The Acts of Fear of Floating of CBRT: A Comparison for Full Fledged and Flexible Inflation Targeting Periods

Year 2014, Issue: 597, 11 - 30, 01.11.2014

Serdar Varlık

Abstract

In this study, the acts of fear of floating of the Central Bank of the Republic of Turkey (CBRT) are investigated for full fledged and flexible inflation targeting periods. Although statistical evidence indicates the existence of fear of floating in both periods, fear of floating is observed more distinctly in flexible inflation targeting because of CBRT decreases more the volatility of foreign exchange by using international reserves and policy interest rate. Furthermore, the results of reaction function for foreign exchange market interventions using Multinominal Logistic Model (MNLM) demonstrate that fear of floating has stemmed from volatilities in foreign exchange market in flexible inflation targeting implemented since October 2010. Notwithstanding, the results of MNLM could not explain the reasons of fear of floating in full fledged inflation targeting. These results are supported by coefficients of marginal effects

Keywords

Fear of Floating, Inflation Targeting, Multinominal Logistic Model

TCMB’nin Dalgalanma Korkusu Davranışları: Açık ve Esnek Enflasyon Hedeflemesi Dönemleri İçin Bir Karşılaştırma

Abstract

Bu çalışmada açık ve esnek enflasyon hedeflemesi dönemleri için Türkiye Cumhuriyet Merkez Bankası’nın (TCMB) dalgalanma korkusu davranışları incelenmektedir. İstatistiksel bulgular her iki dönemde dalgalanma korkusunun varlığına işaret etmesine rağmen, TCMB’nin uluslararası rezervleri ve politika faiz oranını kullanarak döviz kurunun oynaklığını daha fazla azaltması nedeniyle esnek enflasyon hedeflemesinde dalgalanma korkusu daha belirgin bir biçimde görülmektedir. Ayrıca Multinominal Logit Modeli (MNLM) kullanılarak kur piyasası müdahaleleri için tahmin edilen reaksiyon fonksiyonu sonuçları, TCMB’nin Ekim 2010’dan itibaren uyguladığı esnek enflasyon hedeflemesinde, dalgalanma korkusunun kur piyasasındaki oynaklıklardan kaynaklandığını göstermektedir. Buna karşın MNLM sonuçları açık enflasyon hedeflemesinde dalgalanma korkusunun nedenlerini açıklayamamaktadır. Bu sonuçlar marginal etkilerin katsayılarıyla desteklenmektedir

