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TÜRKİYE EKONOMİSİNDE DÖVİZ KURU KANALININ ETKİNLİĞİ: 2003-2016 DÖNEMİ İÇİN VAR ANALİZİ

Yıl 2017, Cilt: 4 Sayı: 2, 28 - 47, 29.12.2017
https://doi.org/10.30798/makuiibf.338597

Öz

Merkez bankaları
tarafından alınan para politikası kararlarının toplam talebi ve fiyatları
etkilemesi parasal aktarım mekanizması kanalları üzerinden gerçekleşmektedir.
Bu nedenle, para politikalarının ekonomi üzerindeki etkilerini doğru bir
şekilde tespit edebilmek ve başarılı bir para politikası tayin edebilmek için
parasal aktarım mekanizması kanallarının işleyişini anlamak büyük önem
kazanmaktadır.



Bu bağlamda çalışma,
Türkiye’de para politikalarının aktarımında döviz kuru kanalının etkinliğini
test etmeyi amaçlamaktadır. Çalışma, enflasyon hedeflemesi rejimi ve küresel
finansal kriz sonrası yeni politika stratejilerinin uygulamaya geçirildiği dönemleri
kapsaması bakımından önem kazanmaktadır. Türkiye’de döviz kuru kanalının
etkinliği 2003:1-2016:12 dönemindeki aylık veriler ile VAR modeli temelinde
etki-tepki, varyans ayrıştırma ve Granger nedensellik testleri kullanılarak
incelenmektedir. Elde edilen bulgular, Türkiye’de ilgili dönemde döviz kuru
kanalının etkin olmadığını göstermektedir.

