Çoklu Politika Rejimleri Altında Parasal Aktarımın Kredi ve Döviz Kuru Kanalları: Türkiye Örneği, 2011–2025

Abstract

Bu çalışma, Ocak 2011–Aralık 2025 dönemine ait aylık veriler kullanılarak Türkiye’de farklı politika rejimleri altında parasal aktarım mekanizmasının kredi ve döviz kuru kanallarını incelemektedir. Analiz, Türkiye Cumhuriyet Merkez Bankası’nın ağırlıklı ortalama fonlama maliyeti, banka kredileri, nominal USD/TRY kuru, reel efektif döviz kuru, sanayi üretimi ve TÜFE enflasyonunu içeren altı değişkenli bir vektör hata düzeltme modeli (VECM) çerçevesinde yürütülmüştür. Johansen ve Gregory-Hansen eşbütünleşme testleri, etki-tepki analizleri, varyans ayrıştırmaları, Toda-Yamamoto testleri ile yapısal kırılma ve rejim değişimi yöntemleri kullanılmıştır. Bulgular, politika faizi yeniliklerinin banka kredilerinde kalıcı bir düşüşe yol açtığını ve kredi kanalının farklı model spesifikasyonlarında güçlü biçimde korunduğunu göstermektedir. Buna karşılık, politika faizinin enflasyon üzerindeki doğrudan etkisi model seçimine ve döneme duyarlı olup daha kırılgan sonuçlar vermektedir. Varyans ayrıştırmaları döviz kuru değişkenlerinin enflasyon dinamiklerinde önemli bir paya sahip olduğunu ortaya koymaktadır. Ayrıca yapısal kırılma ve rejim değişimi analizleri, özellikle 2018 krizi, 2021–2023 alışılmadık politika dönemi ve 2023 sonrası normalleşme sürecinde belirgin rejim bağımlılığına işaret etmektedir. Sonuçlar, kredi ve döviz kuru kanallarının Türkiye’deki parasal aktarım sürecinde önemli rol oynadığını göstermektedir.

Keywords

• Parasal Aktarım Mekanizması
• Kredi Kanalı
• Döviz Kuru Kanalı
• Rejim Bağımlılığı

Credit and Exchange Rate Channels of Monetary Transmission under Multiple Policy Regimes: Evidence from Türkiye, 2011–2025

Abstract

This study investigates the credit and exchange rate channels of the monetary transmission mechanism in Türkiye under different policy regimes using monthly data covering the period from January 2011 to December 2025. The analysis is conducted within a six-variable Vector Error Correction Model (VECM) framework, including the Central Bank of the Republic of Türkiye’s weighted average funding cost, bank credit, the nominal USD/TRY exchange rate, the real effective exchange rate, industrial production, and CPI inflation. Johansen and Gregory-Hansen cointegration tests, impulse response analysis, forecast error variance decomposition, Toda-Yamamoto causality tests, and structural break and regime-switching analyses are employed. The results show that monetary policy shocks generate a persistent decline in bank credit, confirming the robustness of the credit channel across alternative model specifications. In contrast, the direct effect of monetary policy on inflation appears more sensitive to model specification and sample period. Variance decomposition indicates that exchange rate variables explain a substantial share of inflation dynamics. Overall, the findings suggest that the credit and exchange rate channels remain key components of the monetary transmission mechanism in Türkiye, with their effectiveness varying across different policy regimes.

Keywords

• Monetary Transmission
• Credit Channel
• Exchange Rate Channel
• Regime Dependence

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