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Taylor Kuralı: Türkiye için Bir Vektör Otoregresif Model Analizi

Year 2011, Volume: 11 Özel Sayı, 95 - 112, 01.11.2011

Abstract

Son zamanlarda merkez bankaları para politikası stratejilerini,
duruma göre politikalar yerine açıkça belirlenmiş kurallara
dayalı olarak belirleme eğilimindedir. Merkez bankalarının
uyguladıkları politikaların tahmin edilebilir olabilmesinin en
basit yolu, politika uygulamalarının merkez bankasının geliştirdiği
basit kurallara göre yürütülmesidir. Merkez bankalarınca
yürütülen para politikasının daha fazla tahmin edilebilir
kılınması, ekonomik birimleri politika sürprizlerine karşı kendilerini
garantiye almak zorunda bırakmamakta ve politika
uygulamalarının topluma yansıyacak maliyetini azaltabilmektedir.
Optimal bir politika kuralı karmaşık modellere dayalı
olabilmektedir. Fakat karmaşık modeller, duruma göre politikaların
neden olduğu problemlerin çözümünü zorlaştırabilir,
hatta imkânsızlaştırabilir. Çünkü karmaşık kurallar için ihtiyaç
duyulan tüm bilgi halk tarafından takip edilemeyecektir. Taylor
Kuralı gibi basit kurallar ise daha kolay anlaşılabilmekte ve uygulanabilmektedir.
Bununla birlikte, Orijinal Taylor Kural’ında
döviz kuru yer almamaktadır.
Bu çalışmada ise, Taylor Kuralı döviz kurunu da içerecek şekilde
genişletilmiştir. Bu nedenle, bazı gelişmiş ülkeler için geçerli
olan Taylor Kuralı’nı Türkiye için geçerliliğini Genişletilmiş Taylor
bilgi setini oluşturan değişkenler kullanılarak araştırılması
amaçlanmaktadır. Ancak, bu çalışma mevcut literatürden farklı
olarak Türkiye için Taylor Kuralı’nın geçerliliği çeşitli faiz oranlarına
göre model denemeleri yapılarak test edilmeye çalışılacaktır.
Bu amaçla, araştırmada 1986:5-2010:9 dönemini kapsayan
aylık veriler kullanılarak VAR yöntemiyle analiz yapılmıştır.
Yapılan analiz sonucu, her üç model için olmasa da genelde
Türkiye’de faizlerin Taylor Kuralı’na bağlıymış gibi hareket ettiği
söylenebilir. Ayrıca, para politikası aracı olarak MB’nın kısa
vadeli krediler için öngördüğü reeskont faiz oranı temel alınarak
yürütüldüğünde daha istenir sonuçlar vermesinden dolayı
politika yapıcılarının Türkiye için bu politika seçeneğinin dikkate
alması gerektiği ifade edilebilir.

References

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  • Çağlayan, E. and Astar, M. (2010) “Taylor Rule: Is it an Applicable Guide for Inflation Targeting Countries?” Journal of Money Investment and Banking, 18:55-67.
  • Davidson, R. and MacKinnon, J.G. (1993) “Estima- tion and Inference in Econometrics” London, Oxford University Press.
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Taylor Rule: A Vector Autoregressive Model Analysis For Turkey

Year 2011, Volume: 11 Özel Sayı, 95 - 112, 01.11.2011

Abstract

In recent years, central banks are willing to determine monetary
policy strategies according to a rule introduced by policy
makers instead of discretionary policy decisions. The easiest
way of increasing predictability of policies practiced by central
banks is to practice policy according to a simple rule developed
by policy makers. Increasing predictability of monetary
policy gives chance to households to guarantee themselves
in the case of policy surprises and reduces social cost of monetary
policy applications. An optimal policy rule may depends
on complex models. But complex models can complicate solution
of problems caused by discreationary policies. Because
all the important information needed for complex rules can
not be collected by households. In this respect, simple rules
like Taylor rule is easy to understand and to apply. But original
policy reaction function constructed by Taylor (1993) does not
include exchange rate.
In this study, Taylor rule is extended by implicating exchange
rate into policy reaction function. By doing so, Taylor rule
which is valid for some developed countries is investigated
for the Turkish economy and validity of the rule is tested. Unlike
the existing literature, validity of Taylor rule in the Turkish
economy is analysed by modelling according to different type
of interest rates. With this aim, monthly data belonging to the
Turkish economy including years between 1986:5 and 2010:9
is used and VAR methodology is employed. At the end of the
analysis, results imply that although it is not valid for all three
interest rate types, interest rates move in the context of Taylor
rule in general. Also, results of Taylor type reaction function
based on discount rate of the CBRT used as monetary policy
tool is more useful and policy makers have to take the rule into
consideration in policymaking decisions.

