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TAYLOR KURALININ FARKLI PARA POLİTİKASI REJİMLERİ ALTINDA GEÇERLİLİĞİ: TÜRKİYE EKONOMİSİ İÇİN TVP-VAR MODELİ UYGULAMASI

Year 2021, Volume: 13 Issue: 25, 293 - 308, 31.07.2021
https://doi.org/10.14784/marufacd.975925

Abstract

Bu çalışmanın amacı, Türkiye ekonomisi için Taylor kuralını zamanla-değişen parametreli vektör otoregresif (TVP-VAR) modeli üzerinden analiz etmektir. Nominal döviz kurunu da içerecek şekilde genişletilen model, 1986:05-2019:12 dönemi için tahmin edilmektedir. Elde edilen ampirik bulgulara göre enflasyon açığı ve üretim açığı şokları sonrasında; faiz oranının verdiği tepkilerin büyüklüğünün zamanla değiştiği gözlemlenmiştir. Ayrıca döviz kuru şokları durumunda ise faiz oranının verdiği tepkinin hem yönünün hem de niceliksel büyüklüğünün değiştiği sonucuna ulaşılmıştır.

References

  • AKDENİZ, Coşkun; ÇATIK, Abdurrahman Nazif. (2017). Türkiye için finansal koşulların bir analizi: Faktör ve VAR modellerinden bulgular, Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, 2017, 12(1): 99-120.
  • AKDENİZ, Coşkun ve ÇATIK, Abdurrahman Nazif. (2019). Finansal Koşulların Taylor Kuralının Geçerliliği Üzerindeki Etkisi: Türkiye Üzerine Ampirik Bulgular, TESAM Akademi, 6, 107-126.
  • AKLAN, Nejla Adanur ve NARGELEÇEKENLER, Mehmet. (2008). Taylor Kuralı: Türkiye Üzerine Bir Değerlendirme, Ankara Üniversitesi Siyasal Bilimler Fakültesi Dergisi, 63(2), 21-41.
  • BALL, Laurence M. (1999). Policy rules for open economies, In: Taylor, J.B. (ed.), Monetary Policy Rules. University of Chicago Press, 127-156.
  • BALL, Christopher P. ve REYES, Javier. (2004). Inflation targeting or fear of floating in disguise: The case of Mexico, International Journal of Finance & Economics, 9(1), 49-69.
  • BALLİ, Esra; ÇATIK, Abdurrahman Nazif ve NUGENT Jeffrey B. (2021). Time-varying impact of oil shocks on trade balances: Evidence using the TVP-VAR model. Energy, 217: 119377.
  • BAŞÇI, Erdem ve KARA, Hakan. (2011). Finansal istikrar ve para politikası, Türkiye Cumhuriyet Merkez Bankası Çalışma Tebliği, No: 11/08, 1-18.
  • BATINI, Nicoletta; HARRISON, Richard ve MILLARD, Stephen P. (2001). Monetary policy rules for an open economy, Bank of England Working Paper, No. 149.
  • BERNANKE, Ben ve GERTLER, Mark. (2000). Monetary policy and asset price volatility, National Bureau of Economic Research Working Paper Series, No: 7559.
  • CAPORALE, Guglielmo Maria, HELMI, Mohamad Husam, ÇATIK, Abdurrahman Nazif, ALI, Faek Menla ve AKDENİZ, Coşkun. (2018). Monetary policy rules in emerging countries: Is there an augmented nonlinear taylor rule?, Economic Modelling, Volume: 72, 306-319.
  • CHANG, Hui S. (2005). Estimating the monetary policy reaction function for Taiwan: A VAR model, International Journal of Applied Economics, 2(1), 50-61.
  • CLARIDA, Richard., GALI, Jordi ve GERTLER, Mark. (1998). Monetary policy rules and macroeconomic stability: evidence and some theory, National Bureau of Economic Research Working Paper Series, No: 6442.
