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THE ESTIMATION OF TAYLOR TYPE INTEREST RATE REACTION’S FUNCTION IN THE FRAME OF OPTIMAL MONETARY POLICY: THE CASE OF TURKEY

Year 2014, Volume: 9 Issue: 1, 115 - 126, 01.06.2014

Abstract

In this study ,by being used period of 1987:1-2013:3 quarterly frequency data sets, it is aimed to determine whether short-term nominal interest rates act as rule-based and whether monetary authority follows a rule-based monetary policy strategy or not. Taylor-type interest rate reaction function has been estimated under forwardlooking expectations by considering technique GMM and findings have reached Taylor Rule is valid in Turkey in the relevant period of analysis. Additionally; flattening parameter, considering the size and significance of the other coefficients, another finding obtained in the study is the monetary authority with independence purpose does not fulfill applications for price stability as its primary task, instead it is in an effort to straighten fluctuations observed in growth as its primary objective

References

  • Adanur Aklan, Nejla ve Mehmet Nargelecekenler (2008); “Taylor Rule in Practice: Evidence from Turkey” International Advances in Economic Research, Vol.14, No:2, ss:156-166.
  • Baro, Robert J. Ve David B. Gordon (1983); “A Positive Theory Of Monetary Policy In A Natural Rate Model” The Journal Of Political Economy, Vol.91, No:4, ss:589-610.
  • Bernanke, Ben S. ve Frederic S. Mishkin (1997); “Inflation Targeting: A New Framework For Monetary Policy?” The Journal Of Economic Perspectives, C.11, No:2, ss:97-116.
  • Berument, Hakan (2007); “Measuring Monetary Policy For a Small Open Economy: Turkey” Journal of Macroeconomics, C. 29, ss: 411-430.
  • Berument, Hakan ve Hakan Taşçı (2004); “Monetary Policy Rules in Practice: Evidence from Turkey ” International Journal of Finance and Economics, C.9, ss:33-38.
  • Bullard, James ve Kaushik Mitra (2002); “Learning About Monetary Policy Rules” Journal of Monetary Economics, C. 49, ss:1105-1129.
  • Castelnuova, Efrem (2003); “Taylor Rules, Omitted Variables, And Interest Rate Smoothing in the US” Economic Letters, C:81, s:55-59.
  • Chang, Hui S. (2005); “Estimating the Monetary Policy Reaction Function for Taiwan: A VAR Model” The International Journal of Applied Economics, C.2, No.1, ss:50-61.
  • Christensen Anders M. ve Heino Bohn Nielsen (2003); “Has US Monetary Policy Followed the Taylor Rule? A (Erişim: Cointegration Copenhagen-Nielsen.pdf). 1988-2002”,
  • http://www.edge-page.net/jamb2003/Jamboree
  • Clarida, Richard, Jordi Gali, Mark Gertler (2000); “Monetary Policy Rules and Macroeconomics Stability: Evidence and Some Theory”, The Quarterly Journal of Economics, C: 115, No.1, ss:147-180.
  • Clark, Peter B. Caharles A.E. Goodhart ve Haizhou Huang (1999); “Optimal Monetary Policy Rules in A Rational Expectations Model of the Phillips Curve” Journal of Monetary Economics, C.43, ss:497-520.
  • Dolares, Ramon Maria (2005); “Monetary Policy Rules In Accession Countries to EU: Is the Taylor Rule a Pattern?” Economics Bulletin, C.5, No.5. (Erişim: http://www.economicsbulletin.com/2005/volume5/EB−04E50013A.pdf).
  • Gerdesmeier, Dieter ve Barbara Roffia (2004); “Taylor Rules For The Euro Area:The Issue of Real-Time Data” Studies of The Economic Research Centre, No.37.
