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Türkiye’de Para Talebi Fonksiyonunun Modellenmesi

Year 2011, Volume: 20 Issue: 1, 195 - 211, 01.03.2011

Abstract

In this study the determinants and stability of money demand in Turkey are examined by Johansen 1988 and Johansen and Juselius 1990 Multivariate Cointegration Analysis for the period between 1987 1 and 2007 2 Money demand functions are being estimated by creating alternative models with narrow and wide M1 M2 M2Y monetary aggregates income interest rate inflation and exchange rate In this context one of the aim of this study is detecting the optimal monetary aggregate for money demand whilst other one is introducing the determinants of money demand Findings show that money demand function with narrow monetary aggregate M1 is in a stable relationship with income interest rate and or inflation variables Also impulse response analysis confirms that marrow money demand is effected positively by income and negatively by interest rate and inflation Key Words: Money Demand Cointegration Analysis Error Correction Modeling Impulse Response Analysis

References

  • Akıncı Özge (2003), “Modeling the Demand for Currency Issued in Turkey”, The CentralBank of the Republic of Turkey Research Department.
  • Arize, A.C., Malindretos, J., Grivoyannis, E.C., (2005), “Inflation-Rate Volatility and Money Demand: Evidence from less developed Countries”, International Review of Economics and Finance, 14, p. 57-80
  • Bahmani Okooee, M., Galindo Martin, M.A., ve Niroomand, F., (1998), “Exchange Rate Sensitivity of the Demand for Money in Spain”, Applied Economics, 30:5, 607-612.
  • Bahmani Oskooee, M., Chi Wing Ng, R., (2002). “Long-Run Demand for Money inHong Kong: An Application of the ARDL Model”, International Journal of Business and Economics, 2002, Vol:1/2, p. 147-155
  • Bahmani Oskooee, M., Economidou, C., (2005), “How Stable is Demand For Money in Greece?”, International Econonmic Journal, 19, p. 461-472
  • Balcılar, M., Doğanlar, M. (1997), “Türk Ekonomisi için Dinamik İthalat Talep Fonksiyonlarının Tahmini: Koentegrasyon Yaklaşımı”, III. Ulusal Ekonometri ve İstatistik Sempozyumu, Bursa.
  • Civcir, İ., (2000), “Broad Money Demand, Financial Liberalization and Currancy Substitution in Turkey”, ERF Seventh Annual Conference Proceedings
  • Enders, W.,(1995), Applied Econometric Time Series, New York : Wiley, c1995.
  • Ericsson, R. N.,(1998), “Empirical modeling of money demand”, Empirical Economics, 23:295-315
  • Ewing, B.T., Payne J.E., (1999), “Lon-Run Money Demand in Chile”, Journal of Economic Development, 24:2, p.177-190
  • Friedman, M., (1970), “A Theoretical Framework for Monetary Analysis”, The Journal of Political Economy, 78, p. 193-238
  • Hafer, R.W., Jansen, Dennis W. (1991), “The Demand for Money in the United States: Evidence from Cointegration Tests”, Journal of Money, Credit and Banking, Vol:23/2, p. 155-168.
  • Johansen, S., ve Juselius, K. (1990), “Maximum likelihood estimation and inference on Cointegration with application to the demand for money”, Oxford Bulletin of Economics and Statistics, 52, 169–210.
  • Mravic, J., Palic, Mirjana. (2005), “Econometric Analysis of Money Demand in Serbia”, National Bank of Serbia Research Department.
  • Miller, Stephen M. (1991, “Monetary Dynamics: An Application of Cointegration and Error Correction Modelling”, Journal of Money, Credit and Banking, Vol:23/2, p. 139-154.
  • Özmen, M., (2002), Dışa Açık Ekonomilerde Para Talebi, Gelişmiş ve Gelişmekte Olan Ülkeler Üzerine Bir İnceleme, Çukurova Üniversitesi Sosyal Bilimler Enstitüsü, Doktora Tezi, Adana.
  • Perron, P.,(1997), “Further Evidence on Breaking Trend Functions in Macroeconomic Variables”, Journal of Econometrics, Vol: 80, p. 355-385.
  • Pesaran H.H., Shin, Y.,(1998), “Generalized Impulse Response Analysis In Linear Multivariate Models”, Economics Letters, Vol:58, p. 17-29.
  • Pradhan, B.K., Subramanian, A.,(2003), “On the Stability of Demand for Money in a Developing Economy: Some Empirical Issues”, Journal of Development Economics, Vol:72, p.335-351.
  • Scharnagl, M.,(1998), “The Stability of German Money Demand: Not Just a Myth”, Empirical Economics, Vol:23 p. 355-370.
  • Stock, J. H., Watson, M.W., (2001), “Vector Autoregressions”, The Journal of Economic Perspectives, Vol. 15, No. 4. (Autumn, 2001), pp. 101–115.
  • Sriram, S. S. (1999), “Survey of Literature on Demand for Money: Theoretical and Emperical Work with Special Reference to Error-Correction Models”, IMF Working Paper, No. WP/99/64.
  • Sriram, S., (2002), “Determinants and Stability of Demand for M2 in Malaysia”, Journal of Asian Economics, 13, p. 337-356
  • Valadkhani, A., (2003), “Long and Short-Run Determinants of Money Demand in New Zealand: Evidence from Cointegration Analysis”, Queensland University of Technology Discussion, Paper, No:132

