The impact of monetary policy on inflation expectations uncertainty: A behavioral analysis for Turkey

Inflation expectations uncertainty is a crucial indicator of the effectiveness of monetary policy. Changes in this uncertainty over time hinder the alignment of inflation expectations with the policy target, thereby weakening the management of expectations. The inability to explain these changes within the framework of the rational expectations hypothesis, which assumes homogeneity among agents, has contributed to the growing prominence of behavioral macroeconomic models that incorporate heterogeneity and psychological or internal processes in expectation formation. In this context, the primary objective of this study is to examine the effects of inflation, interest rates, output gap, exchange rate, credibility gap, and forecast errors on the uncertainty of inflation expectations over the period 2006:Q1–2023:Q4, taking the introduction of explicit inflation targeting in Turkey as the starting point and employing three behavioral models. The results indicate that increases in inflation and the credibility gap were the most significant drivers of rising inflation expectations uncertainty. Moreover, heightened perceptions regarding the persistence of exchange rate and inflation shocks contributed to this uncertainty. Finally, behavioral changes arising from the failure to adjust monetary policy in accordance with the inflation target, along with the resulting forecast errors, were found to further amplify inflation expectations uncertainty.

通胀预期不确定性是衡量货币政策有效性的关键指标。该不确定性随时间产生的变动会阻碍通胀预期与政策目标的契合，进而削弱预期管理的成效。在假设经济主体具有同质性的理性预期假说（rational expectations hypothesis）框架内无法解释这类不确定性的变化，这推动了纳入异质性与预期形成心理或内在过程的行为宏观经济模型（behavioral macroeconomic models）日益受到学界重视。在此背景下，本研究的核心目标为：以土耳其引入明确通胀目标制为研究起点，采用三种行为宏观经济模型，考察2006年第一季度至2023年第四季度期间，通胀、利率、产出缺口、汇率、可信度缺口以及预测误差对通胀预期不确定性的影响。研究结果表明，通胀与可信度缺口的上升是推高通胀预期不确定性最显著的驱动因素。此外，市场主体对汇率与通胀冲击持续性的认知增强，同样加剧了该不确定性。最后，未依据通胀目标调整货币政策所引发的行为变化，以及由此产生的预测误差，进一步放大了通胀预期不确定性。