Zamanla Değişen Parametreli Genişletilmiş Taylor Kuralı: Türkiye için Finansal İstikrarın Rolü

Yıl 2019, Cilt: 6 Sayı: 1, 1 - 17, 15.04.2019

Kübra Coşar Nezir Köse

https://doi.org/10.17336/igusbd.495528

Cited By: 6

Öz

Bu çalışmada, finansal ve ekonomik göstergeler kullanılarak faktör analizi çerçevesinde Türkiye için 2002-2017 dönemlerini kapsayan aylık finansal istikrar endeksi hesaplanmıştır. Zamanla değişen parametreli Taylor eşitliği finansal istikrar endeksi ile genişletilmiştir. Kalman Filter Yöntemi ile tahmin edilen genişletilmiş Taylor eşitliğinden elde edilen bulgular, Türkiye Cumhuriyet Merkez Bankası politika faiz oranının finansal istikrar göstergesinden etkilendiğini göstermiştir.

Anahtar Kelimeler

Enflasyon Hedeflemesi Rejimi, Genişletilmiş Taylor Kuralı, Finansal İstikrar, Faktör Analizi Yöntemi, Para Politikası

Time Varying Parameter Augmented Taylor Rule: The Role of Financial Stability for Turkey

Öz

In this paper, monthly financial stability index has been constructed by economic and financial indicator for the term 2002-2017. Taylor Rule with time-varying parameter was augmented by the financial stability index. According to result of augmented Taylor Rule estimated by Kalman Filter Method, Central Bank of the Republic of Turkey’s policy rate was influenced by the financial stability index.

Anahtar Kelimeler

Inflation Targeting Regime, Augmented Taylor Rule, Financial Stability, Factor Analysis Method, Monetary Policy

