BANGLADEŞ'TE PARA POLİTİKASI DİNAMİKLERİ VE EKONOMİK PERFORMANS: BİR ARIMA MODELİ YAKLAŞIMI

Yıl 2024, Cilt: 5 Sayı: 1, 47 - 62, 30.04.2024

Masud Rana Abdullah Al Mamun

https://doi.org/10.53280/jer.1431607

Öz

Bu çalışma Bangladeş'te para politikasının ekonomik performans üzerindeki etkisini, Bangladeş Bankası’nın 2014'ten 2022'ye kadar denetlenmiş yıllık raporlarındaki verileri kullanarak, değerlendirmektedir. Çalışmada Gayrisafi Yurt İçi Hasıla (GSYH) bağımlı değişken; para arzı büyümesi, reel faiz oranı, döviz kuru, enflasyon oranı ve repo oranı bağımsız değişken olarak seçilmiştir. Bağımlı ve bağımsız değişkenler arasındaki ilişkinin belirlenmesinde Sıradan En Küçük Kareler (OLS) ve Otoregresif Entegre Hareketli Ortalama Modelleri (ARIMA) kullanılmıştır. OLS regresyon modelinde GSYH ile reel faiz oranları, enflasyon oranı ve repo oranı arasında anlamlı bir ilişki bulunmuştur. Öte yandan GSYH ile para arzı büyümesi ve döviz kuru arasında anlamlı bir ilişki bulunmamaktadır. ARIMA regresyon modelinde döviz kuru dışında tüm değişkenler GSYH üzerinde etkileri bakımından anlamlıdırlar. Bu bulgular, para politikasının Bangladeş’in ekonomik büyümesinde önemli bir rol oynadığını ortaya koyarken, reel faiz oranları, enflasyon oranı ve repo oranlarının da büyümedeki etkinliğinin önem arz ettiğini göstermektedir. ARIMA modelinde döviz kuru ile GSYH arasında anlamlı bir ilişkinin bulunmaması, çalışma dönemi boyunca potansiyel olarak ülke dışından olan diğer faktörlerin döviz kuru dinamikleri üzerinde daha baskın bir etkiye sahip olabileceğine işaret etmektedir. Bu araştırma, Bangladeş'te para politikası ile ekonomik performans arasındaki karmaşık etkileşimin daha derinlemesine anlaşılmasına katkıda bulunarak politika yapıcılara ve paydaşlara değerli bilgiler sunmaktadır.

Anahtar Kelimeler

Etkinlik, Para Politikası, GSYH, Bangladeş

MONETARY POLICY DYNAMICS AND ECONOMIC PERFORMANCE IN BANGLADESH: AN ARIMA MODEL APPROACH

Öz

This study delves into the impact of monetary policy on the economic performance of Bangladesh, utilizing data derived from audited annual reports of the Bangladesh Bank covering the years 2014 to 2022. The central focus of the analysis revolves around Gross Domestic Product (GDP) as the dependent variable, with money supply growth, real interest rate, exchange rate, inflation rate, and repo rate considered as independent variables. Employing two regression models, namely Ordinary Least Squares (OLS) and Autoregressive Integrated Moving Average (ARIMA), the research aims to explore the relationships among these variables. In the OLS regression model, significant associations are identified between GDP and real interest rates, inflation rate, and the repo rate. However, no statistically significant relationships are observed between GDP and money supply growth or the exchange rate. On the contrary, the ARIMA regression model indicates statistical significance for all variables, except the exchange rate, concerning their impact on GDP. These findings suggest that monetary policy plays a substantial role in shaping the economic growth of Bangladesh, with real interest rates, inflation rates, and repo rates exerting particular influence. The lack of a significant relationship between the exchange rate and GDP in the ARIMA model implies that other factors, potentially external to the country, may have a more dominant influence on exchange rate dynamics during the study period. This research contributes to a deeper understanding of the complex interplay between monetary policy and economic performance in Bangladesh, offering valuable insights for policymakers and stakeholders.