Keywords

Dalgalanma Korkusu, Enflasyon Hedeflemesi, Multinominal

References

• AIZENMAN, Joshua ve Yi SUN; (2012), “The Financial Crisis and Sizable International Reserves Depletion: From ‘Fear of
• Floating’ to the ‘Fear of Losing International Reserves?”, Inter- national Review of Economics and Finance, 24, pp. 250-269. ALMEKINDERS, Geert. J. ve Sylvester EIJFINGER C.W.; (1996), “A Friction Model of Daily Bundesbank and Federal Re- serve Intervention”, Journal of Banking and Finance, 20, pp. 1380.
• AKINCI, Özge, Olcay Y. ÇULHA, Ümit ÖZLALE ve Gülbin ŞAHİNBEYOĞLU; (2005), The Effectiveness of Foreign Ex- change Interventions for the Turkish Economy: A Post-Crisis
• Period Analysis, CBRT Research Department Working Paper (06), http://www.tcmb.gov.tr/research/discus/WP0506ENG. pdf, 07.04.2009
• BALL, P. Christopher ve Javier REYES; (2008), “Inflation Tar- geting or Fear of Floating in Diguise? A Broader Perspective”
• Journal of Macroeconomics, 30(1), pp. 308-326. BAŞÇI, Erdem ve Kara, A. HAKAN; (2011), “Finansal İstikrar ve Para Politikası”, İktisat İşletme ve Finans, 26(302), ss. 9-25.
• BORDO, D. Michael ve Marc FLANDREAU; (2001), Core
• Periphery, Exchange Rate Regimes and Globalization, NBER Working Paper 8584, http://www.nber.org/chapters/c9595.pdf, 10.2009
• BORIO, Claudio; (2011), Central Banking Post-Crisis: What
• Compass for Uncharted Waters?, BIS Working Papers 353, http://www.bis.org/publ/work353.pdf, 04.06.2012
• CALVO, A. Guillermo ve Carmen M. REINHART; (2000a), Fear of Floating, NBER Working Paper 7993, http://www.nber.org/ papers/w7993.pdf, 11.12.2007
• CALVO, A. Guillermo ve Carmen M. REINHART; (2000b)
• “When Capital Inflows Come to a Sudden Stop: Consequences and Policy Options”, http://mpra.ub.uni-muenchen.de/6982/1/ MPRA_paper_6982. 15.03.2009
• CALVO, A. Guillermo ve Carmen M. REINHART; (2000c), Fix- ing For Your Life, NBER Working Paper 8006, http://www.nber. org/papers/w8006.pdf, 28.11.2007
• CALVO, A. Guillermo, Alejandro IZQURIERDO ve Luis-Fer- nando MEJIA; (2004), On the Empirics of Sudden Stops: The Relevance of Balance Sheet Effects, NBER Working Paper , http://www.nber.org/papers/w10520.pdf, 16.12.2007
• CALVO, A. Guillermo; (2006), Monetary Policy Challenges in
• Emerging Markets: Sudden Stop, Liability Dollarization and Lender of Last Resort, NBER Working Paper 12788, http:// www.nber.org/papers/w12788.pdf, 13.09.2007
• CANPOLAT, Naci; (2004), “Merkez Bankası Yüzmekten
• Korkuyor mu?”, İktisat, İşletme ve Finans, 19(220), ss. 77-85. CARARE, Alina, Andrea SCHAECHTER, Mark STONE ve Mark ZELMER; (2002), Establishing Initial Conditions in Support of
• Inflation Targeting, IMF Working Paper 02(102), http://www.imf. org/external/pubs/ft/wp/2002/wp02102.pdf, 28.07.2008
• ÇAĞLAYAN, Ebru; (2005), Türkiye’de Taylor Kuralı’nın
• Geçerliliğinin Ekonometrik Analizi, Marmara Üniversitesi İ.İ.B.F. Dergisi, XX(1), ss. 379-392. DEBELLE, Guy; (1997), Inflation Targeting in Practice, IMF
• Working Paper 97(35), http://www.imf.org/external/pubs/ft/ seminar/2000/targets/strach6.pdf, 12.05.2008
• EICHENGREEN, Barry, Andrew K. ROSE ve Charles WYPLO- SZ; (1995), “Speculative Attacks on Pegged Exchange Rates
• Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks”, Economic Policy, 21, pp. 251–296. EICHENGREEN, Barry ve Ricardo HAUSMANN; (1999), Ex- change Rates and Financial Fragility, NBER Working Paper , http://www.nber.org/papers/w7418.pdf, 26.02.2007
• EICHENGREEN, Barry, Ricardo HAUSMANN ve Ugo PAN- IZZA; (2003), “The Pain of Original Sin”, http://eml.berkeley. edu/~eichengr/research/ospainaug21-03.pdf. 25.09.2010
• FERİDUN, Mete; (2012), “Liability Dollarization, Exchange Market Pressure and Fear of Floating: Empirical Evidence for Turkey”, Applied Economics, 44, pp. 1041-1056.
• FISCHER, Stanley; (2001), “Exchange Rate Regimes: Is the Bipolar View Correct?”, Journal of Economic Perspectives, (2), pp. 3-24.
• FRAGA, Arminio, Ilan GOLDFAJN ve André MINELLA; (2003)
• Inflation Targeting in Emerging Market Economies, NBER Working Paper 10019, http://www.nber.org/papers/w10019. pdf, 25.04.2008
• FREEDMAN, Charles ve Inci ÖTKER-ROBE; (2010), Important
• Elements for Inflation Targeting for Emerging Economies, IMF Working Paper 10(113), http://www.imf.org/external/pubs/ft/ wp/2010/wp10113.pdf, 03.12.2012
• FRENKEL, Michael, Christian PIERDZIOCH ve Georg STADRMANN; (2005), “Japanese and US Interventions in the Yen/US Dollar Market: Estimating the Monetary Authorities’
• Reaction Functions”, The Quarterly Review of Economics and Finance, 45(4-6), pp. 680-698. GREENE, H. William; (2002), Econometric Analysis, Fifth Edi- tion, Prentice Hall, New Jersey.
• GOLDFAJN, Ilan ve Sergio R. da C. WERLANG; (2000), The Pass-through From Depreciation to Inflation: A Panel Study”
• Banco Central do Brazil Working Paper Series 423, http://www. bancocentral.gov.br/pec/wps/ingl/wps05.pdf, 14.07.2008
• HAHM, Joon-Ho, Frederic S. MISHKIN, Hyun S. SHIN ve Kwanho SHIN; (2012), Macroprudential Polices in Open
• Emerging Economies, NBER Working Paper 17780, http:// www.nber.org/papers/w17780.pdf, 06.11.2013
• HAUSMANN, Ricardo, Ugo PANIZZA ve Ernesto STEIN; (2000), Why Do Countries Float The Way They Float?, Inter
• American Development Bank Working Paper 418, http://www. iadb.org/res/publications/pubfiles/pubwp-418.pdf, 21.03.2007
• HAUSMANN, Ricardo ve Ugo PANIZZA; (2003), “On the Deter- minants of Original Sin: An Empirical Investigation”, Journal of
• International Money and Finance, 22, pp. 957-990. HEENAN, Geoffrey, Marcel PETER ve Scott ROGER; (2006)
• Implementing Inflation Targeting: Institutional Arrengments, Target Design, and Communications, IMF Working Paper 278, https://www.imf.org/external/pubs/ft/wp/2006/wp06278.pdf, 09.2010
• KAMINSKY, L. Graciela, Carmen M. REINHART ve Carlos A. VEGH; (2003), “The Unholy Trinity of Financial Contagion”
• Journal of Economic Perspectives, 17(4), pp. 51–74. KARA, A. Hakan; (2012), “Küresel Kriz Sonrası Para Politikası”
• İktisat İşletme ve Finans, 27(315), ss. 9-36. KHAN, S. Moshin; (2003), Current Issues in the Design and Conduct of Monetary Policy, IMF Working Paper 03(56), http:// www.imf.org/external/pubs/ft/wp/2003/wp0356.pdf, 17.05.2008
• KÜÇÜKSARAÇ, DORUK ve Özgür ÖZEL; (2012), Rezerv Opsi- yonu Mekanizması ve Optimal Rezerv Opsiyonu Katsayılarının
• Hesaplanması, TCMB Çalışma Tebliği, 12(32), http://www. tcmb.gov.tr/research/discus/2012/WP1232.pdf, 02.02.2013
• LEIDERMAN, Leonardo, Rodolfo MAINO ve Eric PARRA- DO; (2006), Inflation Targeting in Dollarized Economies, IMF