  • CONRAD, Christian ve EIFE, Thomas A. (2012). Explaining inflation-gap persistence by a time-varying Taylor rule, Journal of Macroeconomics, 34(2), 419-428.
  • COŞAR, Kübra ve KÖSE, Nezir. (2019). Zamanla Değişen Parametreli Genişletilmiş Taylor Kuralı: Türkiye için Finansal İstikrarın Rolü, İstanbul Gelişim Üniversitesi Sosyal Bilimler Dergisi, 6(1), 1-17.
  • CUKIERMAN, Alex ve MUSCATELLI, Vito. (2008). Nonlinear Taylor rules and asymmetric preferences in central banking: Evidence from the United Kingdom and the United States, The BE Journal of macroeconomics, 8(1), 1-31.
  • ÇETİN, Müzeyyen Özlem. (2016). Türkiye Cumhuriyet Merkez Bankası (TCMB) Para Politikası Uygulamalarının Gelişimi, Finansal Araştırmalar ve Çalışmalar Dergisi, Cilt: 8, Sayı: 14, 67-101.
  • DICKEY, David A. ve FULLER, Wayne A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica, 49(4), 1057-1072.
  • ENGLISH, William B.; NELSON, William R. ve SACK, Brian P. (2002). Interpreting the Significance of the Lagged Interest Rate in Estimated Monetary Policy Rules, The Federal Reserve Board Finance and Economics Discussion Series, 2002-24.
  • GERLACH, Stefan ve SCHNABEL, Gert. (2000). The Taylor rule and interest rates in the EMU area, Economics Letters, 67(2), 165-171.
  • GUO, Yu ve MA, Wei. (2016). Time-varying coefficient Taylor rule and Chinese monetary policy: Evidence from the time-varying cointegratıon, Journal of Economic Development, 41(4), 27-44.
  • GÜRKAYNAK, Refet S.; KANTUR, Zeynep; TAŞ, M. Anıl ve YILDIRIM-KARAMAN, Seçil. (2015). Monetary policy in Turkey after Central Bank Independence, İktisat, İşletme ve Finans, 30(356), 9-38.
  • HODRICK, Robert J. ve PRESCOTT, Edward, C. (1997). Postwar U. S. Business Cycles: An Empirical Investigation, Journal of Money, Credit and Banking, 29(1), 1-16.
  • İLHAN, Ali. (2018). Finansal İstikrarı Sağlamaya Yönelik Alternatif Politika Çerçeveleri, Finans Politik & Ekonomik Yorumlar, 55(635), 21-36.
  • İLHAN, Ali ve ÖZDEMİR, Metin. (2019). Türkiye’de Yeni Politika Bileşiminin Finansal İstikrar ve Fiyat İstikrarı Üzerindeki Etkilerine İlişkin Bir Değerlendirme, Business and Economics Research Journal, 10(4), 789-806.
  • KÄFER, Benjamin. (2014). The Taylor rule and financial stability-A literature review with application for the eurozone, Review of Economics, 65(2), 159-192.
  • KARA, Hakan. (2012). Küresel kriz sonrası para politikası, İktisat, İşletme ve Finans, 27(315), 9-36.
  • LEBE, Fuat ve BAYAT, Tayfur. (2011). Taylor kuralı: Türkiye için bir vektör otoregresif model analizi, Ege Akademik Bakış Dergisi, 11, 95-112.
  • MARIA-DOLORES, Ramon. (2005). Monetary policy rules in accession countries to EU: Is the Taylor rule a pattern?, Economics Bulletin, 5(7), 1-16.
  • MILAS, Costas ve NARAIDOO, Ruthira. (2012). Financial conditions and nonlinearities in the European Central Bank (ECB) reaction function: In-sample and out-of-sample assessment, Computational Statistics & Data Analysis, 56(1), 173-189.
  • NAKAJIMA, Jouchi (2011). Time-varying parameter VAR model with stochastic volatility: An overview of methodology and empirical applications, Institute for Monetary and Economic Studies, Bank of Japan.
