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TÜRKİYE’DE 2002-2007 DÖNEMİNDE UYGULANAN PARA POLİTİKASININ AMPİRİK BİR ANALİZİ: REAKSİYON FONKSİYONUNUN TAHMİNİ

Year 2019, Volume: 17 Issue: 2, 383 - 402, 30.06.2019
https://doi.org/10.18026/cbayarsos.548696

Abstract

Bu çalışmada
Türkiye’de 2002-2007 döneminde uygulanan para politikası ampirik olarak analiz
edilmiştir. Bunun için Ocak 2002-Aralık 2007 dönemine ilişkin para politikası
reaksiyon fonksiyonu tahmin edilmiştir. Reaksiyon fonksiyonu ile para
politikasının bu dönemde enflasyon, çıktı açığı ve döviz kuruna verdiği
tepkiler ölçülmüştür. Yapılan analizler sonucunda, para politikasının beklenen
enflasyonun hedeften sapmasına güçlü bir şekilde tepki verdiği bulgusu elde
edilmiştir. Para politikasının çıktı açığına tepki vermediği sonucuna
ulaşılmıştır. Dört ayrı kur değişkeni kullanılarak yapılan analizler,
araştırmada ele alınan dönemde para politikasının döviz kuruna da tepki
vermediğini göstermiştir.

