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

Year 2018, Volume: 9 Issue: 1, 1 - 16, 31.01.2018

Kaya Tokmakçıoğlu , Oğuzhan Özçelebi

https://doi.org/10.18354/esam.340725

Abstract

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.

Keywords

SVAR, real exchange rate, bond yield

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

Abstract

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.

Keywords

Yapısal VAR, reel döviz kuru, tahvil faizi

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