INTERACTIONS BETWEEN SHORT, LONG-TERM INTEREST RATES AND REAL EXCHANGE RATE WITHIN SVAR FRAMEWORK

Öz

After the 2008-2009 financial crisis, national and international spillover effects of FED's monetary policies have become the subject of many scientific studies. In this study, the relationship between US overnight Interbank rates, 10-year US and UK bond rates and the US real exchange rate was examined using the Blanchard-Quah type structured VAR (SVAR) model. The finding that the contractionary monetary policy in the US will lead to appreciation of the real exchange rate has also been supported by the variance decomposition analysis which is in line with the Mundell-Fleming model. Another result of the study is that the contractionary monetary policy in the US will increase confidence in the US economy and lead to significant capital inflows. The study also indicated that changes in the US monetary policy would have impact on the central bank and money market in the UK. Our SVAR model highlights the role of short-term interest rates of the US to mitigate fluctuations in money, good and foreign exchange markets.

Anahtar Kelimeler

• SVAR,real exchange rate,bond yield

YAPISAL VAR MODELİ ÇERÇEVESİNDE KISA VE UZUN VADELİ FAİZ ORANLARI İLE REEL DÖVİZ KURU ARASINDAKİ ETKİLEŞİM

Öz

2008-2009 finansal krizinden sonra FED’in uyguladığı para politikalarının ulusal ve uluslararası ölçekteki yayılma etkisi birçok bilimsel çalışmanın konusu haline gelmiştir. Bu çalışmada, ABD gecelik Interbank borçlanma faizleri, 10-yıllık ABD ve İngiltere tahvil faizi ve ABD reel döviz kuru arasındaki ilişkiler Blanchard-Quah tipi yapısal VAR (SVAR) modeliyle incelenmiştir. ABD’deki daraltıcı para politikasının reel döviz kurunun değer kazanmasına neden olacağı bulgusuna ulaşılmış, Mundell-Fleming modeli doğrultusundaki ilgili sonuç varyans ayrıştırması analiziyle de desteklenmiştir. Çalışmanın bir diğer bulgusu ise ABD’de uygulanacak daraltıcı para politikasının ABD ekonomisine yönelik güveni arttıracağı ve kayda değer sermaye girişlerine neden olacağıdır. Çalışma sonuçları ayrıca ABD’deki para politikasındaki değişikliklerin İngiltere merkez bankası ve para piyasası üzerinde yansıma bulacağına işaret etmiştir. SVAR modelimiz, para, mal ve döviz piyasasındaki dalgalanmaların hafifletilmesinde ABD’deki kısa vadeli faizlerin rolünün altını çizmiştir.

Anahtar Kelimeler

• Yapısal VAR,reel döviz kuru,tahvil faizi

Kaynakça

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