References

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  • Aklan, N.A. ve Nargeleçekenler, M. (2008b) “Taylor Kuralı: Türkiye Üzerine Bir Değerlendirme” Ankara Üni- versitesi SBF Dergisi, 63(2):21-41.
  • Aktan, C.C. (2003), Etkin Devlet, Konya, Çizgi Ki- tabevi.
  • Altavilla, C. (2003) “Assessing Monetary Rules Per- formance Across Emu Countries” International Journal of Finance and Economics, 8:131-151.
  • Ball, L. (1999) “Policy Rules for Open Economies” John B. Taylor (eds.) Monetary Policy Rules, Chicago,University of Chicago Press.
  • Batini, N. and Nelson, E. (2000) “Optimal Horizons in Inflation Targeting” Bank of England, Working Paper, No:119.
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  • Carstensen, K. (2006) “Estimating the ECB Policy Reaction Function” German Economic Review, 7(1):1-34.
  • Chadha, J.S. and Nolan, C. (2007) “Optimal Simple Rules for the Conduct of Monetary and Fiscal Policy” Journal of Macroeconomics, 29:665-689.
  • Charezma, W.W. and Deadman, D.F. (1993) “New Directions in Econometric Practice” USA, Edward Elgar.
  • Chen, Y.and Kulthanavit, P. (2008) “Adaptive Lear- ning and Monetary Policy in an Open Economy: Les- sons from Japan” Conomic Review, 13(4):405-430.
  • Choi, W.G. and Wen, Y. (2010) “Dissecting Tay- lor Rules in a Structural VAR”, IMF Working Paper, No:10/20.
  • Clarida, R., Gali, J. and Gertler, M. (1998) “Mone- tary Policy Rules in Practice: Some International Eviden- ce” European Economic Review, 42(6):1033-1067.
  • Clarida, R., Gali, J. and Gertler, M. (1999) “The Sci- ence of Monetary Policy: A New Keynesian Perspective” Journal of Economic Literature, American Economic As- sociation, 37(4):1661-1707.
  • Clarida, R.; Gali, J. and Gertler, M. (2000) “Mone- tary Policy Rules and Macroeconomic Stability Evidence and Some Theory” The Quarterly Journal of Economics, 115(1):147-180.
  • Clausen, V. and Hayo, B. (2002) “Monetary Policy in The Euro Area-Lessons from the First Years” Internati- onal Economics and Economic Policy, 1(4):349-364.
  • Cote, D., Kuszczak, J., Lam, J.P., Liu, Y. and Amant, S.P. (2002) “The Performance and Robustness of Simple Monetary Policy Rules in Models of the Canadian Eco- nomy” Canadian Journal of Economics, 37(4):978-998.
  • Çağlayan, E. (2005) “Türkiye’de Taylor Kuralı’nın Geçerliliğinin Ekonometrik Analizi” Marmara Üniversi- tesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 20(1):379- 392.
  • Çağlayan, E. and Astar, M. (2010) “Taylor Rule: Is it an Applicable Guide for Inflation Targeting Countries?” Journal of Money Investment and Banking, 18:55-67.
  • Davidson, R. and MacKinnon, J.G. (1993) “Estima- tion and Inference in Econometrics” London, Oxford University Press.
  • Drew, A. and Hunt, B. (1999) “Efficient Simp- le Policy Rules and the Implications of Potential Out Uncertainty” Journal of Economics and Business Elsevier, 52(2):143-160.
  • Drumetz, F. and Vendelhan, A. (1997) “The Taylor Rule: Application And Limits”, Banque De France Bulle- tin Digest, 46:35-41.
  • Eleftheriou, M. (2009) “Monetary Policy in Ger- many: A Cointegration Analysis on the Relevance of Interest Rate Rules” Economic Modelling, 26(5):946-960.
  • English, W.B., Nelsoni, W.R. and Sack, B.P. (2002) “Interpreting the Significance of the Lagged Interest Rate in Estimated Monetary Policy Rules” Division of Monetary Affairs Board of Governors of the Federal Reserve System, 24: 1-27.
  • Erler, A. and Krizanac, D. (2009) “Taylor Rule and Subprime Crisis” http://ssrn.com/abstract=1507143, (19.04.2011)
  • Erdal, F. and Güloğlu, B. (2005) “Modelling Real Exchange Rate Behaviour with the Taylor Rule: An Em- pirical Analysis” Proc. The International Conference on Policy Modeling, EcoMod, Istanbul.
  • Erdem, E. and Kayhan, S. (2011) “The Taylor Rule in Estimating the Performance of Inflation Targeting Programs: The Case of Turkey” Global Economy Journal, 11(1):1-7.
  • Eschenhof, S. (2009) “Standard Taylor rules Revisited-A Cross Country Study for European Co- untries” Darmstadt Discussion Papers in Economics, No:40391.
  • Faust, J., Rogers, J.H. and Wright, J.H. (2001) “An Empirical Comparison of Bundesbank and ECB Mone- tary Policy Rules” International Finance Discussion Pa- pers, No:705.
  • Florens, C., Jondeau, E. and Bihan, H.L. (2001) “As- sessing GMM Estimates of the Federal Reserve Reaction Function” Banque de France Working Papers, No:83.
  • Galí, J. (2002) “New Perspectives on Monetary Po- licy, Inflation, and the Business Cycle” NBER Working Paper, No:8767.
  • Gerdesmeier, D. and Roffia, B. (2003) “Empirical Estimates of Reaction Functions for the Euro Area” ECB Working Paper, No:206.
  • Gerdesmeier, D. and Roffia, B. (2004) “Taylor Rules for the Euro Area: The Issue of Real-Time Data”, Dis- cussion Paper, Studies of the Economic Research Centre, No:37/2004.
  • Gerlach, S. and Schnabel, G. (1999) “The Taylor Rule and Interest Rates in the EMU Area” Economics Letters, 67(2):165-171.
  • Gerlach-Kristen, P. (2003) “Interest Rate Reaction Functions and the Taylor Rule in the Euro Area” Wor- king Paper, No:258.
  • Golinelli, R. and Rovelli, R. (2005) “Monetary Po- licy Transmission, Interest Rate Rules and Inflation Tar- geting in Three Transition Countries” Journal of Banking and Finance, 29:183-202.
  • Goodfriend, M. (1993) “Interest Rate Policy and the Inflation Scare Problem:1979-1992” Federal Reserve Bank of Richmond Economic Quarterly, 79:1-23.
  • Gorter, J., Jacobs, J. and de Haan, J. (2008) “Taylor Rules Fort he ECB Using Expectations Data” Scandina- vian Journal of Economics, 110(3):473–488.
  • Gujarati, D.N. (1995) “Basic Econometrics” 3th Press, McGraw-Hill.
  • Hsing, Y. (2004) “Estimating the Bank of Japan’s Monetary Policy Reaction Function” Banca Nazionale Del Lavoro Quarterly Review, 57:169-183.
  • Hsing, Y. (2009) “Is the Monetary Policy Rule Res- ponsive to Exchange Rate Changes? The Case of Indone- sia, Malaysia, the Philippines, and Thailand” Internatio- nal Review of Economics, Springer, 56(2):123-132.
  • Huston, J.H and Spencer, R. (2005) “International Monetary Policy: A Global Taylor Rule” International Advances in Economic Research, 11(2):125-134.
  • Iklaga, F.O. (2008) “Estimating a Monetary Policy Reaction Function For The Central Bank of Nigeria (1999-2007)” Unpublished Paper, Columbia University.
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There are 88 citations in total.

