The Relation between Monetary Policy Preferences and Unemployment Rates

Abstract

The aim of this study is to examine the relation between CBRT’s monetary policy preferences and unemployment rates for the periods of 1999-2014. We consider Taylor rule as a monetary policy rule and employ Markov regime-switching model to determine the periods of “active” and “passive” monetary policy regimes. After that, we find higher unemployment rates in the periods of active monetary policy regime by using propensity score matching. These findings suggest that the CBRT should conduct monetary policy mix where it is considered not only inflation rates but also output gap to provide economic stability

Keywords

• Monetary Policy, Taylor Rule Unemployment Rates, Markov Regime Switching Model.

Para Politikası Tercihleri İle İşsizlik Oranları Arasındaki İlişki

Abstract

Bu çalışmada TCMB tarafından uygulanan para politikası tercihleri ile işsizlik oranları arasındaki ilişki 1999 ile 2014 dönemi için analiz edilmektedir. Çalışmamızda para politikası kuralı olarak Taylor kuralı dikkate alınmış ve Markov rejim değişim modeli kullanarak aktif ve pasif para politikasının uygulandığı dönemler belirlenmiştir. Ardından, eğilim skoru eşleştirme yöntemi kullanarak, para politikasının aktif olarak uygulandığı dönemlerde işsizlik oranlarının daha yüksek olduğu sonucuna varılmıştır. Bu sonuçlar, TCMB’nin ekonomik istikrarı sağlaması açısından para politikası tercihlerinde enflasyon oranının yanında çıktı açığını dikkate alan politika karmasını tercih etmesinin uygun olacağı anlamına gelmektedir

Keywords

• Para Politikası, Taylor Kuralı, İşsizlik Oranları, Markov rejim değişim modeli

References

1. Agur, I., & Demertzis, M. (2013). Leaning Against the Wind” and the Timing of Monetary Policy. IMF Working Paper(WP/13/86).
2. Aizenman, J., Hutchison, M., & Noy, I. (2011). Inflation Targeting and Real Exchange Rates in Emerging Markets. World Development, 39(5), 712-724.
3. Aklan, N., & Nargeleçekenler, M. (2008). Taylor Kuralı: Türkiye Üzerine Bir Değerlendirme. Ankara Üniversitesi SBF Dergisi, 63(2).
4. Albayrak, N., & Abdioğlu, Z. (2015). Geriye Ve İleriye Dönük Para Politikası Reaksiyon Fonksiyonlarının Tahmini: Taylor Kuralı. Süleyman Demirel Üniversitesi İİBF Dergisi, 20(4), 141-163.
5. Altavilla, C., & Landolfo, L. (2005). Do central banks act asymmetrically? Empirical evidence from the ECB and the Bank of England. Applied Economics, 37(5), 507 –
6. Ardor, H., & Varlık, H. (2014). İleriye Dönük Yeni Keynesyen Para Politikası Reaksiyon Fonksiyonunun Tahmini: Taylor Kuralı’nın, Mccallum Kuralı’nın, Taylor- Mccallum Melez Kuralı’nın Türkiye Ekonomisinde Geçerliliği. Ekonomik Yaklaşım, 24(89), 45-71.
7. Assenmacher-Wesche, K. (2016). Estimating Central
8. Banks’ preferences from a time-varying empirical reaction function. European Economic Review, 50, 1951