Kaynakça

  • AHMED, S. ve ISLAM, E. (2004), The Monetary Transmission Mechanism in Bangladesh: Bank Lending and Exchange Rate Channels, The Bangladesh Development Studies, 30(3&4), 31-87.
  • ARABACI, Ö. ve FİLİZ-BAŞTÜRK, M. (2013), Türkiye’ de Döviz Kuru Kanalı: 2002-2008 Dönemi, Uluslararası Yönetim İktisat ve İşletme Dergisi, 9(18), 111-131.
  • ASTERIOU, D. ve HALL, S. G. (2007), Applied Econometrics: A Modern Approach, New York, Pallgrave Macmillan (revised edition).
  • BAŞÇI, E., ÖZEL, Ö., SARIKAYA, Ç. (2008), The Monetary Transmission Mechanism in Turkey: New Developments in Transmission Mechanisms for Monetary Policy in Emerging Market Economie, BIS Papers, 35, 475-499.
  • BERNANKE, B. S. ve GERTLER, M. (1995), Inside the Black Box: The Credit Channel of Monetary Policy Transmission, Journal of Economic Perspective, 9(2), 27-48.
  • BOUGHRARA, A. (2009), Monetary Transmission Mechanisms in Morocco and Tunisia, Economic Research Forum (ERF) Working Paper Series, 460, 1-29.
  • BÜYÜKAKIN, F., BOZKURT, H., CENGİZ, V. (2009), Türkiye’de Parasal Aktarımın Faiz Kanalının Granger Nedensellik ve Toda-Yamamota Yöntemleri ile Analizi, Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 33, 101-118.
  • CA’ZORZİ, M., HAHN, E., SANCHEZ, M. (2007), Exchange Rate Pass-Through in Emerging Markets, ECB Working Paper Series, 739, 1-31.
  • CAMARERO, M., ORDONEZ, J., TAMARİT, C. (2002), Monetary transmission in Spain: a Structural Cointegrated VAR Approach, Applied Economics 34(17), 2201-2212.
  • CAMBAZOĞLU, B., KARAALP, H.S. (2012), Parasal Aktarım Mekanizması Döviz Kuru Kanalı: Türkiye Örneği, Celal Bayar Üniversitesi İ.İ.B.F. Yönetim ve Ekonomi, 19(2), 53-66.
  • CENGİZ, V. (2009), Parasal Aktarım Mekanizması İşleyişi ve Ampirik Bulgular, Erciyes Üniversitesi İ.İ.B.F. Dergisi, 33, 225-247.
  • DE BONDT, G. J. (1997), Monetary Transmission in six EU-Countries: an Introduction and Overview, De Nederlandsche Bank NV, Econometric Research and Special Studies Department, Research Memorandum WO&E, 527(9742), 1-30.
  • DEVEREUX, M., LANE, P., XU, J. (2006), Exchange Rates and Monetary Policy in Emerging Market Economies, The Economic Journal, 116(511), 478-506.
  • DICKEY, D. A., FULLER, W. A. (1979), Distribution of the Estimators for Autoregressive Time Series With a Unit Root, Journal of the American Statistical Association, 74(366), 427-431.
  • DICKEY, D. A., FULLER, W. A. (1981), Likelihood Ratio Statistics for Autoregressive Time Series with A Unit Root, Econometrica, 49(4), 1057-1072.
  • DİSYATAT, P., VONGSİNSİRİKUL, P. (2003), Monetary Policy and the Transmission Mechanism in Thailand, Journal of Asian Economics, 14, 389-418.
  • ECB, (2000), Monetary Policy Transmission in the Euro Area, 12 Mayıs 2017 tarihinde https://www.ecb.europa.eu/pub/pdf/other/mbjul2000_article07.pdf, adresinden alındı.
  • ENDERS, W. (2014), Applied Econometric Time Series (fourth revised edition), New York: John Wiley & Sons Inc.
  • ERDOĞAN, S., BEŞBALLI, S. G. (2009), Türkiye’ de Banka Kredileri Kanalının İşleyişi Üzerine Ampirik Bir Analiz, Doğuş Üniversitesi Dergisi, 11(1), 28-41.
  • ERDOĞAN, S., YILDIRIM, D. Ç. (2008), Türkiye’ de Döviz Kuru Kanalının İşleyişi: VAR Modeli ile Bir Analiz, İ.Ü. Siyasal Bilgiler Fakültesi Dergisi, 39, 95-108.
