Türkiye'de Para Talebinin İstikrarı ve Sınır Testi Yaklaşımıyla Öngörülmesi: 1985a€"2006

Yıl 2008, Sayı: 30, 15 - 46, 01.07.2008

Yrd. Doç. Dr. halil Altıntaş

Öz

Bu çalışma Türkiye’de 1985Q4-2006Q4 üç aylık dönemi verileri kullanılarak geniş tanımlı para talebi (M2) ile onun belirleyicileri (reel gelir, faiz oranı ve döviz kuru) arasındaki uzun dönem ilişkiyi ve para talebinin istikrarını analiz etmeyi amaçlamaktadır. Sınır testi yaklaşımına CUSUM ve CUSUMQ testleri uygulanarak elde edilen sonuçlar, para talebi ile onun belirleyicilerinin eşbütünleşik olduklarını göstermiş ve para talebi fonksiyonunun da istikrarlı olduğunu ortaya koymuştur

Anahtar Kelimeler

M2 Para Talebi, İstikrar, ARDL, Türkiye

Kaynakça

• AKINLO, A. E.; (2006), “The Stability of Money Demand in Nijeria: An Autoregressive Distributed Lag Approach”, Journal of Policy Modelling, 28(4), ss. 445-452.
• ANDOH, S. K. ve D. CHAPPELL; (2002), “Stability of The Money Demand Function: Evidence From Ghana”, Applied Economics Letters, 9(13), ss. 875-878.
• ARANGO, S. ve M. I. NADIRI; (1981), “Demand for Money in Open Economies” Journal of Monetary Economics, 7(1), ss. 69–83.
• AUSTIN, D., B. WARD ve P. DALZIEL; (2007), “The Demand for Money in China 1987–2004: A Non-Linear Modeling Approach”, China Economic Review, 18(2), ss. 190–204.
• BAHMANI-OSKOOEE, M. ve M. POURHEYDARIAN; (1990), “Exchange Rate Sensitivity of The Demand for Money and Effectiveness of Fiscal and Monetary Policies”, Applied Economics, 22(7), ss.917– 925.
• BAHMANI-OSKOOEE, M.; (1991), “The demand for Money in An Open Economy: The United Kingdom”, Applied Economics, 23(6), ss.1037 – 1042.
• BAHMANI-OSKOOEE, M.; (1996), “The Black Market Exchange Rate and The Demand for Money in Iran” Journal of Macroeconomics, 18(1), ss. 171–176.
• BAHMANI-OSKOOEE, M.; (2001), “How Stable is M2 Money Demand Function Stable in Japan?”, Japan and World Economy, 13(4), ss.455-461.
• BAHMANI-OSKOOEE, M ve S. SUNGWON; (2002), “Stability of The Demand for Money in Korea”, International Economic Journal, 16(2), ss.85- 95.
• BAHMANI-OSKOOEE, M. ve R.C.W. NG (2002) “Long-Run Demand for Money in Hong Kong: An Application of the ARDL Model”, International Journal of Business and Economics, 1(1), ss.147- 155.
• BAHMANI-OSKOOEE, M. ve C. ECONOMIDOU; (2005), “How Stable is The Demand for Money in Greece?”, International Economic Journal, 19(3), ss. 461 – 472.
• BAHMANI-OSKOOEE, M. ve M. KARACAL; (2006), “The Demand for Money in Turkey and Currency Substitution”, Applied Economics Letters, 13(10), ss. 635–642.
• BALL, L.; (2001), “Another Look at Long-Run Money Demand”, Journal of Monetary Economics, 47(1), ss.31- 44.
• BANERJI, A.; (2002), Money Demand in Russian Federation: Selected Issues and Statistical Appendix, IMF Staff Country Report No. 02/75.
• BUCH, C.M.; (1998), “Russian Monetary Policy-Assessing the Track Record”, Economic Systems, 22(2), ss.105–145.
• BREUER, J. B. ve A. F. LIPPERT; (1996), “Breaks in Money Demand”, Southern Economic Journal, 63(2), ss. 496–506.
• BROWN, R. L., J. DURBIN ve J. M. EVANS; (1975), "Techniques for Testing the Constansy of Regression Relations over Time", Journal of Royal Statistical Society, Series B, 37, ss.149-163.
• CHEN S.L. ve J. L. WU (2005) “Long-Run Money Demand Revisited: Evidence From A Non-Linear Approach”, Journal of International Money and Finance, 24(1), ss. 19–37.
• CHOI, W. G. ve S. OH; (2003), “A Money Demand Function with Output Uncertainty, Monetary Uncertainty and Financial Innovation”, Journal of Money, Credit, and Banking, 35(5). ss. 685-709.
• CHOUDHRY, T.; (1998), “Another Visit to the Cagan Model of Money Demand: The Latest Russian Experience”, Journal of International Money and Finance, 17(2) ss. 355–376.
