Türkiye’de Parasal Aktarım Mekanizması: Yapısal VAR Analizi

Yusuf Akbaş; Fatma Zeren; Halil Özekicioğlu

-

Yıl 2013, Cilt: 14 Sayı: 2, 187 - 198, 12.09.2013

Yusuf Akbaş Fatma Zeren Halil Özekicioğlu

Öz

In this study, whether money transmission mechanism in Turkey is working properly or not is analyzed for the period (2005:01-2013:07). In this manner, the effect of interest rate and foreign currency shocks is examined. For this, structural VAR analysis is used. As a result of VAR analysis, it is concluded that the money transmission mechanism is working well in the short run. Thus, it is understood that interest rate and foreign currency shocks are effective on industry production in the short run in Turkey.

Anahtar Kelimeler

Money Transmission Mechanism, Structural VAR, Turkey.

Kaynakça

BÜYÜKAKIN, Figen; V. CENGİZ ve A. TÜRK (2009) “Parasal Aktarım Mekanizması: Türkiye’de Döviz Kuru Kanalının VAR Analizi”, Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt:24, Sayı:1, Yıl:2009, ss.171-198.
CAMARERO, Mariam; O. Javier and C. TAMARİT (2002), "Monetary Transmission in Spain: a Structural Cointegrated VAR Approach", Applied Economics, 34, pp.2201-2212.
CAMBAZOĞLU, Birgül and S. GÜNEŞ (2011), “Monetary Transmission Mechanism in Turkey And Argentina”, International Journal of Economics And Finance Studies, Vol 3, No 2, pp. 23-33.
CAMBAZOĞLU, Birgül ve H. S. KARAALP (2012), “Parasal Aktarım Mekanizması Döviz Kuru Kanalı: Türkiye Örneği”, Yönetim ve Ekonomi, Yıl:2012, Cilt:19, Sayı:2, ss.53-66.
CENGİZ, Vedat (2009), Parasal Aktarım Mekanizması İşleyişi ve Ampirik Bulgular”, Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Sayı: 33, Temmuz-Aralık, 2009, ss.225-24.
DİCKEY, D.A and Fuller, W. A. (1979), “Distributions of the Estimators for Autoregressive Time Series with a Unit Root”, Journal of American Statistical Association, 74(366), pp.427-481.
DİCKEY, D.A and Fuller, W.A. (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, 49(4), pp.1057-1072.
GÜNEY, Selami ve N. D. ALACAHAN (2012), “Parasal Aktarım Mekanizmaları ve Türkiye Değerlendirmesi”, Akademik Bakış Dergisi, sayı: 33, ss.1-13. LUMSDAİNE, R. L and. Papell, D. H. (1997), “Multiple Trend Breaks and the Unit Root Hypothesis”, Review of Economics and Statistics, 79 (2), pp. 212-2
NAGAYASU, Jun (2007), “Empirical Analysis of the Exchange Rate Channel in Japan”, Journal of International Money and Finance, 26 (6), pp. 887-904. NARAYAN Paresh Kumar; Seema Narayan, Arti Prasad (2008) “A structural VAR analysis of electricity consumption and real GDP: Evidence from the G7 countries”, Energy Policy, Vol: 36, pp.2765 – 2769.
ÖRNEK, İbrahim,(2009) “Türkiye’de Parasal Aktarım Mekanizması Kanallarının İşleyişi”, Maliye Dergisi , Sayı 156, Ocak-Haziran 2009.
PHİLLİPS, P. and Perron, P. (1988), “Testing for a Unit Root in Time Series Regression”, Biometrica,75(2), pp. 335-346.
SAIBU, M. O., (2013) “The Monetary Transmission Mechanism in Nigeria: A Sectoral Output Analysis”, International Journal of Economics and Finance, Vol. 4, No. 1; January 2012, pp.204-212.
SAMKHARADZE, BESIIK (2008) “Monetary Transmission Mechanism in Georgia: Analyzing Pass-Through of Different Channels” Tbilisi 2008, http://www.nbg.gov.ge/uploads/workingpaper/nbgwp02.08.pdf, Erişim Tarihi: 06.08.2013.
SHAMİM, Ahmed and Md Ezazul Islam (2004), “The Monetary Transmission Mechanism in Bangladesh: Bank Lending and Exchange Rate Channels”, The Bangladesh Development Studies , Vol. 30, No: 3-4, pp.31-87.
SMETS, Frank R. ve Raf WOUTERS (1999), “The Exchange Rate and the Monetary Transmission Mechanism in Germany”, De Economist, 147, (4), pp.489 – 521.
ZİVOT, E. and Andrews, K. (1992), “Further Evidence On The Great Crash, The Oil Price Shock, and The Unit Root Hypothesis”, Journal of Business and Economic Statistics, 10 (10), pp. 251–70.