  • GRANGER, C. W. J. (1969), Investigating Casual Relations by Econometric Models and Cross Spectral Methods, Econometrica, 37(3), 424-438.
  • GUJARAT, D. N. (2006), Temel ekonometri, Çev.: Ü. Şenesen, G. Günlük-Şenesen, İstanbul: Literatür Yayınları.
  • KAMIN, S., TURNER, P., VAN’T DACK, J. (1998), The transmission mechanism of monetary policy in emerging market economies, Bank for International Settlements (BIS) Papers, 98(3), 5-64.
  • KASAPOĞLU, Ö. (2007), Parasal Aktarım Mekanizmaları: Türkiye İçin Uygulama, TCMB Uzmanlık Yeterlilik Tezi, Ankara: TCMB Piyasalar Genel Müdürlüğü.
  • LOAYZA, N., HEBBEL, K. S. (2002), Monetary Policy Functions and Transmission: An Overwiev, 30 Haziran 2017 tarihinde http://si2.bcentral.cl/public/pdf/banca central/pdf/v4/001_020Gallego.pdf, adresinden alındı.
  • MACKINNON, J. G. (1991), Critical Values for Cointegration Tests, R. F. Engle ve C. W. J. Granger içinde Long Run Economic Relationships: Reading in Cointegration, Oxford: Oxford University Press.
  • MISHKIN, F. S. (1995), Symposium on the Monetary Transmission Mechanism, Journal of Economic Perspectives, 9(4), 3-10.
  • MISHKIN, F. S.;(2001), The Transmission Mechanism and the Role of Asset Prices in Monetary Policy, NBER Working Paper Series, 8617, 1-21.
  • MUNDELL, R. A. (1963), Capital Mobility and Stabilization Policy Under Fixed and Flexible Exchange Rates, The Canadian Journal of Economics and Political Science, 29(4), 475-485.
  • NAGAYASU, J. (2007), Empirical Analysis of the Exchange Rate Channel in Japan, Journal of International Money and Finance, 26(6), 887-904.
  • NORRBIN, S. (2000), What Have We Learned from Empirical Tests of Monetary Transmission Effect?, Central Bank of Sweden Working Paper Series, 121, 1-40.
  • NUALTARANEE, J. (2001), Transmission Mechanism of Monetary Policy: Literature Survey and Theoretical Discussion, 05 Nisan 2017 tarihinde http://wbcu. car.chula.ac.th/papers/transmission.htm, adresinden alındı.
  • ÖRNEK, İ. (2009), Türkiye’de Parasal Aktarım Mekanizması Kanalları İşleyişi, Maliye Dergisi, 156, 104-125.
  • PERRON, P. (1989), The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis, Econometrica, 57(6), 1361-1401.
  • SIMS, C. A., (1980), Macroeconomics and Reality, Econometrica, 48(1), 1-48.
  • SIMS, C. A., STOCK, J. H., WATSON, M. W. (1990), Inference in Linear Time Series Models with Some Unit Roots, Econometrica, 58(1), 113-144.
  • SMETS, F., WOUTERS, R. (1999), The Exchange Rate and the Monetary Transmission Mechanism in Germany, De Economist, 147(4), 489-521.
  • STOCK, J. H., WATSON, M. W. (2001), Vector Autoregressions, Journal of Economic Perspectives, 15(4), 101-115.
  • TAYLOR, J. B. (2000), The Monetary Transmission Mechanism and the Evaluation of Monetary Policy Rules, Working Papers Central Bank of Chile, 87, 1-31.
  • TCMB, (2013), Parasal Aktarım, 30 Nisan 2017 tarihinde http://www.tcmb.gov.tr/wps/wcm/connect/8cdd0f38-142f-493b-b489-bdc0111491bb/ParasalAktarim.pdf?MOD=AJPERES, adresinden alındı.
  • ZIVOT, E., ANDREWS, D. W. K. (1992), Further Evidence of Great Crash, the Oil-Price Shock and the Unit Root Hypothesis, Journal of Business and Economic Statics,10(3), 251-270.

