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Merkez Bankası Kredibilitesi ve Makroekonomik Performans -Türkiye’den Kanıtlar-

Yıl 2024, Cilt: 8 Sayı: 1, 77 - 95, 29.03.2024
https://doi.org/10.30586/pek.1411319

Öz

Merkez bankası kredibilitesi, merkez bankalarının beklenti yönetiminin başarısını açıklamaktadır. Merkez bankası kredibilitesinin makroekonomik değişkenler üzerindeki etkisi, para politikası uygulamalarının başarısını yansıtmaktadır. Bu çalışmada, Türkiye Cumhuriyet Merkez Bankası'nın (TCMB) kredibilite gelişmelerinin Türkiye'nin makroekonomik performansı üzerindeki etkileri Ocak 2008 - Ağustos 2023 dönemi için Bayesian Vektör Otoregresyon (BVAR) modeli kullanılarak incelenmektedir. BVAR modelinden elde edilen kanıtlar, ülke risk priminin, döviz kurunun değişim oranının, reel faiz oranındaki değişimin, çıktı boşluğunun ve enflasyon boşluğunun merkez bankası kredibilitesindeki bir birim pozitif şoka azalan ve istatistiksel olarak anlamlı bir şekilde tepki verdiğini göstermektedir. Dolayısıyla, merkez bankası kredibilitesindeki artış ülkeye yönelik risk algısını azaltmakta, döviz kuru ve faiz oranlarında istikrar sağlamakta, çıktı ve enflasyonu sırasıyla potansiyel ve hedeflenen seviyelerine yaklaştırmakta ve böylece Türkiye'nin makroekonomik performansını olumlu yönde etkilemektedir. Bu noktadan hareketle, çalışmanın bulguları çerçevesinde, merkez bankasının optimal politika uygulamalarını desteklemek ve enflasyonist olmayan bir ekonomik büyümeyi gerçekleştirmek için merkez bankası kredibilitesinin artırılması bir politika önerisi olarak sunulmaktadır.

Kaynakça

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  • Akosah, N.K., Acquaye, I., & Loloh, F. W. (2017). Monetary policy credibility and macro-dynamics: Evidence from Ghana. Applied Economic Letters, 24(21), 1567–1574. https://doi:10.1080/13504851.2017.1332739
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  • Başkaya, Y. S., Gülşen, E., & Kara, A. H. (2012). Inflation expectations and central bank communication in turkey. Central Bank Review, 12(2), 1-10.
  • Başkaya, Y. S., Gülşen, E., & Orak, M. (2008). Hedef revizyonu öncesi ve sonrasında enflasyon beklentileri. TCMB Ekonomi Notları, 10(01).
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Central Bank Credibility and Macroekonomic Performance -Evidence from Turkey-

Yıl 2024, Cilt: 8 Sayı: 1, 77 - 95, 29.03.2024
https://doi.org/10.30586/pek.1411319

Öz

Central bank credibility explains the success of central banks' expectations management. The effect of central bank credibility on macroeconomic performance reflects the success of monetary policy implementations. In this study, the effects of the credibility developments of the Central Bank of the Republic of Turkey (CBRT) on the Turkey’s macroeconomic performance are examined by using the Bayesian Vector Autoregression (BVAR) model for the period of January 2008 – August 2023. The evidence obtained from the BVAR model suggest that the sovereign risk premium, the rate of change of exchange rate, the change in real interest rate, output gap and inflation gap react to a one-unit positive shock in central bank credibility by decreasing and statistically significant manner. Therefore, increase in central bank credibility reduces the risk perception towards the country, provides the stability in exchange rate and interest rate, and brings output and inflation closer to their potential and targeted levels, respectively, and thus positively affects the macroeconomic performance of Turkey. From this point, within the framework of the findings of the study, in order to support the optimal policy implementations of the central bank and to realize a non-inflationary economic growth, improving central bank credibility is proposed as a policy recommendation.