  • ONGAN, T. Hakan. (2004). Enflasyon hedeflemesi ve Taylor kuralı: Türkiye örneği, İstanbul Üniversitesi İktisat Fakültesi Maliye Araştırma Merkezi Konferansları, 45. Seri
  • ORPHANIDES, Athanasios (1997). Monetary Policy Rules Based on Real-Time Data, Board of Governors of the Federal Reserve System.
  • ÖSTERHOLM, Pär. (2005). The Taylor rule: a spurious regression?, Bulletin of Economic Research, 57(3), 217-247.
  • ÖZATAY, Fatih. (2011). Parasal İktisat: Kuram ve Politika, 2. Baskı, Ankara: Efil Yayınevi.
  • ÖZATAY, Fatih. (2014). A note on the new monetary policy of the Central Bank of Turkey. (Ed.) ARI, Ali, The European Debt Crisis: Causes, Consequences, Measures and Remedies, Newcastle: Cambridge Scholars Publishing, 185-194.
  • ÖZDEMİR, Metin. (2020). The role of exchange rate in inflation targeting: the case of Turkey, Applied Economics, 52(29), 3138-3152.
  • PHILLIPS, Peter C. B. ve PERRON, Pierre. (1988). Testing for a unit root in time series regression, Biometrika, 75(2), 335-346.
  • PRIMICERI, Giorgio E. (2005). Time varying structural vector autoregressions and monetary policy, The Review of Economic Studies, 72.3: 821-852.
  • SVENSSON, Lars E. O. (1997), Inflation Forecast Targeting: Implementing and Monitoring Inflation Targets, European Economic Review, 41(6), 1111-1146.
  • TAYLOR, John B. (1993). Discretion versus policy rules in practice, Carnegie-Rochester conference series on public policy, 39, 195-214.
  • TAYLOR, John B. (1999). The robustness and efficiency of monetary policy rules as guidelines for interest rate setting by the European Central Bank, Journal of Monetary Economics, 43(3), 655-679.
  • TAYLOR, John B. (2001). The role of the exchange rate in monetary-policy rules, American Economic Review, 91(2), 263-267.
  • TAYLOR, Mark P. ve DAVRADAKIS, Emmanuel. (2006). Interest rate setting and inflation targeting: Evidence of a nonlinear Taylor rule for the United Kingdom, Studies in Nonlinear Dynamics & Econometrics, 10(4).
  • TCMB (2018). Para Politikası Operasyonel Çerçevesine İlişkin Baskın Duyurusu, 2018-21, Ankara.
  • TCMB (2019). Türkiye Cumhuriyet Merkez Bankası Tarihçesi ve Görevleri, İkinci Basım, Ankara.
  • TOPARLI, Elif Akay; ÇATIK, Abdurrahman Nazif ve BALCILAR, Mehmet (2019). The impact of oil prices on the stock returns in Turkey: A TVP-VAR approach, Physica A: Statistical Mechanics and its Applications, 535: 122392.
  • YAZGAN, M. Ege ve YILMAZKUDAY, Hakan. (2007). Monetary policy rules in practice: evidence from Turkey and Israel, Applied Financial Economics, 17(1), 1-8.
  • YÜKSEL, Ebru; METİN-ÖZCAN, Kivilcim ve HATİPOĞLU, Ozan. (2013). A survey on time-varying parameter Taylor rule: A model modified with interest rate pass-through, Economic Systems, 37(1), 122-134.
  • ZIVOT, Eric ve ANDREW, Donald W. K. (1992). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis, Journal of Business & Economic Statistics, 10(3), 251-270.
Year 2021, Volume: 13 Issue: 25, 293 - 308, 31.07.2021
https://doi.org/10.14784/marufacd.975925

