本文使用频域方法研究了土耳其在1986年m1至2018年m12期间货币增长与通货膨胀之间的长期和中期预测关系。对于整个样本，频谱相干性和增益频谱的度量表明是一对一的关系，格兰杰因果关系检验的频域分解表明两个变量在零频率之间具有双向预测关系。根据小波相干性的建议，我们还分别分析了2006年之前和之后的两个子周期。我们的结果表明，虽然两个变量在第二个子周期中对彼此都有预测能力，但只有货币增长才能在第一个子变量中预测通货膨胀。为了防止出现虚假结果，请在多元向量自回归（VAR）系统中重新运行分析，其中将产出增长，利率，汇率增长和国内债务增长作为附加变量。我们观察到，虽然货币增长在第一个子时期对通胀具有预测能力，但这种关系在第二个子时期就消失了。我们认为，这两个变量之间的关系在2006年之后的低频变化主要是由于政府的财政支配地位下降，CBRT转向通货膨胀目标制以及CBRT的“非常规货币政策框架”所致。