Kaynakça

  • Adler, G., Lama, R., & Medina, J. P. (2019). Foreign exchange intervention and inflation targeting: The role of credibility. Journal of Economic Dynamics & Control, 106, 103716, 1-20. https://doi.org/10.1016/j.jedc.2019.07.002
  • Agénor, P., & Taylor, M. P. (1992). Testing for credibility effects. Staff Papers - International Monetary Fund, 39(3), 545-571. https://doi.org/10.2307/3867473
  • Agénor, P.R. (2001). Monetary policy under flexible exchange rates: An introduction to inflation targeting. Central Bank of Chile Working Papers, No.124.
  • Aguir, A. (2018). Central bank credibility, independence, and monetary policy. Journal of Central Banking Theory and Practice (Podgorica), 7(3), 91-110. https://doi.org/10.2478/jcbtp-2018-0025
  • Akosah, N.K., Acquaye, I., & Loloh, F. W. (2017). Monetary policy credibility and macro-dynamics: Evidence from Ghana. Applied Economic Letters, 24(21), 1567–1574. https://doi:10.1080/13504851.2017.1332739
  • Ball, L. (1995). Disinflation with imperfect credibility. Journal of Monetary Economics, 35(1), 5-23. https://doi.org/10.1016/0304-3932(94)01166-8
  • Bańbura, M., Giannone, D., & Reichlin, L. (2010). Large Bayesian vector auto regressions. Journal of Applied Econometrics (Chichester, England), 25(1), 71-92. https://doi.org/10.1002/jae.1137
  • Başkaya, S., Kara, H., & Mutluer, D. (2008). Expectations, communication and monetary policy in Turkey. CBRT Working Paper, 08/01.
  • Başkaya, Y. S., Gülşen, E., & Kara, A. H. (2012). Inflation expectations and central bank communication in turkey. Central Bank Review, 12(2), 1-10.
  • Başkaya, Y. S., Gülşen, E., & Orak, M. (2008). Hedef revizyonu öncesi ve sonrasında enflasyon beklentileri. TCMB Ekonomi Notları, 10(01).
  • Bernanke, B. (1999). Inflation targeting: Lessons from the international experience. Princeton University Press.
  • Bernanke, B. S. (2005). What have we learned since October 1979? Review - Federal Reserve Bank of St. Louis, 87(2), 277-282.
  • Bessler, D. A., & Kling, J. L. (1986). Forecasting vector autoregressions with Bayesian priors. American Journal of Agricultural Economics, 60(1), 144-151.
  • Bicchal, M. (2022). Central bank credibility and its effect on stabilization. Economic Analysis and Policy, 76, 73-94. https://doi.org/10.1016/j.eap.2022.07.006
  • Blinder, A. S. (2000). Central-bank credibility: Why do we care? how do we build it? The American Economic Review, 90(5), 1421-1431. https://doi.org/10.1257/aer.90.5.1421
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  • Kabundi, A., & Mlachila, M. (2019). The role of monetary policy credibility in explaining the decline in exchange rate pass-through in south Africa. Economic Modelling, 79, 173-185. https://doi.org/10.1016/j.econmod.2018.10.010
  • Koop, G. M. (2013). Forecasting with medium and large Bayesian VARS. Journal of Applied Econometrics, 28(2), 177-203. https://doi.org/10.1002/jae.1270
  • Krušković, B. D. (2022). Central bank intervention in the inflation targeting. Journal of Central Banking Theory and Practice (Podgorica), 11(1), 67-85. https://doi.org/10.2478/jcbtp-2022-0003
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  • Litterman, R. B. (1980). A Bayesian procedure for forecasting with vector autoregressions. MIT Working Paper.
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  • Litterman, R. B. (1986b). Forecasting with Bayesian vector autoregressions-five years of experience. Journal of Business & Economic Statistics, 4(1), 25-38. https://doi.org/10.1080/07350015.1986.10509491
  • Łyziak, T., Mackiewicz, J., & Stanisławska, E. (2007). Central bank transparency and credibility: The case of Poland, 1998–2004. European Journal of Political Economy, 23(1), 67-87. https://doi.org/10.1016/j.ejpoleco.2006.05.004
  • Migliardo, C. (2010). Monetary policy transmission in Italy: A BVAR analysis with sign restriction. Czech Economic Review, 4(02), 139-167.
  • Minella, A., de Freitas, P. S., Goldfajn, I., & Muinhos, M. K. (2003). Inflation targeting in Brazil: Constructing credibility under exchange rate volatility. Journal of International Money and Finance, 22(7), 1015-1040. https://doi.org/10.1016/j.jimonfin.2003.09.008
