Regime-Dependent Monetary Policy Responses and Welfare Losses Under Growth Volatility: A Regime-Switching MS-VAR Analysis for Türkiye

Abstract

This study investigates whether monetary policy responses in Türkiye differ across growth volatility regimes and examines the implications for welfare-related macroeconomic stability losses. The analysis uses quarterly data from the first quarter of 2002 to the fourth quarter of 2024 and employs a reduced-form Markov-Switching Vector Autoregressive (MS-VAR) model. Monetary policy is modeled through an extended Taylor rule with regime-dependent reaction coefficients. Model parameters are estimated by maximum likelihood, and regime probabilities are obtained using the Hamilton filter. The regimes are estimated endogenously rather than predetermined based on historical periods. The findings indicate two distinct growth regimes: stability and high volatility. In the high-volatility regime, growth volatility increases and the monetary policy response to inflation weakens, while responses to the exchange rate and real economic indicators strengthen. The welfare analysis shows that welfare losses arising from fluctuations in inflation, output, and unemployment differ across regimes. The findings suggest that monetary policy responses and welfare-related macroeconomic stability outcomes may be sensitive to macroeconomic regime conditions.

Keywords

• Growth Volatility
• Regime-Dependent Monetary Policy Responses
• Markov-Switching VAR
• Welfare Losses
• Türkiye Economy

Büyüme Oynaklığı Koşullarında Rejime Bağlı Para Politikası Tepkileri ve Refah Kayıpları: Türkiye İçin Rejim Geçişli MS-VAR Analizi

Abstract

u çalışma, Türkiye ekonomisinde para politikası tepkilerinin büyüme oynaklığı rejimlerine göre farklılaşıp farklılaşmadığını ve bu farklılıkların refahla ilişkili makroekonomik istikrar kayıpları üzerindeki etkilerini incelemektedir. Analizde, 2002 yılının birinci çeyreğinden 2024 yılının dördüncü çeyreğine kadar olan dönemi kapsayan çeyreklik veriler ve indirgenmiş form Markov-Switching Vektör Otoregresif (MS-VAR) modeli kullanılmıştır. Para politikası, rejime bağlı tepki katsayıları içeren genişletilmiş bir Taylor kuralı çerçevesinde modellenmiştir. Model parametreleri maksimum olabilirlik yöntemiyle tahmin edilmiş, rejim olasılıkları Hamilton filtresiyle elde edilmiştir. Rejimler tarihsel olarak önceden belirlenmemiş, model tarafından içsel olarak tahmin edilmiştir. Bulgular, Türkiye ekonomisindeki büyüme sürecinin istikrar ve yüksek oynaklık olmak üzere iki farklı rejim altında ayrıştığını göstermektedir. Yüksek oynaklık rejiminde büyüme oynaklığı artmakta ve para politikasının enflasyona verdiği tepki zayıflarken, döviz kuru ve reel göstergelere verilen tepkiler güçlenmektedir. Refah analizi, enflasyon, çıktı ve işsizlik dalgalanmalarından kaynaklanan refah kayıplarının rejimler arasında farklılaştığını göstermektedir. Bulgular, para politikası tepkilerinin ve refahla ilişkili makroekonomik istikrar sonuçlarının makroekonomik rejim koşullarına duyarlı olabileceğine işaret etmektedir.

Keywords

• Büyüme Oynaklığı
• Rejime Bağlı Para Politikası Tepkileri
• Markov-S͏witching͏ VAR
• Refah Kayıpları
• Türkiye Ekonomisi

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