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GENİŞLETİLMİŞ TAYLOR KURALI’NIN TÜRKİYE EKONOMİSİ İÇİN GEÇERLİLİĞİNİN FOURİER TESTLER İLE ANALİZİ

Year 2022, Volume: 6 Issue: 2, 65 - 70, 03.01.2023
https://doi.org/10.30711/utead.1211538

Abstract

ÖZ
Merkez bankaları para politikası hedeflerine ulaşmak amacıyla kurala göre ve ihtiyari para politikalarından herhangi birini uygulama yoluna başvurabilmektedirler. Ancak uygulanacak politikaların önceden tahmin edilebilmesi ve bu nedenle ekonomik birimlerin beklenmedik bir durumla karşı karşıya gelmemeleri açısından kurala dayalı politikaların uygulanması daha baskın gelmektedir. Bu kapsamda John Taylor (1999)’ın literatüre kazandırdığı Taylor Kuralı genel olarak ülke ekonomileri tarafından sıklıkla başvurulan politika stratejilerinden biri olarak karşımıza çıkmaktadır. Bununla birlikte orijinal kuralda yer alan kapalı ekonomi varsayımı küreselleşen ve dışa açık olan ekonomiler için önemli bir değişken olan döviz kurlarını içermediğinden söz konusu kural döviz kuru değişkeni eklenerek genişletilmektedir. Bu çalışmada ise Türkiye ekonomisinde Ocak 2011-Mayıs 2022 dönemi için Taylor Kuralı reel döviz kuru değişkeni kullanılarak genişletilmekte ve geçerliliği Fourier eşbütünleşme testi kullanılarak incelenmektedir. Elde edilen sonuçlara göre çalışmada Türkiye için temel alınan faiz oranı değişkeni genişletilmiş Taylor Kuralı çerçevesinde hareket etmektedir