  • Gerlach, Stefan ve Gert Schnabel (2000); “The Taylor Rule and Interest Rates in the EMU Area” Economics Letters, C.67, ss:165-171.
  • Judd, John P. ve Glenn D. Rudebusch (1998); “Taylor's Rule and the Fed:1970-1997” Economic Review- Federal Reserve Bank of San Francisco.
  • Khan, Aubhik, Robert G. King ve Alexander L. Wolman (2003); “Optimal Monetary Policy” The Review of Economic Studies, C.70, No.4, ss:825-860.
  • Kong, Danfeng ve Osamu Kamoike (2006); “The Stability Condition of a Forward Looking Taylor Rule” East Asia http://www.uq.edu.au/economics/eaerg/dp/0705.pdf). Research Group Discussion Paper, No:7, (Erişim:
  • Kozicki, Sharon (1999); “How Useful Are Taylor Rules for Monetary Policy” Federal Reserve Bank of Kansas City Economic Review, ideas.repec.org.
  • Kydland, Finn E. ve Edward C. Prescott (1977); “Rules rather than Discretion: The Inconsistency Of Optimal Plans” The Journal of Political Economy, Vol.85, No:3, ss:473-492.
  • McCallum, Bennett T. (1981); “Price Level Determinacy with an Interest-Rate Policy Rule and Rational Expectations” Journal of Monetary Economics, C. 8, ss: 319-329.
  • McCallum, Bennett T. (2000); “Alternative Monetary Policy Rules:A Comparison with Historical Settings for the United States, The United Kingdom, and Japan” NBER Working Paper, WP No: 7725, (Erişim Adresi: http://www.nber.org/papers/w7725).
  • Mishkin, Frederic S ve Miguel A. Savastano (2001), “Monetary Policy Strategies For Latin America” Journal of Development Economics, C.66, ss:415-444.
  • Orphanides, Athanasios (2000); “Activist Stabilization Policy And Inflation:The Taylor Rule In The 1970s”Finance (Erişim:http://www.federalreserve.gov/pubs/feds/2000/200013/200013abs.html). and Economics Discussion Series,
  • Orphanides, Athanasios (2002); “Monetary-Policy Rules and the Great Inflation” The American Economic Review, C.92, No.2, ss:115-120.
  • Orphanides, Athanasios (2003); “Historical Monetary Policy Analysis and the Taylor Rule” Journal of Monetary Economics, C.50, ss:983-1022.
  • Österholm, Par (2005); “The Taylor Rule and Real-time Data: A Critical Appraisal” Applied Economics Letters, C.12, ss:679–685.
  • Sack, Brian ve Volker Wieland (2000); “Interest-Rate Smoothing and Optimal Monetary Policy: A Review of Recent Empirical Evidence” Journal of Economics and Business, C.52, ss:205-228.
  • Sargent, Thomas J. ve Neil Wallace (1975); “Rational Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule” Journal of Political Economy, C. 83: 241-254.
  • Siklos, Pierre L., Thomas Werner, Martin T. Bohl (2004); “Asset Prices in Taylor Rules: Specification, Estimation, and Policy Implications for the ECB ”, Studies of The Economic Research Centre, No.22.
  • Snowdon, Brian, Howard Vane ve Peter Wynarczyk (1997); A Modern Guide to Macroeconomics, Cambridge Univeristy Pres, UK.
  • Svensson, Lars E.O (2003); “What Is Wrong with Taylor Rules? Using Judgment in Monetary Policy Through Targeting Rules” Journal of Economic Literature, C.41, No:2, ss:426-427.
  • Tang, Jenn-Hong (2005); “Taylor Rules in a Sticky Price Model With Job Search” (Erişim: http://www.econ.sinica.edu.tw/activities/past/20050329.pdf ).
  • Woodford, Michael (2001); “The Taylor Rule and Optimal Monetary Policy” The American Economic Review, C. 91, No:2, ss:232-237.
  • Yazgan, M. Ege ve Hakan Yılmazkuday (2007); “Monetary Policy Rules in Practice: Evidence From Turkey and Israel” Applied Financial Economics, C.17, No:1, ss:1-8.

