Türkiye Cumhuriyet Merkez Bankası’nın Kredibilite Problemi: Ampirik Bir İnceleme

Year 2020, , 1 - 15, 31.12.2020

Ümit Bulut

https://doi.org/10.25229/beta.750074

Cited By: 3

Abstract

Kredibilite/güvenilirlik açığı yılsonu enflasyon beklentisiyle enflasyon hedefi arasındaki fark olup, enflasyon hedeflemesi stratejisini benimseyen bir merkez bankasının kredibilitesini ölçmede temel gösterge olarak kullanılmaktadır. Bu çerçevede, bu çalışmanın amacı, Türkiye Cumhuriyet Merkez Bankası’nın (TCMB) kredibilite açığının ortalamaya dönüş ve rassal yürüyüş davranışlarından hangisini sergilediğini Ocak 2006-Nisan 2019 verilerini kullanarak incelemektir. Bu amaç doğrultusunda, çalışmada yapısal kırılmaları modellemede farklı yaklaşımlar kullananbirim kök testlerinden faydalanılmıştır. Bulgular, TCMB’nin kredibilite açığının birim köke sahip olduğunu ve dolayısıyla rassal yürüyüş davranışı sergilediğine işaret etmektedir. Diğer bir ifadeyle, çalışmanın bulgularına göre, TCMB’nin kredibilite açığını etkileyen şoklar kalıcı etkilere sahip olup, TCMB’nin kredibilite sorunu vardır.

Keywords

Enflasyon beklentisi, kredibilite, kredibilite açığı, Türkiye Cumhuriyet Merkez Bankası, birim kök testleri

The Credibility Problem of the Central Bank of the Republic of Turkey: An Empirical Investigation

Abstract

Credibility gap that is defined as the difference between end-year inflation expectation and the inflation target is the main indicator to measure the credibility of a central bank that adopts the inflation targeting strategy. Within this scope, using monthly data spanning the period January 2006-April 2019, the goal of this paper is to examine whether the credibility gap of the Central Bank of the Republic of Turkey (CBRT) exhibits a mean-reverting or a random-walk behaviour. For this purpose, this paper employs unit root tests with different approximations in modelling structural breaks. The empirical findings indicate that the credibility gap of the CBRT has a unit root and demonstrates a random-walk behaviour. Put differently, thefindings imply that the shocks affecting the credibility gap of the CBRT have persistence effects, meaning the CBRT has a credibility problem.

Keywords

Inflation expectation, credibility, credibility gap, the Central Bank of the Republic of Turkey, Unit root tests

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