PARA ARZI REAKSİYON FONKSİYONUNUN DEĞİŞKEN KATSAYILI-DEĞİŞKEN VARYANS MODELİ İLE TAHMİNİ

Year 2001, Volume: 19 Issue: 2, 1 - 17, 31.12.2001

Erdinç Telatar

Abstract

Bu çalışmanın amacı, Türkiye'de 1987-2000 dönemi için,
para otoritesinin politikalarını uygulamaya koyma aşamasında kullandığı bir
reaksiyon fonksiyonunu tahmin etmektir. Tahmin aşamasında, değişken katsayılı
Markov-değişimli varyans modeli kullanılmaktadır. Tahmin sonuçları, politika
enstrümanı olarak kullanılan dolaşımdaki para arzı artış oranı ile enflasyon
oranındaki değişkenlik arasında istikrarsız bir ilişki olduğunu göstermektedir.
Bu bulgu, reaksiyon fonksiyonu parametrelerinin zaman içinde değişmesi
nedeniyle ortaya çıkan belirsizlik nedeniyle, 1987-2000 arasında yalnızca sıkı
para politikaları aracılığıyla enflasyonu düşürmenin mümkün olmadığı şeklindeki
öngörüyü desteklemektedir.

 

Keywords

: Para arzı, reaksiyon fonksiyonu, Markov-Değişimli model

Estimation Of Money Supply Reaction Function By Using Time Varying Parameter Model With Heteroskedastic Disturbances

Abstract

 

The purpose of this study is to estimate a reaction
function used by monetary authority in conducting its policies for the period
of 1987-2000 in Turkey. A time varying parameter model with heteroskedastic
disturbances is used in the estimation procedure. Results indicate that there
had been an unstable relationship between the growth rate of currency in
circulation used as policy instrument, and the volatility of inflation. This finding
supports the fact why contractionary monetary policy alone had not been
sufficient to reduce inflation during the sample period as a result of
uncertainty, which was due to the changes in regression coefficients of the
policy reaction function.

 

Keywords

Money supply, reaction function, Markov-Switching model

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