9. Ball, L. (1999). Policy Rules for Open Economies. J.
10. B. Taylor içinde, Monetary Policy Rules (s. 127 – 156). University of Chicago Press. Ball, L., & Tchaidze, R. (2002). The Fed and the New
11. Economy. American Economic Review, 92, 108–114. Bec, F., Salem, M. B., & Collard, F. (2002). Asymmetries in Monetary Policy Reaction Function Evidence for the U.S., French and German Central Banks. Studies in
12. Nonlinear Dynamics and Econometrics, 6(2). Berument, H., & Taşçı, H. (2003). Monetary Policy Rules in Practice Evidence from Turkey. International Journal of Finance & Economics.
13. Bilman, A., & Utkulu, U. (2010). Inflation And Output
14. Gaps Reconsidered: Assymetries And Nonlinear Phillips Curve Evidence For The Turkish Economy. Journal of Yasar University, 3155 - 3170.
15. Caporale, G., Catik, N., Helmi, M., Menla Ali, F., & Akdeniz, C. (tarih yok). Monetary Policy Rules in Emerging Countries: Is There an Augmented Nonlinear Taylor Rule? CESifo Working Paper Series(5965).
16. Carare, A., & Tchaidze, R. (2005). The Use and Abuse of
17. Taylor Rules: How Precisely Can We Estimate Them? IMF Working Paper(WP/05/148). Chen, Y., & Huo, Z. (2009). A Conjecture of Chinese
18. Monetary Policy Rule: Evidence from Survey Data, Markov Regime Switching, and Drifting Coefficients. Annals of Economics And Finance(10-1), 111–153. Christoper, C. (2006). Testing the Transparency Benefits of Inflation Targeting. IMF Working Paper. IMF.
19. Clarida, R., Gali, J., & Gertler, M. (1998). Monetary policy rules in practice: Some international evidence.
20. European Economic Review(46), 1033-1067.
21. Clarida, R., Gali, J., & Gertler, M. (2000). Monetary Policy
22. Rules and Macroeconomic Stability: Evidence and Some Theory. Quarterly Journal of Economics, 115, 147–180. Çevik, N., & Pazarlıoğlu, V. (2014). Türkiye’de Para
23. Politikasının Yapısı Ve Para Kuralı: 2013-1990 Dönemi.
24. Balkan Sosyal Bilimler Dergisi, 3(6). Demers, F., & Rodriguez, G. (2001). Estimation of the Taylor rule for Canada under multiple structural changes. Mimeo, University of Ottawa, Cahier de travail, E.
25. Demirbaş, E., & Kaya, M. (2012). Testing the Validity of
26. Taylor Principle for Turkey from a Different Perspective. AİBÜ Sosyal Bilimler Enstitüsü Dergisi, 12, 81-110. Erdoğan, S. (2013). Para Politikası. Kocaeli: Umuttepe.
27. Erdoğan, S., Yıldırım, D. Ç., & Güneş, H. (2010). Enflasyon
28. Hedeflemesi Stratejisi. Maliye Dergisi(159). Hutchisona, M., Senguptab, R., & Singha, N. (2013).
29. Dove or Hawk? Characterizing monetary policy regime switches in India. Emerging Markets Review, 16, 183–202. Islam, M., & Ali, M. (2012). Taylor Principle Supplements the Fisher Effect: Empirical Investigation under the US
30. Context. Economia. Seria Management(15), 189-203. Judd, J., & Rudebusch, G. (1998). Taylor’s rule and the fed: 1970–1997. (3), . Federal Reserve Bank of San
31. Francisco, Economic Review, 3, 3–16. Kayhan, S., Bayat, T., & Koçyiğit, A. (2013). Enflasyon
32. Hedeflemesi Rejiminde Öğrenme Süreci ve Asimetri: Markov Switching Yaklaşımı. Eskişehir Osman Gazi Üniveristesi İİBF Dergisi (8 (1)), 191‐212. Kim, C., & Nelson, C. (2006). Estimation of a Forward
33. Looking Monetary Policy. Journal of Monetary Economics(53), 1949–1966.
34. King, M. (1996). How should central banks reduce inflation? Conceptual issues. Federal Reserve Bank of Kansas City.
35. Kuzin, V. (2006). The Inflation Aversion of the Bundesbank: A State-Space Approach. Journal of