• Working Paper 06(157), https://www.imf.org/external/pubs/ft/ wp/2006/wp06157.pdf, 16.12.2008
• LEVY-YEYATI, Eduardo ve Federico STURZENEGGER; (2005), Classifying Exchange Rate Regimes: Deeds vs. Words, European Economic Review, 49, pp. 1603-1635.
• LONG, J. Scott; (1997), Regression Models for Categorical and Limited Dependent Variables, Sage Publications, London.
• LOUNGANI, Prakash ve Paolo MAURO; (2000), Capital Flight
• From Russia, IMF Policy Discussion Paper, https://www. imf.org/external/pubs/ft/seminar/2000/invest/pdf/loung.pdf, 06.2009
• MASSON, R. Paul, Miguel A. SAVASTANO ve Sunil SHARMA; (1997), The Scope for Inflation Targeting in Developing Coun- tries, IMF Working Paper 97(130), http://www.imf.org/external/ pubs/ft/wp/wp97130.pdf, 04.10.2008
• MEHL, Arnaud ve Julien REYNAUD; (2005), The Determinants of Domestic Original Sin in Emerging Market Economies, Eu- ropean Central Bank Working Paper Series 560, https://www. ecb.europa.eu/pub/pdf/scpwps/ecbwp560.pdf, 14.01.2008
• MISHKIN, S. Frederic; (1998), International Capital Move- ments, Financial Volatility and Financial Instability, NBER
• Working Paper 6390, http://www.nber.org/papers/w6390.pdf, 04.2009
• MISHKIN, S. Frederic; (2004), Can Inflation Targeting Work in Emerging Market Countries?, NBER Working Paper 10646, http://www.nber.org/papers/w10646.pdf, 26.06.2007
• MORON, A. Eduardo ve Juan F. CASTRO; (2000), “Uncover- ing Central Bank’s Monetary Policy Objectives: Going Beyond
• Fear of Floating”, http://www.lacea.org/meeting2000/Eduardo- Moron.PDF. 23.05.2014
• OBSTFELD, Maurice ve Kenneth ROGOFF; (1995), The Mi- rage of Fixed Exchange Rate, NBER Working Paper 5191, http://www.nber.org/papers/w5191.pdf, 20.05.2007.
• ÖNDER, Yusuf; (2007), Dalgalanma Korkusu ve Türkiye Örneği, TCMB Uzmanlık Yeterlilik Tezi, Ankara. ÖZATAY, Fatih; (2011), “Merkez Bankasının Yeni Para
• Politikası: İki Hedef-Üç Ara Hedef-Üç Araç”, İktisat İşletme ve Finans, 26(302), ss. 27-43. PARK, C. Yung, Chae-Shick CHUNG ve Yunjong WANG; (2001), “Fear of Floating: Korea’s Exchange Rate Policy After the Crisis”, Journal of the Japanese and International Econo- mies, 15, pp. 225–251.
• PARRADO, Eric; (2004), Inflation Targeting and Exchange Rate
• Rules in an Open Economy, IMF Working Paper 04(21), https:// www.imf.org/external/pubs/ft/wp/2004/wp0421.pdf, 02.09.2008
• PLASMANS, Joseph; (2006), Modern Nonlinear Econometrics
• Springer, The Netherlands. SVENSSON, E.O. Lars; (2009), Flexible Inflation Targeting Lessons From The Financial Crisis, BIS Review 112, http:// www.bis.org/review/r090923d.pdf, 10.05.2010
• TRAIN, Kenneth; (2003), Discrete Choice Methods With Simu- lations, Cambridge University Press, United Kingdom.
• Türkiye Cumhuriyet Merkez Bankası; (2012a), “Merkez Bankacılığında Yeni Bir Araç: Öngörülebilirlik”, Bülten, 27, An- kara. Türkiye Cumhuriyet Merkez Bankası; (2012b), “Rezerv Opsi- yonu Mekanizması”, Bülten, 28, Ankara. Türkiye Cumhuriyet
• Merkez Bankası; (2012c), “2013 Yılı Para ve Kur Politikası”, Ankara.
• Türkiye Cumhuriyet Merkez Bankası; (2013), “2014 Yılı Para ve Kur Politikası”, Ankara.
• VERBEEK, Marno; (2004), A Modern Econometrics, Second Edition, John Wiley & Sons, England.