References

  • Aklan, N., A ve Nargelecekenler, M. (2008). Taylor rule in practice: Evidence from Turkey. International Advances in Economic Research, 14(2), 156-166.
  • Ball, L., (1999). Policy rules for open economies. In: Taylor, J.B. (Ed.), Monetary Policy Rules. University of Chicago Press, pp. 127–156
  • Banerjee, P.,Arčabić, V., ve Lee, H. (2017). Fourier ADL cointegration test to approximate smooth breaks with new evidence from crude oil market. Economic Modelling, 67, 114-124.
  • Becker, R.,Enders, W., ve Lee, J. (2006). A stationarity test in the presence of an unknown number of smooth breaks. Journal of Time Series Analysis, 27(3), 381-409.
  • Bernanke, B. S. (2007). Opening remarks to the Conference on John Taylor's Contributions to Monetary Theory and Policy, Federal Reserve Bank of Dallas, Dallas, Texas, October 12, 2007
  • Caporale, G. M., Helmi, M. H., Çatık, A. N., Ali, F. M., ve Akdeniz, C. (2018). Monetary policy rules in emerging countries: Is there an augmented nonlinear taylor rule?. Economic Modelling, 72, 306-319.
  • Christopoulos, D. K.,veLeon-Ledesma, M. A. (2011). International output convergence, breaks, and asymmetric adjustment. Studies in Nonlinear Dynamics veEconometrics, 15,67–97.
  • Coşar, K., ve Nezir, K. Ö. S. E. (2019). Zamanla değişen parametreli genişletilmiş Taylor kuralı: Türkiye için finansal istikrarın rolü. İstanbul Gelişim Üniversitesi Sosyal Bilimler Dergisi, 6(1), 1-17.
  • Crowley, P. M., ve Hudgins, D. (2021). Is the Taylor rule optimal? Evaluation using a wavelet-based control model. Applied Economics Letters, 28(1), 54-60.
  • Erdal, F., ve Güloğlu, B. (2005). Modelling real exchange rate behaviour with the Taylor rule: An empirical analysis. In Proc. The International Conference on Policy Modeling, EcoMod, Istanbul.
  • Erdem, E., ve Kayhan, S. (2011). The Taylor rule in estimating the performance of inflation targeting programs: the case of Turkey. Global Economy Journal, 11(1), 1850219.
  • Garcia, C. J., Restrepo, J. E., ve Roger, S. (2011). How much should inflation targeters care about the exchange rate?. Journal of International Money and Finance, 30(7), 1590-1617.
  • Gerlach, S., ve Schnabel, G. (2000). The Taylor rule and interest rates in the EMU area. Economics Letters, 67(2), 165-171.
  • Goldberg, L. S., ve Campa, J. M. (2010). The sensitivity of the CPI to exchange rates: Distribution margins, imported inputs, and trade exposure. The Review of Economics and Statistics, 92(2), 392-407.
  • Goodfriend, M. (1993). Interest rate policy and the inflation scare problem: 1979-1992. FRB, Richmond Economic Quarterly, 79(1), 1-23.
  • Hofmann, B., ve Bogdanova, B. (2012). Taylor rules and monetary policy: a global Great Deviation'?. BIS quarterly review September.
  • Kaytancı, B. G. (2015). Merkez bankası para politikası tepki fonksiyonu: Türkiye uygulaması (1990-2003) (Doktora Tezi, Anadolu Universitesi, Türkiye).
  • Lebe, F., ve Bayat, T. (2011). Taylor kuralı: Türkiye için bir vektör otoregresif model analizi. Ege Akademik Bakış, 11 (Özel), 95-112.
  • Leitemo, K., ve Söderström, U. (2005). Simple monetary policy rules and exchange rate uncertainty. Journal of International Money and Finance, 24(3), 481-507.
  • Machaj, M. (2016). Can the Taylor rule be a good guidance for policy? The case of 2001-2008 real estate bubble. Prague Economic Papers, 25(4), 381-395.
  • Moura, M. L., ve de Carvalho, A. (2010). What can Taylor rules say about monetary policy in Latin America?. Journal of Macroeconomics, 32(1), 392-404.
  • Ongan, T. H. (2004). Enflasyon hedeflemesi ve Taylor kuralı: Türkiye örneği. Maliye Araştırma Merkezi Konferansları, (45), 1-12.
  • Sghaier, I. M. (2012). Taylor Rule and Monetary Policy in Tunisia. Romanian Economic Journal, 15(46).
  • Svensson, L. E. (2003). What is wrong with Taylor rules? Using judgment in monetary policy through targeting rules. Journal of Economic Literature, 41(2), 426-477.
  • Şeker, H., ve Eroğlu, İ. (2022). Kurala dayalı-ihtiyari politika tartışmaları çerçevesinde Taylor kuralı: TCMB özelinde bir uygulama. Journal of Marmara University Social Sciences Institute/Öneri, 17(58).
  • Taylor, J. B. (1993). Discretion versus policy rules in practice. In Carnegie-Rochester conference series on public policy (Vol. 39, pp. 195-214). North-Holland.
  • Taylor, J. 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, J. B. (2001). The role of the exchange rate in monetary-policy rules. American economic review, 91(2), 263-267.
  • Taylor, J. B. (2007). Housing and Monetary Policy. NBER Working Paper Series, WP:13682 Us, V. (2007). Alternative monetary policy rules in the Turkish economy under an inflation-targeting framework. Emerging Markets Finance and Trade, 43(2), 82-101.
  • Yalçınkaya, Ö., ve Yazgan, Ş. (2020). Taylor kuralı kapsamında Türkiye Cumhuriyet Merkez Bankası para politikası tepkilerinin belirlenmesi: Doğrusal ve doğrusal Olmayan Zaman Serisi Analizi, Akdeniz İİBF Dergisi, 20(1), 35-65.
  • Walsh, C. (2003). Speed limit policies: the output gap and optimal monetary policy. American Economic Review, 93(1), 265-278.