EFFICIENCY OF EXCHANGE RATE CHANNEL IN TURKISH ECONOMY: VAR ANALYSIS FOR THE PERIOD OF 2003-2016

Yıl 2017, Cilt: 4 Sayı: 2, 28 - 47, 29.12.2017
https://doi.org/10.30798/makuiibf.338597

Öz

The
monetary policy decisions taken by central banks affect the aggregate demand
and prices through the channels of monetary transmission mechanisms. For this
reason, it is very important to understand the functioning of the channels of
monetary transmission mechanism in order to identify the effects of monetary
policies on the economy accurately and to determine a successful monetary
policy.



In
this context, this study aims to test the efficiency of exchange rate channel
in the transmission of monetary policies in Turkey. This study is important in
terms of the periods it covers that the inflation targeting regime and the new
policy strategies after the global financial crises were put into practice.
Efficiency of exchange rate channel in Turkey is examined by using
impulse-response, variance decomposition and Granger causality tests on the
basis of VAR model with monthly data of 2003:1-2016:12. The findings indicate
the inefficiency of exchange rate channel in Turkey during the review period.

Kaynakça

  • AHMED, S. ve ISLAM, E. (2004), The Monetary Transmission Mechanism in Bangladesh: Bank Lending and Exchange Rate Channels, The Bangladesh Development Studies, 30(3&4), 31-87.
  • ARABACI, Ö. ve FİLİZ-BAŞTÜRK, M. (2013), Türkiye’ de Döviz Kuru Kanalı: 2002-2008 Dönemi, Uluslararası Yönetim İktisat ve İşletme Dergisi, 9(18), 111-131.
  • ASTERIOU, D. ve HALL, S. G. (2007), Applied Econometrics: A Modern Approach, New York, Pallgrave Macmillan (revised edition).
  • BAŞÇI, E., ÖZEL, Ö., SARIKAYA, Ç. (2008), The Monetary Transmission Mechanism in Turkey: New Developments in Transmission Mechanisms for Monetary Policy in Emerging Market Economie, BIS Papers, 35, 475-499.
  • BERNANKE, B. S. ve GERTLER, M. (1995), Inside the Black Box: The Credit Channel of Monetary Policy Transmission, Journal of Economic Perspective, 9(2), 27-48.
  • BOUGHRARA, A. (2009), Monetary Transmission Mechanisms in Morocco and Tunisia, Economic Research Forum (ERF) Working Paper Series, 460, 1-29.
  • BÜYÜKAKIN, F., BOZKURT, H., CENGİZ, V. (2009), Türkiye’de Parasal Aktarımın Faiz Kanalının Granger Nedensellik ve Toda-Yamamota Yöntemleri ile Analizi, Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 33, 101-118.
  • CA’ZORZİ, M., HAHN, E., SANCHEZ, M. (2007), Exchange Rate Pass-Through in Emerging Markets, ECB Working Paper Series, 739, 1-31.
  • CAMARERO, M., ORDONEZ, J., TAMARİT, C. (2002), Monetary transmission in Spain: a Structural Cointegrated VAR Approach, Applied Economics 34(17), 2201-2212.
  • CAMBAZOĞLU, B., KARAALP, H.S. (2012), Parasal Aktarım Mekanizması Döviz Kuru Kanalı: Türkiye Örneği, Celal Bayar Üniversitesi İ.İ.B.F. Yönetim ve Ekonomi, 19(2), 53-66.
  • CENGİZ, V. (2009), Parasal Aktarım Mekanizması İşleyişi ve Ampirik Bulgular, Erciyes Üniversitesi İ.İ.B.F. Dergisi, 33, 225-247.
  • DE BONDT, G. J. (1997), Monetary Transmission in six EU-Countries: an Introduction and Overview, De Nederlandsche Bank NV, Econometric Research and Special Studies Department, Research Memorandum WO&E, 527(9742), 1-30.
  • DEVEREUX, M., LANE, P., XU, J. (2006), Exchange Rates and Monetary Policy in Emerging Market Economies, The Economic Journal, 116(511), 478-506.
  • DICKEY, D. A., FULLER, W. A. (1979), Distribution of the Estimators for Autoregressive Time Series With a Unit Root, Journal of the American Statistical Association, 74(366), 427-431.
  • DICKEY, D. A., FULLER, W. A. (1981), Likelihood Ratio Statistics for Autoregressive Time Series with A Unit Root, Econometrica, 49(4), 1057-1072.
  • DİSYATAT, P., VONGSİNSİRİKUL, P. (2003), Monetary Policy and the Transmission Mechanism in Thailand, Journal of Asian Economics, 14, 389-418.
  • ECB, (2000), Monetary Policy Transmission in the Euro Area, 12 Mayıs 2017 tarihinde https://www.ecb.europa.eu/pub/pdf/other/mbjul2000_article07.pdf, adresinden alındı.
  • ENDERS, W. (2014), Applied Econometric Time Series (fourth revised edition), New York: John Wiley & Sons Inc.