OPTIMAL PARA POLITIKASI ÇERÇEVESINDE TAYLOR TIPI FAIZ ORANI REAKSIYON FONKSIYONUN TAHMINI: TÜRKIYE ÖRNEĞİ

Year 2014, Volume: 9 Issue: 1, 115 - 126, 01.06.2014

Abstract

Bu çalışmada 1987:1-2013:3 dönemi çeyreklik frekanstaki veri setleri kullanılarak kısa vadeli nominal faiz oranlarının bir kurala dayalı olarak hareket edip etmediğinin belirlenmesi ve bu noktada parasal otoritenin kurala dayalı bir para politikası stratejisi izleyip izlemediğinin tespiti amaçlanmıştır. Taylor tipi faiz oranı reaksiyon fonksiyonu GMM tekniği dikkate alınarak ileriye dönük beklentiler altında tahmin edilmiş olup ilgili analiz döneminde Türkiye’de Taylor Kuralının geçerli olduğu bulgusuna ulaşılmıştır. Ayrıca; düzleştirme parametresi, diğer katsayı büyüklükleri ve anlamlılıkları dikkate alındığında amaç bağımsızlığı bulunan parasal otoritenin birincil görevi olarak fiyat istikrarına yönelik uygulamaları yerine getirmediği, öncelikli hedefi olarak büyümede gözlenen dalgalanmaları düzleştirme çabası içinde olduğu çalışmada elde edilen diğer bir bulgudur