• COOLEY, T. ve S. LEROY; (1981), “Identification and Estimation of Money Demand”, American Economic Review, 71(5), ss. 825–844.
• CZIRAKY, D. ve M. GILLMAN; (2006), “Money Demand in an Eu Accession Country: A VECM Study of Croatia”, Bulletin of Economic Research, 58(2), ss. 105-127.
• DARRAT, A. F.; (1986), ”The Demand for Money in Some Major OPEC Members: Regression Estimates and Stability Results”, Applied Economics, 18(2), ss. 127-142.
• DICKEY, D. ve W. A. FULLER; (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with A Unit Root”, Econometrica, 49(4), ss. 1057-1072.
• DUTKOWSKY, D. H. ve H. S. ATEŞOĞLU; (2001), “Demand for Money: A Structural Economic Investigation”, Southern Economic Journal, 68(1), ss.92-106.
• ENGLE, R.F. ve C.W.J. GRANGER; (1987), Cointegration and Error Correction: Representation, Estimation and Testing. Econometrica, 55 (2), ss.251-276.
• FISCHER A. M; (2007), “Measuring Income Elasticity for Swiss Money Demand: What Do The Cantons Say About Financial Innovation”, European j.euroecorev.2006.12.002). (in Press, doi:10.1016/
• FUNKE, M.; (2001), “Money Demand in Euroland”, Journal of International Money and Finance, 20(5), ss. 701–713.
• FRENKEL, J.; (1977) "The Forward Exchange Rate, Expectation , and the Demand for Money: The German Hyperinflation" American Economic Review 67(4), ss. 653-70.
• FRENKEL, J.; (1980) "The forward Exchange Rate, Expectation, and the Demand for Money- The German Hyperinflation:Repl" American Economic Review 70, ss.771-775
• FRIEDMAN, M. ve A. J. SCHWARTZ; (1982), Monetary Trends in the United States and the United Kingdom: Their Relation to Income, Prices and Interest Rates, 1867-1975, University of Chicago Pres, Chicago.
• GEORGOPOULOS G. J.; (2006), “Estimating The Demand for Money in Canada: Does Including An Own Rate of Return Matter?”, The Quarterly Review of Economics and Finance, 46 (4), ss. 513–529.
• GOLDFELD, S.; (1973), “The Demand for Money Revisited”, Brookings Papers Economic Activity, 3, ss. 577– 635.
• HAFER, R.W ve D.W. JANSEN; (1991), “The Demand For Money in The United States: Evidence from Cointegration Tests”, Journal of Money, Credit, and Banking, Vol. 23(2), ss. 155–168.
• HENDRY, D. ve N. ERICSSON; (1991), “Modeling The Demand for Narrow Money in The United Kingdom and The United States”, European Economic Review, 35(4), ss.833– 886.
• HOFFMAN, D.L. ve R.H. RASCHE; (1991), “Long-Run Income And Interest Elasticities of Money Demand in The United States”. The Review of Economics and Statistics, 73 (4), ss. 665–674.
• HOMARI, N. ve S. HOMARI; (1999), “Stability of The Money Demand Function in Germany”, Applied Economics Letters, 6(5), ss.329- 332.
• HONDROYIANNIS, G., P.A.V.B. SWAMY, ve G. S. TAVLAS; (2001), “The Time-Varying Performance of The Long-Run Demand For Money in The United States”, Economic Inquiry, 39(1), ss. 111-123.
• HAUG, A.A. ve R.F., LUCAS; (1996), “Long-Run Money Demand in Canada: in Search of Stability”, The Review of Economics And Statistics 78(2), ss.345–348.
• HAUG, A.A; (2006), “Canadian Money Demand Functions: Cointegration- Rank Stability” The Manchester School” 74(2), ss. 214–230.
• HAUG, A. A. ve J. TAM; (2007), “A Closer Look at Long-Run U.S. Money Demand: Linear or Nonlinear Error-Correction with M0, M1 or M2?” Economic Inquiry, 45(2), ss.363-376.
• HSING, Y.; (1989), “On the Variable Money Demand Elasticity: The Case of Taiwan”, International Economic Journal, 3(3, ss. 43 – 52.
• JOHANSEN, S.; (1988), “Statistical Analysis of Cointegration Vectors, Journal of Economic Dynamics and Control, 12(2-3), ss. 231- 254.
• JOHANSEN, S. ve K. JUSELIUS; (1990), “Maximum Likelihood Estimation and Inference on Cointegration-with Applications to The Demand for Money, Oxford Bulletin of Economics and Statistics, 52(2), ss. 169–210.
