Testing the Strategic Interaction Between FED and CBRT Policy Decisions: Toda-Yamamoto Approach

Abstract

This study is based on analyzing a strategic interaction situation between Federal Reserve Bank(FED) and Central Bank of the Republic of Turkey(CBRT) policy decisions. In this context, our study analyzes whether the policies implemented by the CBRT are affected by the policy decisions of the FED through a theoretical leader-follower relationship. For this, the interaction game between FED and CBRT is theoretically modeled. The hypotheses proposed in the model were tested using the Toda-Yamamoto approach for the 2006M01-2020M12 periods. Findings show that the game is theoretically the leader of the FED and a leader-follower situation arises between the FED and the CB

Keywords

• Monetary policy decisions
• Game theory
• Toda-Yamamoto causality test

FED VE TCMB Politika Kararları Arasındaki Stratejik Etkileşimin Testi: Toda-Yamamoto Yaklaşımı

Abstract

Bu çalışma Federal Rezerv Bankası(FED) ve Türkiye Cumhuriyet Merkez Bankası(TCMB) politika kararları arasında stratejik bir etkileşim durumunu inceleme üzerine kurulmuştur. Bu çerçevede, çalışma TCMB’ nin uyguladığı politikaların, FED’ in politika kararlarından etkilenip etkilenmediğini oyun teorik bir lider-takipçi ilişkisi üzerinden analiz etmektedir. Bunun için, FED ve TCMB arasındaki etkileşim oyun teorik olarak modellenmiştir. Modelde öne sürülen hipotezler 2006M012020M12 dönemleri için Toda-Yamamoto yaklaşımını kullanılarak test edilmiştir. Bulgular, oyun teorik olarak FED’ in lider olduğu ve FED ve TCMB arasında bir lider-takipçi durumun ortaya çıktığını göstermektedir.

Keywords

• Para politikası kararları
• Oyun teorisi
• Toda-Yamamoto nedensellik testi

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