Türkiye’de Para Talebi Fonksiyonunun Modellenmesi

Year 2011, Volume: 20 Issue: 1, 195 - 211, 01.03.2011

Abstract

Bu çalışmada 1987.1-2007.2 arası dönemde Türkiye’ de para talebinin belirleyicileri ve
istikrarlılığı Johansen (1988) ve Johansen ve Juselius (1990) Çok Değişkenli
Eşbütünleşme Analizi yöntemiyle incelenmiştir. Para talebi fonksiyonları, dar ve geniş
(m1, m2, m2y) parasal büyüklükler, gelir, faiz, enflasyon ve döviz kuru değişkenleri ile
alternatif modeller oluşturularak tahmin edilmeye çalışılmıştır. Bu bağlamda çalışmanın
amaçlarından birisi para talebi için optimal parasal büyüklüğün tespiti iken diğeri ise
ekonomik karar birimlerinin para tutum kararlarını etkileyen unsurları bir başka ifadeyle
para talebinin belirleyicilerini ortaya koymaktır. Uygulama sonucu elde edilen bulgular
dar kapsamlı parasal büyüklük tanımı m1 ile oluşturulan para talebi fonksiyonunun
gelir, faiz ve/veya enflasyon değişkenleri ile istikrarlı bir ilişki içerisinde olduğunu
göstermiştir. Etki-Tepki Analizleri ise dar para talebinin gelirden pozitif, faiz ve
enflasyondan ise negatif yönde etkilendiğini doğrulamıştır