Abstract

References

  • AKDENİZ, Coşkun; ÇATIK, Abdurrahman Nazif. (2017). Türkiye için finansal koşulların bir analizi: Faktör ve VAR modellerinden bulgular, Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, 2017, 12(1): 99-120.
  • AKDENİZ, Coşkun ve ÇATIK, Abdurrahman Nazif. (2019). Finansal Koşulların Taylor Kuralının Geçerliliği Üzerindeki Etkisi: Türkiye Üzerine Ampirik Bulgular, TESAM Akademi, 6, 107-126.
  • AKLAN, Nejla Adanur ve NARGELEÇEKENLER, Mehmet. (2008). Taylor Kuralı: Türkiye Üzerine Bir Değerlendirme, Ankara Üniversitesi Siyasal Bilimler Fakültesi Dergisi, 63(2), 21-41.
  • BALL, Laurence M. (1999). Policy rules for open economies, In: Taylor, J.B. (ed.), Monetary Policy Rules. University of Chicago Press, 127-156.
  • BALL, Christopher P. ve REYES, Javier. (2004). Inflation targeting or fear of floating in disguise: The case of Mexico, International Journal of Finance & Economics, 9(1), 49-69.
  • BALLİ, Esra; ÇATIK, Abdurrahman Nazif ve NUGENT Jeffrey B. (2021). Time-varying impact of oil shocks on trade balances: Evidence using the TVP-VAR model. Energy, 217: 119377.
  • BAŞÇI, Erdem ve KARA, Hakan. (2011). Finansal istikrar ve para politikası, Türkiye Cumhuriyet Merkez Bankası Çalışma Tebliği, No: 11/08, 1-18.
  • BATINI, Nicoletta; HARRISON, Richard ve MILLARD, Stephen P. (2001). Monetary policy rules for an open economy, Bank of England Working Paper, No. 149.
  • BERNANKE, Ben ve GERTLER, Mark. (2000). Monetary policy and asset price volatility, National Bureau of Economic Research Working Paper Series, No: 7559.
  • CAPORALE, Guglielmo Maria, HELMI, Mohamad Husam, ÇATIK, Abdurrahman Nazif, ALI, Faek Menla ve AKDENİZ, Coşkun. (2018). Monetary policy rules in emerging countries: Is there an augmented nonlinear taylor rule?, Economic Modelling, Volume: 72, 306-319.
  • CHANG, Hui S. (2005). Estimating the monetary policy reaction function for Taiwan: A VAR model, International Journal of Applied Economics, 2(1), 50-61.
  • CLARIDA, Richard., GALI, Jordi ve GERTLER, Mark. (1998). Monetary policy rules and macroeconomic stability: evidence and some theory, National Bureau of Economic Research Working Paper Series, No: 6442.
  • CONRAD, Christian ve EIFE, Thomas A. (2012). Explaining inflation-gap persistence by a time-varying Taylor rule, Journal of Macroeconomics, 34(2), 419-428.
  • COŞAR, Kübra ve KÖSE, Nezir. (2019). Zamanla Değişen Parametreli Genişletilmiş Taylor Kuralı: Türkiye için Finansal İstikrarın Rolü, İstanbul Gelişim Üniversitesi Sosyal Bilimler Dergisi, 6(1), 1-17.
  • CUKIERMAN, Alex ve MUSCATELLI, Vito. (2008). Nonlinear Taylor rules and asymmetric preferences in central banking: Evidence from the United Kingdom and the United States, The BE Journal of macroeconomics, 8(1), 1-31.
  • ÇETİN, Müzeyyen Özlem. (2016). Türkiye Cumhuriyet Merkez Bankası (TCMB) Para Politikası Uygulamalarının Gelişimi, Finansal Araştırmalar ve Çalışmalar Dergisi, Cilt: 8, Sayı: 14, 67-101.
  • DICKEY, David A. ve FULLER, Wayne A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica, 49(4), 1057-1072.
  • ENGLISH, William B.; NELSON, William R. ve SACK, Brian P. (2002). Interpreting the Significance of the Lagged Interest Rate in Estimated Monetary Policy Rules, The Federal Reserve Board Finance and Economics Discussion Series, 2002-24.
  • GERLACH, Stefan ve SCHNABEL, Gert. (2000). The Taylor rule and interest rates in the EMU area, Economics Letters, 67(2), 165-171.
  • GUO, Yu ve MA, Wei. (2016). Time-varying coefficient Taylor rule and Chinese monetary policy: Evidence from the time-varying cointegratıon, Journal of Economic Development, 41(4), 27-44.
  • GÜRKAYNAK, Refet S.; KANTUR, Zeynep; TAŞ, M. Anıl ve YILDIRIM-KARAMAN, Seçil. (2015). Monetary policy in Turkey after Central Bank Independence, İktisat, İşletme ve Finans, 30(356), 9-38.
  • HODRICK, Robert J. ve PRESCOTT, Edward, C. (1997). Postwar U. S. Business Cycles: An Empirical Investigation, Journal of Money, Credit and Banking, 29(1), 1-16.
  • İLHAN, Ali. (2018). Finansal İstikrarı Sağlamaya Yönelik Alternatif Politika Çerçeveleri, Finans Politik & Ekonomik Yorumlar, 55(635), 21-36.
  • İLHAN, Ali ve ÖZDEMİR, Metin. (2019). Türkiye’de Yeni Politika Bileşiminin Finansal İstikrar ve Fiyat İstikrarı Üzerindeki Etkilerine İlişkin Bir Değerlendirme, Business and Economics Research Journal, 10(4), 789-806.