  • ERDOĞAN, S., BEŞBALLI, S. G. (2009), Türkiye’ de Banka Kredileri Kanalının İşleyişi Üzerine Ampirik Bir Analiz, Doğuş Üniversitesi Dergisi, 11(1), 28-41.
  • ERDOĞAN, S., YILDIRIM, D. Ç. (2008), Türkiye’ de Döviz Kuru Kanalının İşleyişi: VAR Modeli ile Bir Analiz, İ.Ü. Siyasal Bilgiler Fakültesi Dergisi, 39, 95-108.
  • GRANGER, C. W. J. (1969), Investigating Casual Relations by Econometric Models and Cross Spectral Methods, Econometrica, 37(3), 424-438.
  • GUJARAT, D. N. (2006), Temel ekonometri, Çev.: Ü. Şenesen, G. Günlük-Şenesen, İstanbul: Literatür Yayınları.
  • KAMIN, S., TURNER, P., VAN’T DACK, J. (1998), The transmission mechanism of monetary policy in emerging market economies, Bank for International Settlements (BIS) Papers, 98(3), 5-64.
  • KASAPOĞLU, Ö. (2007), Parasal Aktarım Mekanizmaları: Türkiye İçin Uygulama, TCMB Uzmanlık Yeterlilik Tezi, Ankara: TCMB Piyasalar Genel Müdürlüğü.
  • LOAYZA, N., HEBBEL, K. S. (2002), Monetary Policy Functions and Transmission: An Overwiev, 30 Haziran 2017 tarihinde http://si2.bcentral.cl/public/pdf/banca central/pdf/v4/001_020Gallego.pdf, adresinden alındı.
  • MACKINNON, J. G. (1991), Critical Values for Cointegration Tests, R. F. Engle ve C. W. J. Granger içinde Long Run Economic Relationships: Reading in Cointegration, Oxford: Oxford University Press.
  • MISHKIN, F. S. (1995), Symposium on the Monetary Transmission Mechanism, Journal of Economic Perspectives, 9(4), 3-10.
  • MISHKIN, F. S.;(2001), The Transmission Mechanism and the Role of Asset Prices in Monetary Policy, NBER Working Paper Series, 8617, 1-21.
  • MUNDELL, R. A. (1963), Capital Mobility and Stabilization Policy Under Fixed and Flexible Exchange Rates, The Canadian Journal of Economics and Political Science, 29(4), 475-485.
  • NAGAYASU, J. (2007), Empirical Analysis of the Exchange Rate Channel in Japan, Journal of International Money and Finance, 26(6), 887-904.
  • NORRBIN, S. (2000), What Have We Learned from Empirical Tests of Monetary Transmission Effect?, Central Bank of Sweden Working Paper Series, 121, 1-40.
  • NUALTARANEE, J. (2001), Transmission Mechanism of Monetary Policy: Literature Survey and Theoretical Discussion, 05 Nisan 2017 tarihinde http://wbcu. car.chula.ac.th/papers/transmission.htm, adresinden alındı.
  • ÖRNEK, İ. (2009), Türkiye’de Parasal Aktarım Mekanizması Kanalları İşleyişi, Maliye Dergisi, 156, 104-125.
  • PERRON, P. (1989), The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis, Econometrica, 57(6), 1361-1401.
  • SIMS, C. A., (1980), Macroeconomics and Reality, Econometrica, 48(1), 1-48.
  • SIMS, C. A., STOCK, J. H., WATSON, M. W. (1990), Inference in Linear Time Series Models with Some Unit Roots, Econometrica, 58(1), 113-144.
  • SMETS, F., WOUTERS, R. (1999), The Exchange Rate and the Monetary Transmission Mechanism in Germany, De Economist, 147(4), 489-521.
  • STOCK, J. H., WATSON, M. W. (2001), Vector Autoregressions, Journal of Economic Perspectives, 15(4), 101-115.
  • TAYLOR, J. B. (2000), The Monetary Transmission Mechanism and the Evaluation of Monetary Policy Rules, Working Papers Central Bank of Chile, 87, 1-31.
  • TCMB, (2013), Parasal Aktarım, 30 Nisan 2017 tarihinde http://www.tcmb.gov.tr/wps/wcm/connect/8cdd0f38-142f-493b-b489-bdc0111491bb/ParasalAktarim.pdf?MOD=AJPERES, adresinden alındı.
  • ZIVOT, E., ANDREWS, D. W. K. (1992), Further Evidence of Great Crash, the Oil-Price Shock and the Unit Root Hypothesis, Journal of Business and Economic Statics,10(3), 251-270.
Toplam 41 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Ekonomi
Bölüm Makaleler
Yazarlar

Harun Kaya

Murat Belke

Yayımlanma Tarihi 29 Aralık 2017
Gönderilme Tarihi 18 Eylül 2017
Yayımlandığı Sayı Yıl 2017 Cilt: 4 Sayı: 2

Kaynak Göster

APA Kaya, H., & Belke, M. (2017). TÜRKİYE EKONOMİSİNDE DÖVİZ KURU KANALININ ETKİNLİĞİ: 2003-2016 DÖNEMİ İÇİN VAR ANALİZİ. Journal of Mehmet Akif Ersoy University Economics and Administrative Sciences Faculty, 4(2), 28-47. https://doi.org/10.30798/makuiibf.338597

Cited By

Türkiye’de Parasal Aktarım Mekanizması: Teorik Bir Değerlendirme
Cankiri Karatekin Universitesi Iktisadi ve Idari Bilimler Fakultesi Dergisi
Alpaslan SEREL
https://doi.org/10.18074/ckuiibfd.598022