References

  • AKLAN, Nejla Adanur ve Mehmet NARGELEÇEKENLER (2008), “Taylor Kuralı: Türkiye Üzerine Bir Değerlendirme”, Ankara Üniversitesi SBF Dergisi, C: 63, S: 2, ss. 22-41.
  • BAŞÇI, Erdem ve Hakan KARA (2011), “Finansal İstikrar ve Para Politikası”, TCMB Çalışma Tebliği, No: 11/08.
  • BERUMENT Hakan ve Kamuran MALATYALI (2000), “The Implicit Reaction Function of the Central Bank of the Republic of Turkey”, Applied Economics Letters, C: 7, S: 7, ss. 425-430.
  • BERUMENT Hakan ve Hakan TAŞÇI (2004), “Monetary Policy Rules in Practice: Evidence from Turkey”, International Journal of Finance and Economics, C: 9, S: 1, ss. 33-38.
  • CANSEN, Ege (2010), “Yüksek Faiz Bitti Şimdi Sıra Düşük Kurda”, http://www.hurriyet.com.tr/yuksek-faiz-bitti-simdi-sira-dusuk-kurda-14129988, (10.03.2019).
  • CLARIDA, Richard, Jordi GALI ve Mark GERTLER (1998), “Monetary Policy Rules in Practice Some International Evidence”, European Economic Review, C: 42, S: 6, ss. 1033-1067.
  • CLARIDA, Richard, Jordi GALI ve Mark GERTLER (2000), “Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory”, The Quarterly Journal of Economics, C: 115, S: 1, ss. 147-180.
  • COBHAM, David (2003), “Why Does the Monetary Policy Committee Smooth Interest Rates?”, Oxford Economic Papers, C: 55, S: 3, ss. 467-493.
  • ÇAĞLAYAN, Ebru (2005), “Türkiye’de Taylor Kuralı’nın Geçerliliğinin Ekonometrik Analizi”, Marmara Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, C: 20, S: 1, ss. 379-392.
  • DEWALD, William G. ve Harry G. JOHNSON (1963), “An Objective Analysis of the Objectives of American Monetary Policy 1952-1961”, (ed.) Deane Carson, Banking and Monetary Studies, Richard D. Irwin Inc., Illinois.
  • DICKEY, David A. ve Wayne A. FULLER (1979), “Distributions of the Estimators for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, C: 74, S: 366, ss. 427-431.
  • DICKEY, David A. ve Wayne A. FULLER (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, C: 49, S: 4, ss. 1057-1072.
  • EĞİLMEZ, Mahfi (2011), “Türk Usulü Ekonomi Politikası”, http://www.radikal.com.tr/yazarlar/mahfi-egilmez/turk-usulu-ekonomi-politikasi-1049786, (10.03.2019).
  • FISHER, Douglas (1968), “The Objectives of British Monetary Policy 1951-1964”, The Journal of Finance, C: 23, S: 5, ss. 821-831.
  • GOZGOR, Giray (2012), “Inflation Targeting and Monetary Policy Rules: Further Evidence from the Case of Turkey”, Journal of Applied Finance & Banking, C: 2, S: 5, ss. 127-136.
  • GRANGER, Clive W. J. ve Paul NEWBOLD (1974), “Spurious Regressions in Econometrics”, Journal of Econometrics, C: 2, S: 2), ss. 111-120.
  • GUJARATI, Damodor N. (2004), Basic Econometrics, 4. Baskı, McGraw-Hill, Boston.
  • GÜNEY, Pelin Öge (2016), “Does the Central Bank Directly Respond to Output an Inflation Uncertainties in Turkey?”, Central Bank Review, C: 16, S: 2, ss. 53-57.
  • HAUSMAN, Jerry A. (1978), “Specification Tests in Econometrcis”, Econometrica, C: 46, S: 6, ss. 1251-1271.
  • HOSEK, William R. (1975), “A Test of the Targets of Monetary Policy”, Applied Economics, C: 7, S: 1, ss. 17-24.
  • KARA, A. Hakan (2012), “Küresel Kriz Sonrası Para Politikası”, TCMB Çalışma Tebliği, No: 12/17.
  • KARA, A. Hakan ve Musa ORAK (2008), “Enflasyon Hedeflemesi”, (ed.) Ercan Kumcu, Krizler, Para ve İktisatçılar, Remzi Kitabevi, İstanbul.
  • KESRİYELİ, Mehtap ve Cihan YALÇIN (1998), “Taylor Kuralı ve Türkiye Uygulaması Üzerine Bir Not”, TCMB Tartışma Tebliği, No: 9802.
  • KOENKER, Roger ve Gilbert BASSETT (1978), “Regression Quantiles”, Econometrica, C: 46, S: 1, ss. 33-50.
  • LOWE, Philip ve Luci ELLIS (1997), “The Smoothing of Official Interest Rates”, (ed.) Philip Lowe, Monetary Policy and Inflation Targeting, Reserve Bank of Australia, Sydney.
  • MACKINNON, James G. (1996), “Numerical Distribution Functions for Unit Root and Cointegration Tests”, Journal of Applied Econometrics, C: 11, S: 6, ss. 601-618.
