The Estimation of Long Run Broad Money Demand (M2Y) in Turkey : Evidence from Time Varying Parameters Approach

Abstract

This paper attempts to estimate the long run money demand for Turkish economy by examining the empirical relationship among real money, real income, interest rate, inflation and exchange rate. To this end, both constant (ARDL bounds test) and a time-varying coefficients model based on Kalman filter technique are employed over the period 1989Q1-2010Q4, characterized by financial crises, high inflation and exchange rate fluctuations in Turkey. ARDL bounds test results indicate that there is a long-run relationship between real money, real income, the exchange rate, inflation and interest rate. The long run relationship is finally estimated by a time-varying parameters model. The estimation results show that both real income and exchange rate have positive effect on real money demand, whereas inflation and interest rate have a negative effect on real money demand

Keywords

• Money demand, ARDL, time-varying parameters, kalman filter, central bank

Türkiye’de Uzun Dönem Geniş (M2Y) Para Talebinin Tahmini: Zamana Göre Değişen Katsayılar Yönteminden Bulgular

Abstract

Bu çalışmada reel para talebinin, reel gelir, faiz oranı, enflasyon ve döviz kuru değişkenleri ile etkileşimleri ampirik olarak incelenmek suretiyle Türkiye ekonomisi için 1989Q1-2010Q4 döneminde uzun dönem reel para talebi fonksiyonu tahmin edilmeye çalışılmıştır. Analiz dönemi içerisinde Türkiye ekonomisinde gözlenen finansal krizler, yüksek enflasyon ve döviz kuru dalgalanmaları dikkate alınarak reel para talebi fonksiyonunun tahmininde geleneksel sabit katsayılı (ARDL Sınır Testi) tahmin yönteminin yanı sıra Kalman Filtre Tekniğine dayalı Zamanla Değişen Katsayılar modelinden yararlanılmıştır. İlk aşamada gerçekleştirilen sabit katsayılı ARDL Sınır Testi sonuçları reel para talebi ile reel gelir, faiz oranı, enflasyon ve döviz kuru değişkenleri arasında uzun dönemli bir ilişkinin varlığına işaret etmiştir. Değişkenler arasında saptanan bu uzun dönem ilişkisine dayanarak uzun dönem reel para talebi fonksiyonu ikinci aşamada zamanla değişen katsayılar yöntemi ile tahmin edilmiştir. Sonuçlar uzun dönemde reel para talebinin faiz ve enflasyondaki değişimlerden negatif, reel gelir ve döviz kurundaki değişimlerden ise pozitif yönde etkilendiğini göstermektedir

Keywords

• Para talebi, ARDL, zamanla değişen katsayılar, kalman filtre, merkez bankası

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