Investigation of relationship between consumer price index and some macroeconomic indicators: The case of Turkey

In this study, the relationships between the important indicators of Turkey's economy, such as the consumer price index, the domestic producer price index, the retail sales volume index and the industrial production index have been investigated for the period of 2010:01-2018:08. Stationary of the series has been determined by the Dickey-Fuller unit root test. All of the series have been found as the first degree integrated. The possible cointegration relationship among the variables has been examined by the Johansen cointegration method. As a result of the cointegration analysis, it has been inferred that there is a long term equilibrium relationship between the series. Then, vector error correction model has been established by using the difference series. Vector autoregression model and Granger causality analysis have been performed by using this model. The results obtained by the impulse response functions and variance decomposition have been studied in detail. It has been concluded that there is a uni-directional relationship from the consumer price index to the industrial production index at 10% significance level and that there is a long-term causality relationship for the consumer price index.