References

  • Akıncı Özge (2003), “Modeling the Demand for Currency Issued in Turkey”, The CentralBank of the Republic of Turkey Research Department.
  • Arize, A.C., Malindretos, J., Grivoyannis, E.C., (2005), “Inflation-Rate Volatility and Money Demand: Evidence from less developed Countries”, International Review of Economics and Finance, 14, p. 57-80
  • Bahmani Okooee, M., Galindo Martin, M.A., ve Niroomand, F., (1998), “Exchange Rate Sensitivity of the Demand for Money in Spain”, Applied Economics, 30:5, 607-612.
  • Bahmani Oskooee, M., Chi Wing Ng, R., (2002). “Long-Run Demand for Money inHong Kong: An Application of the ARDL Model”, International Journal of Business and Economics, 2002, Vol:1/2, p. 147-155
  • Bahmani Oskooee, M., Economidou, C., (2005), “How Stable is Demand For Money in Greece?”, International Econonmic Journal, 19, p. 461-472
  • Balcılar, M., Doğanlar, M. (1997), “Türk Ekonomisi için Dinamik İthalat Talep Fonksiyonlarının Tahmini: Koentegrasyon Yaklaşımı”, III. Ulusal Ekonometri ve İstatistik Sempozyumu, Bursa.
  • Civcir, İ., (2000), “Broad Money Demand, Financial Liberalization and Currancy Substitution in Turkey”, ERF Seventh Annual Conference Proceedings
  • Enders, W.,(1995), Applied Econometric Time Series, New York : Wiley, c1995.
  • Ericsson, R. N.,(1998), “Empirical modeling of money demand”, Empirical Economics, 23:295-315
  • Ewing, B.T., Payne J.E., (1999), “Lon-Run Money Demand in Chile”, Journal of Economic Development, 24:2, p.177-190
  • Friedman, M., (1970), “A Theoretical Framework for Monetary Analysis”, The Journal of Political Economy, 78, p. 193-238
  • Hafer, R.W., Jansen, Dennis W. (1991), “The Demand for Money in the United States: Evidence from Cointegration Tests”, Journal of Money, Credit and Banking, Vol:23/2, p. 155-168.
  • Johansen, S., ve Juselius, K. (1990), “Maximum likelihood estimation and inference on Cointegration with application to the demand for money”, Oxford Bulletin of Economics and Statistics, 52, 169–210.
  • Mravic, J., Palic, Mirjana. (2005), “Econometric Analysis of Money Demand in Serbia”, National Bank of Serbia Research Department.
  • Miller, Stephen M. (1991, “Monetary Dynamics: An Application of Cointegration and Error Correction Modelling”, Journal of Money, Credit and Banking, Vol:23/2, p. 139-154.
  • Özmen, M., (2002), Dışa Açık Ekonomilerde Para Talebi, Gelişmiş ve Gelişmekte Olan Ülkeler Üzerine Bir İnceleme, Çukurova Üniversitesi Sosyal Bilimler Enstitüsü, Doktora Tezi, Adana.
  • Perron, P.,(1997), “Further Evidence on Breaking Trend Functions in Macroeconomic Variables”, Journal of Econometrics, Vol: 80, p. 355-385.
  • Pesaran H.H., Shin, Y.,(1998), “Generalized Impulse Response Analysis In Linear Multivariate Models”, Economics Letters, Vol:58, p. 17-29.
  • Pradhan, B.K., Subramanian, A.,(2003), “On the Stability of Demand for Money in a Developing Economy: Some Empirical Issues”, Journal of Development Economics, Vol:72, p.335-351.
  • Scharnagl, M.,(1998), “The Stability of German Money Demand: Not Just a Myth”, Empirical Economics, Vol:23 p. 355-370.
  • Stock, J. H., Watson, M.W., (2001), “Vector Autoregressions”, The Journal of Economic Perspectives, Vol. 15, No. 4. (Autumn, 2001), pp. 101–115.
  • Sriram, S. S. (1999), “Survey of Literature on Demand for Money: Theoretical and Emperical Work with Special Reference to Error-Correction Models”, IMF Working Paper, No. WP/99/64.
  • Sriram, S., (2002), “Determinants and Stability of Demand for M2 in Malaysia”, Journal of Asian Economics, 13, p. 337-356
  • Valadkhani, A., (2003), “Long and Short-Run Determinants of Money Demand in New Zealand: Evidence from Cointegration Analysis”, Queensland University of Technology Discussion, Paper, No:132
There are 24 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Yrd. Doç. Dr. Neşe Algan This is me

Arş. Gör. Salih Gencer This is me

Publication Date March 1, 2011
Submission Date December 29, 2013
Published in Issue Year 2011 Volume: 20 Issue: 1

Cite

APA Algan, Y. D. D. N., & Gencer, A. G. S. (2011). Türkiye’de Para Talebi Fonksiyonunun Modellenmesi. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 20(1), 195-211.