  • KÄFER, Benjamin. (2014). The Taylor rule and financial stability-A literature review with application for the eurozone, Review of Economics, 65(2), 159-192.
  • KARA, Hakan. (2012). Küresel kriz sonrası para politikası, İktisat, İşletme ve Finans, 27(315), 9-36.
  • LEBE, Fuat ve BAYAT, Tayfur. (2011). Taylor kuralı: Türkiye için bir vektör otoregresif model analizi, Ege Akademik Bakış Dergisi, 11, 95-112.
  • MARIA-DOLORES, Ramon. (2005). Monetary policy rules in accession countries to EU: Is the Taylor rule a pattern?, Economics Bulletin, 5(7), 1-16.
  • MILAS, Costas ve NARAIDOO, Ruthira. (2012). Financial conditions and nonlinearities in the European Central Bank (ECB) reaction function: In-sample and out-of-sample assessment, Computational Statistics & Data Analysis, 56(1), 173-189.
  • NAKAJIMA, Jouchi (2011). Time-varying parameter VAR model with stochastic volatility: An overview of methodology and empirical applications, Institute for Monetary and Economic Studies, Bank of Japan.
  • ONGAN, T. Hakan. (2004). Enflasyon hedeflemesi ve Taylor kuralı: Türkiye örneği, İstanbul Üniversitesi İktisat Fakültesi Maliye Araştırma Merkezi Konferansları, 45. Seri
  • ORPHANIDES, Athanasios (1997). Monetary Policy Rules Based on Real-Time Data, Board of Governors of the Federal Reserve System.
  • ÖSTERHOLM, Pär. (2005). The Taylor rule: a spurious regression?, Bulletin of Economic Research, 57(3), 217-247.
  • ÖZATAY, Fatih. (2011). Parasal İktisat: Kuram ve Politika, 2. Baskı, Ankara: Efil Yayınevi.
  • ÖZATAY, Fatih. (2014). A note on the new monetary policy of the Central Bank of Turkey. (Ed.) ARI, Ali, The European Debt Crisis: Causes, Consequences, Measures and Remedies, Newcastle: Cambridge Scholars Publishing, 185-194.
  • ÖZDEMİR, Metin. (2020). The role of exchange rate in inflation targeting: the case of Turkey, Applied Economics, 52(29), 3138-3152.
  • PHILLIPS, Peter C. B. ve PERRON, Pierre. (1988). Testing for a unit root in time series regression, Biometrika, 75(2), 335-346.
  • PRIMICERI, Giorgio E. (2005). Time varying structural vector autoregressions and monetary policy, The Review of Economic Studies, 72.3: 821-852.
  • SVENSSON, Lars E. O. (1997), Inflation Forecast Targeting: Implementing and Monitoring Inflation Targets, European Economic Review, 41(6), 1111-1146.
  • TAYLOR, John B. (1993). Discretion versus policy rules in practice, Carnegie-Rochester conference series on public policy, 39, 195-214.
  • TAYLOR, John B. (1999). The robustness and efficiency of monetary policy rules as guidelines for interest rate setting by the European Central Bank, Journal of Monetary Economics, 43(3), 655-679.
  • TAYLOR, John B. (2001). The role of the exchange rate in monetary-policy rules, American Economic Review, 91(2), 263-267.
  • TAYLOR, Mark P. ve DAVRADAKIS, Emmanuel. (2006). Interest rate setting and inflation targeting: Evidence of a nonlinear Taylor rule for the United Kingdom, Studies in Nonlinear Dynamics & Econometrics, 10(4).
  • TCMB (2018). Para Politikası Operasyonel Çerçevesine İlişkin Baskın Duyurusu, 2018-21, Ankara.
  • TCMB (2019). Türkiye Cumhuriyet Merkez Bankası Tarihçesi ve Görevleri, İkinci Basım, Ankara.
  • TOPARLI, Elif Akay; ÇATIK, Abdurrahman Nazif ve BALCILAR, Mehmet (2019). The impact of oil prices on the stock returns in Turkey: A TVP-VAR approach, Physica A: Statistical Mechanics and its Applications, 535: 122392.
  • YAZGAN, M. Ege ve YILMAZKUDAY, Hakan. (2007). Monetary policy rules in practice: evidence from Turkey and Israel, Applied Financial Economics, 17(1), 1-8.
  • YÜKSEL, Ebru; METİN-ÖZCAN, Kivilcim ve HATİPOĞLU, Ozan. (2013). A survey on time-varying parameter Taylor rule: A model modified with interest rate pass-through, Economic Systems, 37(1), 122-134.
  • ZIVOT, Eric ve ANDREW, Donald W. K. (1992). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis, Journal of Business & Economic Statistics, 10(3), 251-270.
There are 49 citations in total.

Details

Primary Language Turkish
Journal Section Makaleler
Authors

Coşkun Akdeniz 0000-0002-3973-754X

Publication Date July 31, 2021
Submission Date November 15, 2020
Published in Issue Year 2021 Volume: 13 Issue: 25

Cite

APA Akdeniz, C. (2021). TAYLOR KURALININ FARKLI PARA POLİTİKASI REJİMLERİ ALTINDA GEÇERLİLİĞİ: TÜRKİYE EKONOMİSİ İÇİN TVP-VAR MODELİ UYGULAMASI. Finansal Araştırmalar Ve Çalışmalar Dergisi, 13(25), 293-308. https://doi.org/10.14784/marufacd.975925