Details

Other ID JA64KK93HU
Journal Section Research Article
Authors

Fuat Lebe This is me

Tayfur Bayat This is me

Publication Date November 1, 2011
Published in Issue Year 2011 Volume: 11 Özel Sayı

Cite

APA Lebe, F., & Bayat, T. (2011). Taylor Rule: A Vector Autoregressive Model Analysis For Turkey. Ege Academic Review, 11(5), 95-112.
AMA Lebe F, Bayat T. Taylor Rule: A Vector Autoregressive Model Analysis For Turkey. ear. November 2011;11(5):95-112.
Chicago Lebe, Fuat, and Tayfur Bayat. “Taylor Rule: A Vector Autoregressive Model Analysis For Turkey”. Ege Academic Review 11, no. 5 (November 2011): 95-112.
EndNote Lebe F, Bayat T (November 1, 2011) Taylor Rule: A Vector Autoregressive Model Analysis For Turkey. Ege Academic Review 11 5 95–112.
IEEE F. Lebe and T. Bayat, “Taylor Rule: A Vector Autoregressive Model Analysis For Turkey”, ear, vol. 11, no. 5, pp. 95–112, 2011.
ISNAD Lebe, Fuat - Bayat, Tayfur. “Taylor Rule: A Vector Autoregressive Model Analysis For Turkey”. Ege Academic Review 11/5 (November 2011), 95-112.
JAMA Lebe F, Bayat T. Taylor Rule: A Vector Autoregressive Model Analysis For Turkey. ear. 2011;11:95–112.
MLA Lebe, Fuat and Tayfur Bayat. “Taylor Rule: A Vector Autoregressive Model Analysis For Turkey”. Ege Academic Review, vol. 11, no. 5, 2011, pp. 95-112.
Vancouver Lebe F, Bayat T. Taylor Rule: A Vector Autoregressive Model Analysis For Turkey. ear. 2011;11(5):95-112.