36. Economic Dynamics and Control(30), 1671–1686.
37. Lebe, F., & Bayat, T. (2011). Taylor Kuralı: Türkiye İçin Bir
38. Vektör Otoregresif Model Analizi. Ege Akademik Bakış, , 95-112. Lin, S., & Ye, H. (2007). Does inflation targeting really make a difference? Evaluating the treatment effect of inflation targeting in seven industrial countries. Journal of Monetary Economics, 54, 2521-2533.
39. Martin, C., & Milas, C. (2010). Financial Stability and Monetary Policy. Working Paper. Bath, U. K.: Department of Economics, University of Bath( Working Papers; 05/10).
40. Muscatelli, V., Tirelli, P., & Trecroci, C. (2002). Does institutional change really matter? Inflation targets,
41. Central Bank Reform and Interest Rate Policy in the OECD Countries. Manchester Schoo, 70(4), 487–527. Neumann, M., & von Hagen, J. (2002). Does inflation targeting matter? Zentrum für Europaische Integration Forschung, B01.
42. Omay, T., & Hasanov, M. (2010). Türkiye İçin Reksiyon
43. Fonksiyonunun Doğrusal Olmayan Modelle Tahmin Edilmesi. Çankaya University Journal of Humanities and Social Sciences, 7(2), 467-490. Onur, S. (2008). Türkiye Ekonomisi’nde Faiz Oranları–
44. Enflasyon İlişkisi Üzerine Bir Model Denemesi (1980– ). Journal of Qafquaz University, 24, 123-145.
45. Orphanides, A. (1997). Monetary Policy Rules Based on Real-Time Data. Board of Governors of the Federal Reserve System.
46. Orphanides, A. (2001). Monetary Policy Rules Based on Real-Time Data. American Economic Review, 91(4), 985.
47. Orphanides, A. (2002). Monetary Policy Rules and the Great Inflation. Board of Governors of the Federal Reserve System.
48. Orphanides, A. (2007). Taylor Rules. Board of Governors of the Federal Reserve System.
49. Orphanides, A., & Williams, C. (2003). Robust Monetary
50. Policy Rules with Unknown Natural Rates. Finance and Economics Discussion Paper Series, 2003–11.
51. Perruchoud, A. (2009). Estimating a Taylor Rule with
52. Markov Switching Regimes for Switzerland. Swiss Journal of Economics and Statistics (SJES) , 145(2), 187- Shi, Z. (2012). Empirical Analysis of Chinese Monetary
53. Policy Rules on Forward-looking Taylor Reaction Function. Journal of Convergence Information Technology(JCIT), 7(14). Sims, C., & Zha, T. (2006). “Were There Regime Switches in U.S. Monetary Policy? American Economic Review, (1), 54–81.
54. Taylor, J. (1993). Discretion Versus Policy Rules in
55. Practice. Carnegie-Rochester Conference Series on Public Policy, 39, s. 195–214. Taylor, M., & Davradakis, E. (2006). Interest Rate Setting and Inflation Targeting: Evidence of a Nonlinear Taylor
56. Rule for the United Kingdom. Studies in Nonlinear Dynamics & Econometrics, 10(4), -. Vilademir, K. (2006). The inflation aversion of the Bundesbank: A state space approach. Journal of
57. Economic Dynamics & Control, 30, 1671-1686.
58. Yapraklı, S. (2011). Türkiye’de Açık Ekonomi Para
59. Politikası Kuralının Geçerliliği: Sınır Testi Yaklaşımı. İş, Güç” Endüstri İlişkileri ve İnsan Kaynakları Dergis, 13(1), 142. Yay, G. (2006). Para Politikası Stratejileri ve Enflasyon
60. Hedeflemesi. İktisat Dergisi(470-471), 3-17. Yazgan, M., & Yılmazkuday, H. (2004). Monetary Policy
61. Rules in Practice: Evidence from Turkey and Israel. Applied Financial Economics, 17(1), 1-14. Zheng, T., Wang, X., & Guo, H. (2012). Estimating forward-looking rules for China’s Monetary Policy: A regime-switching perspective. China Economic Review, , 47-59.