ANALYSIS OF THE EXTENDED TAYLOR’S RULE FOR THE TURKISH ECONOMY WITH FOURIER TESTS

Year 2022, Volume: 6 Issue: 2, 65 - 70, 03.01.2023
https://doi.org/10.30711/utead.1211538

Abstract

ABSTRACT

Central banks can resort to any of the rule-based and discretionary monetary policies in order to achieve their monetary policy targets. However, the implementation of rule-based policies is more dominant in terms of predicting the policies to be implemented and therefore preventing economic units from encountering an unexpected situation. In this context, Taylor's Rule, which John Taylor (1999) brought to the literature, appears as one of the policy strategies frequently applied by the country's economies in general. However, since the closed economy assumption in the original rule does not include exchange rates, which is an important variable for globalizing and open economies, the rule is expanded by adding the exchange rate variable. In this study, Taylor's Rule is extended by using the real exchange rate variable for the period of January 2011-May 2022 in the Turkish economy and its validity is examined using the Fourier cointegration test. According to the results obtained, the interest rate variable, which is taken as the basis for Turkey in the study, acts within the framework of the extended Taylor Rule.

References

  • Aklan, N., A ve Nargelecekenler, M. (2008). Taylor rule in practice: Evidence from Turkey. International Advances in Economic Research, 14(2), 156-166.
  • Ball, L., (1999). Policy rules for open economies. In: Taylor, J.B. (Ed.), Monetary Policy Rules. University of Chicago Press, pp. 127–156
  • Banerjee, P.,Arčabić, V., ve Lee, H. (2017). Fourier ADL cointegration test to approximate smooth breaks with new evidence from crude oil market. Economic Modelling, 67, 114-124.
  • Becker, R.,Enders, W., ve Lee, J. (2006). A stationarity test in the presence of an unknown number of smooth breaks. Journal of Time Series Analysis, 27(3), 381-409.
  • Bernanke, B. S. (2007). Opening remarks to the Conference on John Taylor's Contributions to Monetary Theory and Policy, Federal Reserve Bank of Dallas, Dallas, Texas, October 12, 2007
  • Caporale, G. M., Helmi, M. H., Çatık, A. N., Ali, F. M., ve Akdeniz, C. (2018). Monetary policy rules in emerging countries: Is there an augmented nonlinear taylor rule?. Economic Modelling, 72, 306-319.
  • Christopoulos, D. K.,veLeon-Ledesma, M. A. (2011). International output convergence, breaks, and asymmetric adjustment. Studies in Nonlinear Dynamics veEconometrics, 15,67–97.
  • Coşar, K., ve Nezir, K. Ö. S. E. (2019). Zamanla değişen parametreli genişletilmiş Taylor kuralı: Türkiye için finansal istikrarın rolü. İstanbul Gelişim Üniversitesi Sosyal Bilimler Dergisi, 6(1), 1-17.
  • Crowley, P. M., ve Hudgins, D. (2021). Is the Taylor rule optimal? Evaluation using a wavelet-based control model. Applied Economics Letters, 28(1), 54-60.
  • Erdal, F., ve Güloğlu, B. (2005). Modelling real exchange rate behaviour with the Taylor rule: An empirical analysis. In Proc. The International Conference on Policy Modeling, EcoMod, Istanbul.
  • Erdem, E., ve Kayhan, S. (2011). The Taylor rule in estimating the performance of inflation targeting programs: the case of Turkey. Global Economy Journal, 11(1), 1850219.
  • Garcia, C. J., Restrepo, J. E., ve Roger, S. (2011). How much should inflation targeters care about the exchange rate?. Journal of International Money and Finance, 30(7), 1590-1617.