Anahtar Kelimeler

Effectiveness, Monetary Policy, GDP, Bangladesh

Kaynakça

• Abille, A. B. & Mpuure, D. M. N. (2020). Effect of Monetary Policy on Economic Growth in Ghana. Applied Economics Journal, 27(2), 110-124.
• Adejare, A. T. (2014). Impact of Monetary Policy on Industrial Growth in Nigeria. International Journal of Academic Research in Business and Social Sciences, 4(1), 18.
• Ahmad, D., Afzal, M. & Ghani, U. (2016). Impact of Monetary Policy on Economic Growth Empirical Evidence of Pakistan. International Journal of Applied, 4(6), 2345-5721.
• Aiyar, S., Calomiris, C. W. & Wieladek, T. (2016). How Does Credit Supply Respond to Monetary Policy and Bank Minimum Capital Requirements? European Economic Review, 82, 142-165.
• Alsaeed, K. (2006). The Association between Firm‐Specific Characteristics and Disclosure: The case of Saudi Arabia. Managerial Auditing Journal, 21(5), 476-496.
• Amiri, A. G. & Gang, Z. (2018). The Impact of Monetary Policy on Economic Growth in America's Economy Using A New Approach Tvp-Favar. Amazonia Investiga, 7(15), 58-68.
• Ayub, S. & Shah, F. M. (2015). Impact of Monetary Policy on Gross Domestic Product (GDP). Asian Journal of Business and Management (ISSN: 2321-2802), 3(06).
• Box, G. E. P. & Jenkins, G. M. (1976). Time Series Analysis: Forecasting and Control; Holden-Day: San Francisco, CA, USA.
• Chowdhury, L. S. & Afzal, M. N. I. (2015). The Effectiveness of Monetary Policy and Fiscal Policy in Bangladesh. The Journal of Applied Business and Economics, 17(1), 78.
• Dickens, E. (2011). Keynes's Theory of Monetary Policy: An Essay in Historical Reconstruction. Contributions to Political Economy, Oxford University Press, 30(1), 1-11.
• Galloppo, G. & Paimanova, V. (2017). The Impact of Monetary Policy on BRIC Markets Asset Prices during Global Financial Crises. The Quarterly Review of Economics and Finance, 66, 21-49.
• Gujarati, D. N., Porter, D. C. & Gunasekar, S. (2012). Basic Econometrics. Tata McGraw-Hill Education.
• Hair, J. F. Jr., Anderson, R. E., Tatham, R. L. & Black, W. C. (1995). Multivariate Data Analysis. (3rd edition). New York: Macmillan.
• Islam, A. (2010). Monetary policy and money supply process in Bangladesh: An Analytical Review. Master of Arts in Governance and Development Dissertation, BRAC University.
• Kaldor, N. (1970): The New Monetarism. in: Lloyds Bank Review, 97(1), 18.
• Kamaan, C. K. & Nyamongo, E. M. (2014). The Effect of Monetary Policy on Economic Growth in Kenya. International Journal of Business and Commerce, 3(8), 11-24.
• Karim, M. S. (2019). An empirical evaluation of monetary and fiscal policy effects in Bangladesh. ADB South Asia Working Paper Series, No. 66, 1-33.
• Kennedy, P. (1992). Violating Assumption Five: Multicollinearity. Guide to Econometrics, 192-202.
• Marquardt, D. W. & Ronald, D. S. (1975). Ridge Regression in Practice. The American Statistician, 29(1), 3-20.
• Matemilola, B. T., Bany-Ariffin, A. N. & Muhtar, F. E. (2015). The Impact of Monetary Policy on Bank Lending Rate in South Africa. Borsa Istanbul Review, 15(1), 53-59.
• Nguyen, V. H. T. & Boateng, A. (2015). An Analysis of Involuntary Excess Reserves, Monetary Policy and Risk-Taking Behaviour of Chinese Banks. International Review of Financial Analysis, 37, 63-72.
• Noman, S. M. S. & Khudri, M. M. (2015). The Effects of Monetary and Fiscal Policies on Economic Growth in Bangladesh. ELK Asia Pacific Journal of Finance and Risk Management, 6(3), 21-34.
• Ozili, P. K. (2016). Earnings Quality and IFRS Research in Africa: Recent Evidence, Issues and Future Direction. Research Journal of Finance and Accounting, 7, 84-94.
• Pan, Y. & Jackson, R. T. (2008). Ethnic Difference in the Relationship between Acute Inflammation and Serum Ferritin in US Adult Males. Epidemiology & Infection, 136(3), 421-431.
• Precious, C. & Makhetha-Kosi, P. (2014). Impact of Monetary Policy on Economic Growth: A Case Study of South Africa. Mediterranean Journal of Social Sciences, 5(15), 76-76.
• Rahman, M. N., Nower, N., Tushar, R. H., Abbas, S. M. & Musa, M. N. (2019). Impact of Monetary Policy on The Economic Growth of A Developing Country: An Empirical Study on Bangladesh Economy. Available at SSRN 3391280.
• Rana, M., Al Mamun, M. A., Hossain, M. K. & Rekha, R. S. (2023). Monetary Policy Efficacy for Price Stability: An In-depth Analysis of Bangladesh’s Economic Landscape. AIUB Journal of Business and Economics, 20(2), 54-68.
• Rogerson, P. A. (2001). Statistical Methods for Geography. Sage Publishing.
• Siami-Namini, S., Tavakoli, N. & Namin, A. S. (2018). A Comparison of ARIMA and LSTM in Forecasting Time Series. In Proceedings of the 2018 17th IEEE International Conference on Machine Learning and Applications (ICMLA), Orlando, FL, USA, 1394-1401.
• Tan, C. T., Mohamed, A., Habibullah, M. S. & Chin, L. (2020). The Impacts of Monetary and Fiscal Policies on Economic Growth in Malaysia, Singapore and Thailand. South Asian Journal of Macroeconomics and Public Finance, 9(1), 114-130.
• Ufoeze, L. O. (2018). Effect of Monetary Policy on Economic Growth in Nigeria: An Empirical Investigation. Annals of SpiruHaret University, Economic Series, 9(1), 123-140.
• Yousaf, T., Ghouse, G. & Rehman, A. (2018). Impact of Monetary Policy on Socio Economic Indicators: A Case Study of Developing Asian Economies. PIDE Conference in Pakistan.