  • MCNEES, Stephen K. (1992), “A Forward-Looking Monetary Policy Reaction Function: Continuity and Change”, New England Economic Review, November/December, ss. 3-13.
  • MINELLA, Andre, Paula Springer de FREITAS, Ilan GOLDFAJN, Marcelo Kfoury MUINHOS (2003), “Inflation Targeting in Brazil: Constructing Credibility Under Exchange Rate Volatility”, Journal of International Money and Finance, C: 22, S: 7, ss. 1015-1040.
  • MOHANTY, M. S. ve Marc KLAU (2004), “Monetary Policy Rules in Emerging Market Economies: Issues and Evidence”, BIS Working Papers, No: 149.
  • MOURA, Marcelo L. ve Alexandre de CARVALHO (2010), “What Can Taylor Rules Say About Monetary Policy in Latin America?”, Journal of Macroeconomics, C: 32, S: 1, ss. 392-404.
  • ONGAN, T. Hakan (2004), “Enflasyon Hedeflemesi ve Taylor Kuralı: Türkiye Örneği”, Maliye Araştırma Merkezi Konferansları, S: 45, ss. 1-12.
  • ORPHANIDES, Athanasios (2003), “Historical Monetary Policy Analysis and the Taylor Rule”, Journal of Monetary Economics, C: 50, S: 5, ss. 983-1022.
  • OTERO, Jesus ve Manuel RAMIREZ (2009), “Modelling the Monetary Policy Reaction Function of the Colombian Central Bank”, Macroeconomics and Finance in Emerging Market Economies, C: 2, S: 1, ss. 3-11.
  • PHILLIPS, Peter C. B. ve Pierre PERRON (1988), “Testing for a Unit Root in Time Series Regression”, Biometrika, C: 75, S: 2, ss. 335-346.
  • PORZECANSKI, Arturo C. (1979), “Patterns of Monetary Policy in Latin America”, Journal of Money, Credit and Banking, C: 11, S: 4, ss. 427-437.
  • REUBER, Grant L. (1962), “The Objectives of Monetary Policy”, The Queen’s Printer, Ottawa.
  • REUBER, Grant L. (1964), “The Objectives of Canadian Monetary Policy 1949-61: Empirical ‘Trade-Offs’ and the Reaction Function of the Authorities”, The Journal of Political Economy, C: 72, S: 2, ss. 109-132.
  • RUDEBUSCH, Glenn D. (2002), “Term Structure Evidence on Interest Rate Smoothing and Monetary Policy Inertia”, Journal of Monetary Economics, C: 49, S: 6, ss. 1161-1187.
  • 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, S: 1-2, ss. 205-228.
  • SANCHEZ-FUNG, Jose R. (2011), “Estimating Monetary Policy Reaction Functions for Emerging Market Economies: The Case of Brazil”, Economic Modelling, C: 28, S: 4, ss. 1730-1738.
  • SAUER, Stephan ve Jan-Egbert STURM (2007), “Using Taylor Rules to Understand European Central Bank Monetary Policy”, German Economic Review, C: 8, S: 3, ss. 375-398.
  • SERDENGEÇTİ, Süreyya (2002), “Fiyat İstikrarı”, http://www.tcmb.gov.tr/wps/wcm/-connect/105db298-2325-4d02-889f-89510af2d2f1/fiyat_istikrar.pdf?-MOD=AJPERES&CACHEID=ROOTWORKSPACE-105db298-2325-4d02-889f-89510af2d2f1-m3fBePw, (10.03.2019).
  • SHEEHAN, Richard G. (1985), “The Federal Reserve Reaction Function: Does Debt Growth Influence Monetary Policy?”, Federal Reserve Bank of St. Louis Review, March, ss. 24-33.
  • SROUR, Gabriel (2001), “Why Do Central Banks Smooth Interest Rates?”, Bank of Canada Working Paper, No: 2001-17.
  • TAYLOR, John B. (1993), “Discretion Versus Policy Rules in Practice”, Carnegie-Rochester Conference Series on Public Policy, S: 39, ss. 195-214.
  • TAYLOR, John B. (1999), “A Historical Analysis of Monetary Policy Rules”, (ed.) John B. Taylor, Monetary Policy Rules, University of Chicago Press, Chicago.
  • TCMB (2002), Para Politikası Raporu: Nisan 2002, Türkiye Cumhuriyet Merkez Bankası Yayını, Ankara.
  • WIJESINGHE, D. S. (1986), “Monetary Policy Reaction Functions and Sterilisation Policies: A Review of Literature”, The South East Asian Central Banks (SEACEN) Research and Training Centre Staf Papers, No: 14.
  • YAZGAN, M. Ege ve Hakan YILMAZKUDAY (2007), “Monetary Policy Rules in Practice: Evidence from Turkey and Israel”, Applied Financial Economics, C: 17, S: 1, ss. 1-8.
Year 2019, Volume: 17 Issue: 2, 383 - 402, 30.06.2019
https://doi.org/10.18026/cbayarsos.548696