  • Gerlach, S., ve Schnabel, G. (2000). The Taylor rule and interest rates in the EMU area. Economics Letters, 67(2), 165-171.
  • Goldberg, L. S., ve Campa, J. M. (2010). The sensitivity of the CPI to exchange rates: Distribution margins, imported inputs, and trade exposure. The Review of Economics and Statistics, 92(2), 392-407.
  • Goodfriend, M. (1993). Interest rate policy and the inflation scare problem: 1979-1992. FRB, Richmond Economic Quarterly, 79(1), 1-23.
  • Hofmann, B., ve Bogdanova, B. (2012). Taylor rules and monetary policy: a global Great Deviation'?. BIS quarterly review September.
  • Kaytancı, B. G. (2015). Merkez bankası para politikası tepki fonksiyonu: Türkiye uygulaması (1990-2003) (Doktora Tezi, Anadolu Universitesi, Türkiye).
  • Lebe, F., ve Bayat, T. (2011). Taylor kuralı: Türkiye için bir vektör otoregresif model analizi. Ege Akademik Bakış, 11 (Özel), 95-112.
  • Leitemo, K., ve Söderström, U. (2005). Simple monetary policy rules and exchange rate uncertainty. Journal of International Money and Finance, 24(3), 481-507.
  • Machaj, M. (2016). Can the Taylor rule be a good guidance for policy? The case of 2001-2008 real estate bubble. Prague Economic Papers, 25(4), 381-395.
  • Moura, M. L., ve de Carvalho, A. (2010). What can Taylor rules say about monetary policy in Latin America?. Journal of Macroeconomics, 32(1), 392-404.
  • Ongan, T. H. (2004). Enflasyon hedeflemesi ve Taylor kuralı: Türkiye örneği. Maliye Araştırma Merkezi Konferansları, (45), 1-12.
  • Sghaier, I. M. (2012). Taylor Rule and Monetary Policy in Tunisia. Romanian Economic Journal, 15(46).
  • Svensson, L. E. (2003). What is wrong with Taylor rules? Using judgment in monetary policy through targeting rules. Journal of Economic Literature, 41(2), 426-477.
  • Şeker, H., ve Eroğlu, İ. (2022). Kurala dayalı-ihtiyari politika tartışmaları çerçevesinde Taylor kuralı: TCMB özelinde bir uygulama. Journal of Marmara University Social Sciences Institute/Öneri, 17(58).
  • Taylor, J. B. (1993). Discretion versus policy rules in practice. In Carnegie-Rochester conference series on public policy (Vol. 39, pp. 195-214). North-Holland.
  • Taylor, J. 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, J. B. (2001). The role of the exchange rate in monetary-policy rules. American economic review, 91(2), 263-267.
  • Taylor, J. B. (2007). Housing and Monetary Policy. NBER Working Paper Series, WP:13682 Us, V. (2007). Alternative monetary policy rules in the Turkish economy under an inflation-targeting framework. Emerging Markets Finance and Trade, 43(2), 82-101.
  • Yalçınkaya, Ö., ve Yazgan, Ş. (2020). Taylor kuralı kapsamında Türkiye Cumhuriyet Merkez Bankası para politikası tepkilerinin belirlenmesi: Doğrusal ve doğrusal Olmayan Zaman Serisi Analizi, Akdeniz İİBF Dergisi, 20(1), 35-65.
  • Walsh, C. (2003). Speed limit policies: the output gap and optimal monetary policy. American Economic Review, 93(1), 265-278.
There are 31 citations in total.

Details

Primary Language Turkish
Subjects Economics
Journal Section Articles
Authors

Şebnem Taş 0000-0002-7303-3407

Publication Date January 3, 2023
Published in Issue Year 2022 Volume: 6 Issue: 2

Cite

APA Taş, Ş. (2023). GENİŞLETİLMİŞ TAYLOR KURALI’NIN TÜRKİYE EKONOMİSİ İÇİN GEÇERLİLİĞİNİN FOURİER TESTLER İLE ANALİZİ. Uluslararası Ticaret Ve Ekonomi Araştırmaları Dergisi, 6(2), 65-70. https://doi.org/10.30711/utead.1211538