References

  • Adanur Aklan, Nejla ve Mehmet Nargelecekenler (2008); “Taylor Rule in Practice: Evidence from Turkey” International Advances in Economic Research, Vol.14, No:2, ss:156-166.
  • Baro, Robert J. Ve David B. Gordon (1983); “A Positive Theory Of Monetary Policy In A Natural Rate Model” The Journal Of Political Economy, Vol.91, No:4, ss:589-610.
  • Bernanke, Ben S. ve Frederic S. Mishkin (1997); “Inflation Targeting: A New Framework For Monetary Policy?” The Journal Of Economic Perspectives, C.11, No:2, ss:97-116.
  • Berument, Hakan (2007); “Measuring Monetary Policy For a Small Open Economy: Turkey” Journal of Macroeconomics, C. 29, ss: 411-430.
  • Berument, Hakan ve Hakan Taşçı (2004); “Monetary Policy Rules in Practice: Evidence from Turkey ” International Journal of Finance and Economics, C.9, ss:33-38.
  • Bullard, James ve Kaushik Mitra (2002); “Learning About Monetary Policy Rules” Journal of Monetary Economics, C. 49, ss:1105-1129.
  • Castelnuova, Efrem (2003); “Taylor Rules, Omitted Variables, And Interest Rate Smoothing in the US” Economic Letters, C:81, s:55-59.
  • Chang, Hui S. (2005); “Estimating the Monetary Policy Reaction Function for Taiwan: A VAR Model” The International Journal of Applied Economics, C.2, No.1, ss:50-61.
  • Christensen Anders M. ve Heino Bohn Nielsen (2003); “Has US Monetary Policy Followed the Taylor Rule? A (Erişim: Cointegration Copenhagen-Nielsen.pdf). 1988-2002”,
  • http://www.edge-page.net/jamb2003/Jamboree
  • Clarida, Richard, Jordi Gali, Mark Gertler (2000); “Monetary Policy Rules and Macroeconomics Stability: Evidence and Some Theory”, The Quarterly Journal of Economics, C: 115, No.1, ss:147-180.
  • Clark, Peter B. Caharles A.E. Goodhart ve Haizhou Huang (1999); “Optimal Monetary Policy Rules in A Rational Expectations Model of the Phillips Curve” Journal of Monetary Economics, C.43, ss:497-520.
  • Dolares, Ramon Maria (2005); “Monetary Policy Rules In Accession Countries to EU: Is the Taylor Rule a Pattern?” Economics Bulletin, C.5, No.5. (Erişim: http://www.economicsbulletin.com/2005/volume5/EB−04E50013A.pdf).
  • Gerdesmeier, Dieter ve Barbara Roffia (2004); “Taylor Rules For The Euro Area:The Issue of Real-Time Data” Studies of The Economic Research Centre, No.37.
  • Gerlach, Stefan ve Gert Schnabel (2000); “The Taylor Rule and Interest Rates in the EMU Area” Economics Letters, C.67, ss:165-171.
  • Judd, John P. ve Glenn D. Rudebusch (1998); “Taylor's Rule and the Fed:1970-1997” Economic Review- Federal Reserve Bank of San Francisco.
  • Khan, Aubhik, Robert G. King ve Alexander L. Wolman (2003); “Optimal Monetary Policy” The Review of Economic Studies, C.70, No.4, ss:825-860.
  • Kong, Danfeng ve Osamu Kamoike (2006); “The Stability Condition of a Forward Looking Taylor Rule” East Asia http://www.uq.edu.au/economics/eaerg/dp/0705.pdf). Research Group Discussion Paper, No:7, (Erişim:
  • Kozicki, Sharon (1999); “How Useful Are Taylor Rules for Monetary Policy” Federal Reserve Bank of Kansas City Economic Review, ideas.repec.org.
  • Kydland, Finn E. ve Edward C. Prescott (1977); “Rules rather than Discretion: The Inconsistency Of Optimal Plans” The Journal of Political Economy, Vol.85, No:3, ss:473-492.
  • McCallum, Bennett T. (1981); “Price Level Determinacy with an Interest-Rate Policy Rule and Rational Expectations” Journal of Monetary Economics, C. 8, ss: 319-329.
  • McCallum, Bennett T. (2000); “Alternative Monetary Policy Rules:A Comparison with Historical Settings for the United States, The United Kingdom, and Japan” NBER Working Paper, WP No: 7725, (Erişim Adresi: http://www.nber.org/papers/w7725).
  • Mishkin, Frederic S ve Miguel A. Savastano (2001), “Monetary Policy Strategies For Latin America” Journal of Development Economics, C.66, ss:415-444.
  • Orphanides, Athanasios (2000); “Activist Stabilization Policy And Inflation:The Taylor Rule In The 1970s”Finance (Erişim:http://www.federalreserve.gov/pubs/feds/2000/200013/200013abs.html). and Economics Discussion Series,
  • Orphanides, Athanasios (2002); “Monetary-Policy Rules and the Great Inflation” The American Economic Review, C.92, No.2, ss:115-120.
  • Orphanides, Athanasios (2003); “Historical Monetary Policy Analysis and the Taylor Rule” Journal of Monetary Economics, C.50, ss:983-1022.
  • Österholm, Par (2005); “The Taylor Rule and Real-time Data: A Critical Appraisal” Applied Economics Letters, C.12, ss:679–685.
  • Sack, Brian ve Volker Wieland (2000); “Interest-Rate Smoothing and Optimal Monetary Policy: A Review of Recent Empirical Evidence” Journal of Economics and Business, C.52, ss:205-228.
  • Sargent, Thomas J. ve Neil Wallace (1975); “Rational Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule” Journal of Political Economy, C. 83: 241-254.
  • Siklos, Pierre L., Thomas Werner, Martin T. Bohl (2004); “Asset Prices in Taylor Rules: Specification, Estimation, and Policy Implications for the ECB ”, Studies of The Economic Research Centre, No.22.
  • Snowdon, Brian, Howard Vane ve Peter Wynarczyk (1997); A Modern Guide to Macroeconomics, Cambridge Univeristy Pres, UK.
  • Svensson, Lars E.O (2003); “What Is Wrong with Taylor Rules? Using Judgment in Monetary Policy Through Targeting Rules” Journal of Economic Literature, C.41, No:2, ss:426-427.
  • Tang, Jenn-Hong (2005); “Taylor Rules in a Sticky Price Model With Job Search” (Erişim: http://www.econ.sinica.edu.tw/activities/past/20050329.pdf ).
  • Woodford, Michael (2001); “The Taylor Rule and Optimal Monetary Policy” The American Economic Review, C. 91, No:2, ss:232-237.
  • Yazgan, M. Ege ve Hakan Yılmazkuday (2007); “Monetary Policy Rules in Practice: Evidence From Turkey and Israel” Applied Financial Economics, C.17, No:1, ss:1-8.
There are 35 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Ferhat Pehlivanoğlu This is me

Publication Date June 1, 2014
Published in Issue Year 2014 Volume: 9 Issue: 1

Cite

APA Pehlivanoğlu, F. (2014). OPTIMAL PARA POLITIKASI ÇERÇEVESINDE TAYLOR TIPI FAIZ ORANI REAKSIYON FONKSIYONUN TAHMINI: TÜRKIYE ÖRNEĞİ. Bilgi Ekonomisi Ve Yönetimi Dergisi, 9(1), 115-126.