Zamanla değişen parametreli TVP-VAR yaklaşımıyla Türkiye ekonomisinde kredi kanalının etkinliğinin analizi

Abstract

Bu çalışmada, Zamanla Değişen Parametreli VAR (TVP-VAR) yaklaşımı kullanılarak 2013–2025 dönemine ait aylık faiz, kredi hacmi, döviz kuru ve enflasyon verileri aracılığıyla para politikası şoklarının kredi kanalı ve makroekonomik değişkenlere geçişinin dinamik yapısı ölçülmek istenmiştir. Çalışmanın özgün katkısı, Türkiye’de son on yılda değişen politika rejimleri ve araç setini (farklı faiz uygulamaları ve makro ihtiyati çerçeve) tek bir zamanla-değişen model içinde ortaklaşa izleyerek kredi–kur–enflasyon etkileşimini eşanlı değerlendirmesidir. Bulgular, 2018 öncesinde faiz şoklarının kredi hacmi üzerindeki etkisinin sınırlı kaldığını, 2018 sonrasında ise belirgin biçimde güçlendiğini göstermektedir. Döviz kuru tepkileri de benzer şekilde kuvvetlenirken, enflasyon yanıtları kalıcı olarak zayıf ve bağlamsal niteliktedir. Ortalama katsayılar, faiz artışlarının kredi ve döviz kurunu aşağı çekerken enflasyonu ancak zayıf biçimde sınırladığını ima etmektedir. Sonuç olarak, kredi kanalının etkinliği politika rejimi ve yapısal kırılmalara duyarlıdır; para otoritelerinin karar süreçlerinde esnek ve zamanla-değişen modellemeleri izlemesi önerilir.

Keywords

• para politikası
• TVP-VAR Modeli
• merkez bankası
• parasal aktarım mekanizması

Analysis of the effectiveness of the credit channel in the Turkish economy with the TVP-VAR approach with time-varying parameters

Abstract

In this study, using the Time-Varying Parameter VAR (TVP-VAR) approach, we aim to dynamically measure the transmission of monetary policy shocks through the credit channel and macroeconomic variables using monthly interest rate, credit volume, exchange rate, and inflation data for the period 2013–2025. The study’s original contribution lies in its simultaneous assessment of credit–exchange rate–inflation interactions by jointly tracking the changing policy regimes and toolkits (different interest rate applications and macroprudential frameworks) in Turkey over the past decade within a single time-varying model. The findings show that the impact of interest rate shocks on credit volume was limited before 2018 but strengthened significantly afterward. Exchange rate responses also strengthened similarly, while inflation responses remained persistently weak and context-specific. Average coefficients imply that interest rate hikes pull down credit and the exchange rate while only weakly limiting inflation. In conclusion, the effectiveness of the credit channel is sensitive to the policy regime and structural breaks; monetary authorities are advised to adopt flexible and time-varying models in their decision-making processes.

Keywords

• Monetary Policy
• TVP-VAR Model
• Central Bank
• Monetary Transmission Mechanism

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