• JONSSON, G.; (2001), Inflation, Money Demand, and Purchasing Power Parity in South Africa, IMF Staff Papers, 48(2), ss. 243-265.
• JUDD, J. P. ve J. L. SCADDING; (1982), “The Search for A Stable Money Demand Function: A Survey of The Post-1973 Literature”, Journal of Economic Literature, 20(3), ss. 993–1023.
• KING, R., C., PLOSSER, J. STOCK, ve M. WATSON; (1991), “Stochastic Trends and Economic Fluctuations”. American Economic Review, 81(4), ss. 819–840.
• KOĞAR, Ç. İ.; (1995), Cointegration Test For Money Demand The Case for Turkey and Israel, Discussion Paper, No: 9514, The Central Bank of The Republic of Turkey, Research Department.
• KNELL, M. ve H. STIX (2005), “The Income Elasticity of Money Demand: A Meta-Analysis of Empirical Results”, Journal of Economic Surveys, 19(3), ss. 513-533.
• KREMERS, J.J., N.R. ERICSON ve J.J. DOLADO; (1992), “The Power of Cointegration Tests”, Oxford Bulletin of Economics and Statistics, 54(3), ss. 355-347.
• LAIDLER, E. W. D. (1993) The Demand for Money: Theories, Evidence and Problems, 4. Edition, Harper Collins College Publishers, New York.
• MANKIW, N.; (1991), The Reincarnation of Keynesian Economics, NBER Working Paper No. 3885.
• ONAFOWORA, O.A. ve O. OWOYE; (2005), “Currency Substitution and The Stability of the Demand For Money in East Asia”, Global Economic Review, 34(2), ss. 233/259.
• OOMES, N. ve F. OHNSORGE; (2005), “Money Demand and Inflation in Dollarized Economies: The Case of Russia”, Journal of Comparative Economics, 33(3), ss. 462–483.
• ORDONEZ, J.; (2003), “Stability and Non-Linear Dynamics in The Broad Demand for Money in Spain”, Economics Letters, 78(1), ss. 139– 146.
• ÖZDEMIR, K. A. ve P. TURNER; (2007), “A Monetary Disequilibrium Model For Turkey: Investigation of A Disinflationary Fiscal Rule and its Implications For Monetary Policy”, Journal of Policy Modeling, (in Press, doi:10.1016/j.jpolmod.2007.02.004, ss. 1-13.
• PESARAN, H., ve Y. SHIN; (1995), “An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis”, iç. S. Strom, A. Holly ve A. Diamond (Eds.), Centennial Volume of Ranger Frisch, Cambridge University Press.
• PESARAN, H.; Y.SHIN ve R.J SMITH; (1996), “Testing for Existence of A Long-Run Relationship”, DAE Working Paper, No. 9622, Department of Applied Economics, University of Economics.
• PESARAN, H.; Y.SHIN ve R..J SMITH; (2001), “Bound Testing Approaches to the Analysis of Long Run Relationships”, Journal of Applied Econometrics, 16(3) ss. 289-326.
• PELIPAS, I.; (2006), “Money Demand and Inflation in Belarus: Evidence from Cointegrated VAR”, Research in International Business and Finance, 20(2), ss. 200–214.
• PRADHAN, K. B. ve A. SUBRAMANIAN; (2003), “On The Stability of Demand for Money in A Developing Economy Some Empirical Issues”, Journal of Development Economics, 72(1), ss. 335– 351.
• RAMACHANDRAN, M.; (2004), “Do Broad Money, Output, and Prices Stand for A Stable Relationship in India?”, Journal of Policy Modeling, 26(8-9), ss. 983–1001.
• SARGENT, T. ve N. WALLACE; (1975), “Rational Expectations, The Optimal Monetary Policy Instrument and Optimal Money Supply”, Journal of Political Economy, 83(2), ss. 241– 254.
• SRIRAM, S. S.; (2002), “Determinants and Stability of Demand for M2 in Malasia”, Journal of Asian Economics, 13(3), ss. 337-356.
• STOCK, J. ve M. W. WATSON; (1993); “A Simple Estimator of Cointegrating Vectors in Higher Order Integrated System” Econometrica, 61(4), ss.783–820.
• TANG, T. C.; (2004), “Demand for Broad Money and Expenditure Components in Japan: An Empirical Study”, Japan and the World Economy, 16(4), ss. 487–502.
• WU, C. S.; J. L. LIN, G. C. TIAO ve D. D. CHO; (2005), “Is Money Demand in Taiwan Stable?”, Economic Modelling, 22(2), ss. 327-346.