  • Montes, G. C. (2009). Reputation, credibility and monetary policy effectiveness. Estudos Econômicos (São Paulo), 39, 673-698.
  • Montes, G. C. (2013). Credibility and monetary transmission channels under inflation targeting: An econometric analysis from a developing country. Economic Modelling, 30, 670-684. https://doi.org/10.1016/j.econmod.2012.09.035
  • Montes, G. C., & Cesar Albuquerque Bastos, J. (2014). Effects of reputation and credibility on monetary policy: Theory and evidence for Brazil. Journal of Economic Studies (Bradford), 41(3), 387-404. https://doi.org/10.1108/JES-11-2012-0158
  • Montes, G. C., & Curi, A. (2015). The importance of credibility for the conduct of monetary policy and inflation control: theoretical model and empirical analysis for Brazil under inflation targeting. Planejamento e Políticas Públicas, (46).
  • Montes, G. C., & Ferreira, C. F. (2020). Does monetary policy credibility mitigate the fear of floating? Economic Modelling, 84, 76-87. https://doi.org/10.1016/j.econmod.2019.03.010
  • Montes, G. C., Oliveira, L. V., Curi, A., & Nicolay, R. T. F. (2016). Effects of transparency, monetary policy signaling and clarity of central bank communication on disagreement about inflation expectations. Applied Economics, 48(7), 590-607. https://doi.org/10.1080/00036846.2015.1083091
  • Montes, G., Oliveira, A. J. D., & Nicolay, R. (2019). Empirical evidence on the relation between fiscal credibility and central bank credibility: The Brazilian case. Estudos Econômicos (São Paulo), 49, 105-129.
  • Ötker, I., & Freedman, C. (2009). Country experiences with the introduction and implementation of inflation targeting, IMF Working Papers, 2009(161). https://doi.org/10.5089/9781451873085.001.A001
  • Park, K. (2022). The excess sensitivity of long-term interest rates and central bank credibility. Economic Modelling, 106, 105708. https://doi.org/10.1016/j.econmod.2021.105708
  • Perrier, P., & Amano, R. (2000). Credibility and monetary policy. Bank of Canada Review, 11.
  • Posen, A. (1998). Central bank independence and disinflationary credibility: A missing link? Oxford Economic Papers, 50(3), 335-359. https://doi.org/10.1093/oxfordjournals.oep.a028650
  • Potter, S. M. & Smets, F. (2019). Unconventional monetary policy tools: A cross-country analysis. BIS CGFS Papers, No.63.
  • Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48(1), 1-48. https://doi.org/10.2307/1912017
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  • Varlık, N., & Varlık, S. (2021). Merkez bankası kredibilitesinin enflasyon oranı üzerindeki asimetrik etkisi–Türkiye örneği. Journal of Management and Economics Research, 19(2), 299-319.
  • Varlık, S., & Berument, H. (2019). Küresel Finansal Çevrimler Ülke Risk Primi ve Merkez Bankası Kredibilitesi – Türkiye Örneği, Edt. Hasan Türe ve Erkan Ağaslan, Türkiye’nin Güncel İktisadi Sorunları, Gazi Kitabevi. Ankara.
  • Varlık, S., & Daglaroglu, T. (2021). Merkez bankası kredibilitesinin ölçümüne alternatif bir yöntem arayışı–Türkiye Cumhuriyet Merkez Bankası (TCMB) Örneği. Akdeniz İİBF Dergisi, 21(2), 256-270.
  • Varlık, S., & Öbekcan, M. (2023). Ülke risk priminin belirleyicisi olarak merkez bankası kredibilitesi: Türkiye’den kanıtlar. Bulletin of Economic Theory and Analysis, 8(2), 128-155.
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Toplam 107 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Para Politikası, Makro İktisat (Diğer)
Bölüm Makaleler
Yazarlar

Mehmet Öbekcan 0000-0001-5713-2811

Serdar Varlık 0000-0002-4712-3193

Yayımlanma Tarihi 29 Mart 2024
Gönderilme Tarihi 28 Aralık 2023
Kabul Tarihi 9 Şubat 2024
Yayımlandığı Sayı Yıl 2024 Cilt: 8 Sayı: 1

Kaynak Göster

APA Öbekcan, M., & Varlık, S. (2024). Merkez Bankası Kredibilitesi ve Makroekonomik Performans -Türkiye’den Kanıtlar-. Politik Ekonomik Kuram, 8(1), 77-95. https://doi.org/10.30586/pek.1411319

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