Abstract

References

  • AKLAN, Nejla Adanur ve Mehmet NARGELEÇEKENLER (2008), “Taylor Kuralı: Türkiye Üzerine Bir Değerlendirme”, Ankara Üniversitesi SBF Dergisi, C: 63, S: 2, ss. 22-41.
  • BAŞÇI, Erdem ve Hakan KARA (2011), “Finansal İstikrar ve Para Politikası”, TCMB Çalışma Tebliği, No: 11/08.
  • BERUMENT Hakan ve Kamuran MALATYALI (2000), “The Implicit Reaction Function of the Central Bank of the Republic of Turkey”, Applied Economics Letters, C: 7, S: 7, ss. 425-430.
  • BERUMENT Hakan ve Hakan TAŞÇI (2004), “Monetary Policy Rules in Practice: Evidence from Turkey”, International Journal of Finance and Economics, C: 9, S: 1, ss. 33-38.
  • CANSEN, Ege (2010), “Yüksek Faiz Bitti Şimdi Sıra Düşük Kurda”, http://www.hurriyet.com.tr/yuksek-faiz-bitti-simdi-sira-dusuk-kurda-14129988, (10.03.2019).
  • CLARIDA, Richard, Jordi GALI ve Mark GERTLER (1998), “Monetary Policy Rules in Practice Some International Evidence”, European Economic Review, C: 42, S: 6, ss. 1033-1067.
  • CLARIDA, Richard, Jordi GALI ve Mark GERTLER (2000), “Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory”, The Quarterly Journal of Economics, C: 115, S: 1, ss. 147-180.
  • COBHAM, David (2003), “Why Does the Monetary Policy Committee Smooth Interest Rates?”, Oxford Economic Papers, C: 55, S: 3, ss. 467-493.
  • ÇAĞLAYAN, Ebru (2005), “Türkiye’de Taylor Kuralı’nın Geçerliliğinin Ekonometrik Analizi”, Marmara Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, C: 20, S: 1, ss. 379-392.
  • DEWALD, William G. ve Harry G. JOHNSON (1963), “An Objective Analysis of the Objectives of American Monetary Policy 1952-1961”, (ed.) Deane Carson, Banking and Monetary Studies, Richard D. Irwin Inc., Illinois.
  • DICKEY, David A. ve Wayne A. FULLER (1979), “Distributions of the Estimators for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, C: 74, S: 366, ss. 427-431.
  • DICKEY, David A. ve Wayne A. FULLER (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, C: 49, S: 4, ss. 1057-1072.
  • EĞİLMEZ, Mahfi (2011), “Türk Usulü Ekonomi Politikası”, http://www.radikal.com.tr/yazarlar/mahfi-egilmez/turk-usulu-ekonomi-politikasi-1049786, (10.03.2019).
  • FISHER, Douglas (1968), “The Objectives of British Monetary Policy 1951-1964”, The Journal of Finance, C: 23, S: 5, ss. 821-831.
  • GOZGOR, Giray (2012), “Inflation Targeting and Monetary Policy Rules: Further Evidence from the Case of Turkey”, Journal of Applied Finance & Banking, C: 2, S: 5, ss. 127-136.
  • GRANGER, Clive W. J. ve Paul NEWBOLD (1974), “Spurious Regressions in Econometrics”, Journal of Econometrics, C: 2, S: 2), ss. 111-120.
  • GUJARATI, Damodor N. (2004), Basic Econometrics, 4. Baskı, McGraw-Hill, Boston.
  • GÜNEY, Pelin Öge (2016), “Does the Central Bank Directly Respond to Output an Inflation Uncertainties in Turkey?”, Central Bank Review, C: 16, S: 2, ss. 53-57.
  • HAUSMAN, Jerry A. (1978), “Specification Tests in Econometrcis”, Econometrica, C: 46, S: 6, ss. 1251-1271.
  • HOSEK, William R. (1975), “A Test of the Targets of Monetary Policy”, Applied Economics, C: 7, S: 1, ss. 17-24.
  • KARA, A. Hakan (2012), “Küresel Kriz Sonrası Para Politikası”, TCMB Çalışma Tebliği, No: 12/17.
  • KARA, A. Hakan ve Musa ORAK (2008), “Enflasyon Hedeflemesi”, (ed.) Ercan Kumcu, Krizler, Para ve İktisatçılar, Remzi Kitabevi, İstanbul.
  • KESRİYELİ, Mehtap ve Cihan YALÇIN (1998), “Taylor Kuralı ve Türkiye Uygulaması Üzerine Bir Not”, TCMB Tartışma Tebliği, No: 9802.
  • KOENKER, Roger ve Gilbert BASSETT (1978), “Regression Quantiles”, Econometrica, C: 46, S: 1, ss. 33-50.
  • LOWE, Philip ve Luci ELLIS (1997), “The Smoothing of Official Interest Rates”, (ed.) Philip Lowe, Monetary Policy and Inflation Targeting, Reserve Bank of Australia, Sydney.
  • MACKINNON, James G. (1996), “Numerical Distribution Functions for Unit Root and Cointegration Tests”, Journal of Applied Econometrics, C: 11, S: 6, ss. 601-618.
  • MCNEES, Stephen K. (1992), “A Forward-Looking Monetary Policy Reaction Function: Continuity and Change”, New England Economic Review, November/December, ss. 3-13.