Kaynakça

• ADOLFSON, M. (2007). Incomplete exchange rate pass-throught and simple monetary policy rules. Journal of International Money and Finance, 468-494.
• AKRAM, Q. F., BÅRDSEN, G., & LINDQUIST, K.-G. (2007). Pursuing Financial Stability Under An Inflation-Targetting Regime. Annals Finance, 131-153.
• AKTAŞ, C. (2011). Finansal İstikrar Analizi Bağlamında Türkiye için Finansal İstikrar Endeksi Önerisi. Doktora Tezi. Ankara: Ankara Üniversitesi, Sosyal Bilimler Enstitüsü.
• ALBULESCU, C. T. (2013). Financial Stability and Monetary Policy: A Reduced-Form Model For The Euro Area. Romanian Journal of Economic Forecasting, 62-81.
• ALLEN, W. A., & WOOD, G. (2006). Defining and Achieving Financial Stability. Journal of Financial Stability, 152-172.
• ARDOR, H. N., & VARLIK, S. (2014). İleriye Dönük Yeni Keynesyen Para Politikası Reaksiyon Fonksiyonunun Tahmini: Taylor Kuralı'nın, Mccallum Kuralı'nın, Taylor-Mccallum Melez Kuralı'nın Türkiye Ekonomisinde Geçerliliği. Ekonomik Yaklaşım, 24(89), 45-71.
• BALL, L. (1999). Policy Rules for Open Economies. E. John B. Taylor içinde, Monetary Policy Rules (s. 127-156). University of Chicago Press.
• BAŞÇI, E., & KARA, H. (2011). Finansal İstikrar ve Para Politikası. İktisat İşletme ve Finans, 26(302), 9-25.
• BAUDUCCO, S., BULÍŘ, A., & ČIHÁK, M. (2008). Taylor Rule Under Financial Instability. IMF Working Paper. International Monetary Fund.
• BAXA, J., HORVÁTH, R., & VAŠÍČEK, B. (2013). Time-varying monetary policy rules and financial stress: Does financial instability matter for monetary policy? Journal of Financial Stability, 117-138.
• BERNANKE S. Ben. ve Frederic S. MISHKIN. (1997). Inflation Targeting: A New Framework for Monetary Policy?. NBER Working Paper No. 5893, Cambridge, Massachusetts: National Bureau of Economic Research.
• CARARE, A., SCHAECHTER, A., STONE, M., & ZEMLER, M. (2002). Establishing Initial Conditions in Support of Inflation Targeting. IMF Working Paper No.02/102. Washington: International Monetary Fund.
• CASTRO, V. (2011). Can central banks' monetary policy be described by a linear (augmented) Taylor Rule or by a nonlinear rule? . Journal of Financial Stability, 228-246.
• CEVİK, E. I., DİBOOGLU, S., & KENC, T. (2016). Financial stress and economic activity in some emerging Asian economies. Research in International Business and Finance, 127-139.
• ÇETİN, M. Ö. (2016). Türkiye Cumhuriyet Merkez Bankası (TCMB) Para Politikası Uygulamalarının Gelişimi. Finansal Araştırmalar ve Çalışmalar Dergisi, 8(14), 67-101.
• DAĞLAROĞLU, T., DEMİREL, B., & MAHMUD, S. F. (2017). Monetary policy implications of short-term capital flows in Turkey. Empirica.
• DAS, U. S., PAPAPIOANNOU, M., PEDRAS, G., AHMED, F., & Surti, J. (2010). Managing Public Dept and Its Financial Stability Implications. IMF Working Paper No.10/280. Washington: International Monetary Fund.
• FERRUCCI, G., HERZBERG, V., SOUSSA, F., & TAYLOR, A. (2004). Understanding Capital Flows to Emerging Market Economies. Bank of England Financial Stability Review Issue.16. London: Bank of England.
• FREEDMAN, Charles. ve Inci OTKER-ROBE. (2010). Important Elements for Inflation Targeting for Emerging Economies. IMF Working Paper No. 10/113,2010.Washington: International Monetary Fund.
• GARCIA, C. J., RESTREPO, J. E., & ROGER, S. (2011). How much should inflation targeters care about the echange rate? Journal of International Money and Finance., 1590-1617.
• HAMMOND, Gill. (2012). State of the Art of Inflation Targeting-2012. Centre for Central Banking Studies Handbook-No.29.Bank of England.
• HASANOV, M., & OMAY, T. (2008). Monetary policy rules in practice: Re-examining the case of Turkey. Physica A(387), 4309-4318.
• ILLING, M., & LIU, Y. (2003). An Index of Financial Stress for Canada. Working Paper 2003-14. Bank of Canada.
• IŞIK, S., DUMAN, K., & KORKMAZ, A. (2004). Türkiye Ekonomisinde Finansal Krizler: Bir Faktör Analizi Uygulaması. D.E.Ü.İ.İ.B.F. Dergisi, 19(1), 45-69.
• JEANNEAU, S., & MICU, M. (2002). Determinants of International Bank Lending to Emerging Market Countries. BIS Working Paper No.112. Basel: Bank for International Settelements.
• JOHNSON, R. A., & WICHERN, D. W. (2007). Applied Multivariate Statistical Analysis (Six Edition b.). New Jersey: Pearson Prentice Hall.
• KÄFER, B. (2014). The Taylor Rule and Financial Stability: A Literature Review with Application for the Eurozone. Joint Discussion Paper Series in Economics.
• KARA, H. A. (2012). Küresel Kriz Sonrası Para Politikası. TCMB Çalışma Tebliği, 12(17). Ankara: Türkiye Cumhuriyet Merkez Bankası.
• LANSANGAN, J. R., & BARRIOS, E. B. (2009). Principal Components Analysis of Nonstationary Time Series Data. Statistics and Computing, 19(2), 173-187.
• MONTAGNOLI, A., & NAPOLITANO, O. (2005). Financial Condition Index and Interest Rate Settings: A Comparative Analysis. Working Paper N., 8. Universitá Degli Studi di Napoli “Parthenope” Instituto dı Studi Economici.
• OMAY, T., & HASANOV, M. (2010). Türkiye için Reaksiyon Fonksiyonunun Doğrusal Olmayan Modelle Tahmin Edilmesi. Cankaya University Journal of Humanities and Social Sciences, 7(2), 467-490.
• ROZADA, M. G., & YEYATI, E. L. (2006). Global factors and emerging market spreads. Inter-American Development Bank Research Department Working Paper No:552. Washington DC: Inter-American Development Bank.
• SVENSSON, L. E. (2000). Open economy inflation targeting. NBER Working paper No.6545. Cambridge: National Bureau of Economic Research.
• SVENSSON, L. E. (2002). Inflation targeting: Should it be modeled as an instrument rule or a targeting rule? European Economic Review, 771-780.
• TELATAR, E. (2001). Para Arzı Reaksiyon Fonksiyonunun Değişken Katsayılı-Değişken Varyans Modeli ile Tahmini. H.Ü. İktisadi ve İdari Bilimler Fakültesi Dergisi, 19(2), 1-17.
• TAYLOR, J. B. (1993). Discretion Versus Policy Rules in Practice. Carnegie-Rochester Conference series on Public Policy, 195-214.
• WOODFORD, M. (2012). Inflation Targeting and Financial Stability. Cambridge: National Bureau of Economic Research.