PARA POLİTİKASI BELİRSİZLİĞİ VE DÖVİZ KURUNDAN ENFLASYONA GEÇİŞ ETKİSİ: TÜRKİYE’DEN KANITLAR

Year 2024, Volume: 25 Issue: 3, 563 - 594, 29.09.2024

Mehmet Öbekcan , Serdar Varlık , Bilge Kağan Ozdemir

https://doi.org/10.53443/anadoluibfd.1466089

Abstract

Bu çalışmada, Nakajima (2011a, b) tarafından geliştirilen Stokastik Volatilite ile Zamanla Değişen Parametreli VAR Modeli (TVP-VAR) kullanılarak Haziran 2010-Aralık 2023 dönemi için Türkiye’de para politikası belirsizliğinin (MPU) döviz kurundan enflasyona geçiş etkisi (ERPT) üzerindeki etkileri incelenmektedir. Çalışmanın bulguları, zamanla değişen ERPT katsayılarının MPU şokunun ardından ilk dört dönem arttığını ve daha sonra bu artışın azalma eğiliminde olduğunu göstermektedir. İkinci aşama ERPT katsayıları, tüm dönem boyunca üçüncü aşama ERPT katsayılarından daha büyüktür. Zamanla değişen ERPT katsayıları 2018 yılından itibaren hızla artmıştır. TCMB Başkanlarının görev sürelerini tamamlamadan görevden alındıkları tarihlerde verilen MPU şoklarına ikinci aşama ERPT katsayıları daha fazla artarak tepki verirken, üçüncü aşama ERPT katsayıları ise kalıcı olarak artarak tepki vermektedir. Bu bulgulardan hareketle, para politikası kararlarının öngörülebilirliğini artırarak para politikası belirsizliğini azaltmak ERPT’yi düşürmek için önerilmektedir.

Keywords

Para Politikası Belirsizliği, Döviz Kurundan Enflasyona Geçiş Etkisi, TVP-VAR

MONETARY POLICY UNCERTAINTY AND EXCHANGE RATE PASS-THROUGH: EVIDENCE FROM TÜRKİYE

Abstract

In this study, the impacts of monetary policy uncertainty (MPU) on second and third-stage ERPT in Türkiye for the period June 2010–December 2023 are examined by using the Time-Varying Parameter VAR Model with Stochastic Volatility (TVP-VAR) developed by Nakajima (2011a, b). The findings of the study show that the time-varying ERPT coefficients increase in the first four periods after the MPU shock and then tend to decrease. The second-stage ERPT coefficients are greater than the third-stage ERPT coefficients over the whole period. The time-varying ERPT coefficients have increased rapidly since 2018. The second-stage ERPT coefficients respond to MPU shocks given at the dates when the CBRT Governors are dismissed before completing their terms of office by increasing more, while the third-stage ERPT coefficients respond by increasing permanently. Based on these findings, reducing monetary policy uncertainty by increasing the predictability of monetary policy decisions is recommended to reduce the ERPT.

Keywords

Monetary Policy Uncertainty, Exchange Rate Pass-Through, TVP-VAR

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