  • MINELLA, Andre, Paula Springer de FREITAS, Ilan GOLDFAJN, Marcelo Kfoury MUINHOS (2003), “Inflation Targeting in Brazil: Constructing Credibility Under Exchange Rate Volatility”, Journal of International Money and Finance, C: 22, S: 7, ss. 1015-1040.
  • MOHANTY, M. S. ve Marc KLAU (2004), “Monetary Policy Rules in Emerging Market Economies: Issues and Evidence”, BIS Working Papers, No: 149.
  • MOURA, Marcelo L. ve Alexandre de CARVALHO (2010), “What Can Taylor Rules Say About Monetary Policy in Latin America?”, Journal of Macroeconomics, C: 32, S: 1, ss. 392-404.
  • ONGAN, T. Hakan (2004), “Enflasyon Hedeflemesi ve Taylor Kuralı: Türkiye Örneği”, Maliye Araştırma Merkezi Konferansları, S: 45, ss. 1-12.
  • ORPHANIDES, Athanasios (2003), “Historical Monetary Policy Analysis and the Taylor Rule”, Journal of Monetary Economics, C: 50, S: 5, ss. 983-1022.
  • OTERO, Jesus ve Manuel RAMIREZ (2009), “Modelling the Monetary Policy Reaction Function of the Colombian Central Bank”, Macroeconomics and Finance in Emerging Market Economies, C: 2, S: 1, ss. 3-11.
  • PHILLIPS, Peter C. B. ve Pierre PERRON (1988), “Testing for a Unit Root in Time Series Regression”, Biometrika, C: 75, S: 2, ss. 335-346.
  • PORZECANSKI, Arturo C. (1979), “Patterns of Monetary Policy in Latin America”, Journal of Money, Credit and Banking, C: 11, S: 4, ss. 427-437.
  • REUBER, Grant L. (1962), “The Objectives of Monetary Policy”, The Queen’s Printer, Ottawa.
  • REUBER, Grant L. (1964), “The Objectives of Canadian Monetary Policy 1949-61: Empirical ‘Trade-Offs’ and the Reaction Function of the Authorities”, The Journal of Political Economy, C: 72, S: 2, ss. 109-132.
  • RUDEBUSCH, Glenn D. (2002), “Term Structure Evidence on Interest Rate Smoothing and Monetary Policy Inertia”, Journal of Monetary Economics, C: 49, S: 6, ss. 1161-1187.
  • 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, S: 1-2, ss. 205-228.
  • SANCHEZ-FUNG, Jose R. (2011), “Estimating Monetary Policy Reaction Functions for Emerging Market Economies: The Case of Brazil”, Economic Modelling, C: 28, S: 4, ss. 1730-1738.
  • SAUER, Stephan ve Jan-Egbert STURM (2007), “Using Taylor Rules to Understand European Central Bank Monetary Policy”, German Economic Review, C: 8, S: 3, ss. 375-398.
  • SERDENGEÇTİ, Süreyya (2002), “Fiyat İstikrarı”, http://www.tcmb.gov.tr/wps/wcm/-connect/105db298-2325-4d02-889f-89510af2d2f1/fiyat_istikrar.pdf?-MOD=AJPERES&CACHEID=ROOTWORKSPACE-105db298-2325-4d02-889f-89510af2d2f1-m3fBePw, (10.03.2019).
  • SHEEHAN, Richard G. (1985), “The Federal Reserve Reaction Function: Does Debt Growth Influence Monetary Policy?”, Federal Reserve Bank of St. Louis Review, March, ss. 24-33.
  • SROUR, Gabriel (2001), “Why Do Central Banks Smooth Interest Rates?”, Bank of Canada Working Paper, No: 2001-17.
  • TAYLOR, John B. (1993), “Discretion Versus Policy Rules in Practice”, Carnegie-Rochester Conference Series on Public Policy, S: 39, ss. 195-214.
  • TAYLOR, John B. (1999), “A Historical Analysis of Monetary Policy Rules”, (ed.) John B. Taylor, Monetary Policy Rules, University of Chicago Press, Chicago.
  • TCMB (2002), Para Politikası Raporu: Nisan 2002, Türkiye Cumhuriyet Merkez Bankası Yayını, Ankara.
  • WIJESINGHE, D. S. (1986), “Monetary Policy Reaction Functions and Sterilisation Policies: A Review of Literature”, The South East Asian Central Banks (SEACEN) Research and Training Centre Staf Papers, No: 14.
  • YAZGAN, M. Ege ve Hakan YILMAZKUDAY (2007), “Monetary Policy Rules in Practice: Evidence from Turkey and Israel”, Applied Financial Economics, C: 17, S: 1, ss. 1-8.
There are 49 citations in total.

Details

Primary Language Turkish
Journal Section İktisadi ve idari Bilimler Sayısı
Authors

Orhan Karaca 0000-0001-8660-5892

Publication Date June 30, 2019
Published in Issue Year 2019 Volume: 17 Issue: 2

Cite

APA Karaca, O. (2019). TÜRKİYE’DE 2002-2007 DÖNEMİNDE UYGULANAN PARA POLİTİKASININ AMPİRİK BİR ANALİZİ: REAKSİYON FONKSİYONUNUN TAHMİNİ. Manisa Celal Bayar Üniversitesi Sosyal Bilimler Dergisi, 17(2), 383-402. https://doi.org/10.18026/cbayarsos.548696