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İKİ BAŞKAN TEK KURAL: TCMB’NİN TAYLOR TİPİ REAKSİYON FONKSİYONU TAHMİNİ

Year 2023, , 260 - 278, 22.06.2023
https://doi.org/10.17130/ijmeb.1194409

Abstract

2008 küresel finansal krizi para politikalarını köklü biçimde değiştirmiş olmasına rağmen Taylor Kuralı’nın uygulamada hala geniş yer bulduğu görülmektedir. Bu çalışmanın amacı iki alt dönem için Türkiye Cumhuriyet Merkez Bankası’nın reaksiyon fonksiyonunu Genişletilmiş Taylor Kuralı modeliyle incelemektir. Bu sayede kriz sonrası dönemde Türkiye’de para politikasının hangi makro iktisadi değişkenlere ne kadar duyarlı biçimde değiştiği belirlenmektedir. Bu amaçla, 2011:04-2019:07 dönemi para politikası genişletilmiş Taylor Kuralı ile modellenerek, doğrusal Vektör Otoregresif (VAR) yöntemiyle tahmin edilmiştir. Analizde TCMB başkanlarına göre iki alt döneme ayrılmıştır. 2011:04-2016:03 arası dönem Erdem Başçı, 2016:04-2019:07 arası dönem de Murat Çetinkaya dönemini temsil etmektedir. Ekonometrik analizde kullanılan veriler TCMB ağırlıklı ortalama fonlama maliyeti, enflasyon oranı, sanayi üretim endeksi ve USD/TL döviz kurudur. Etki tepki analizine göre temel bulgular, her iki dönemde TCMB’nin döviz kurundaki meydana gelen bir şoka karşı artarak tepki vermekte, sanayi üretim endeksinde meydana gelen bir şoka tepki vermemektedir. Şokların şiddeti ise iki dönemde farklı olmaktadır. Çetinkaya döneminde faiz oranı Başçı dönemine göre döviz kurundaki dalgalanmalara daha şiddetli tepki vermektedir. Varyans ayrıştırması da bu sonucu destekler niteliktedir. Çetinkaya döneminde döviz kurunun, faiz oranının varyansı içerisindeki payı daha yüksektir. Sonuç olarak iki alt dönemde de reaksiyon fonksiyonu farklı değişkenlere farklı şiddette tepki vermektedir. Çalışma alt dönemdeki etki tepki analizlerine bakarak politika önerileri sağlayacaktır.

References

  • Akçağlayan, A., & Gemicioğlu, S. (2020). Döviz Kuru Şoklarının Para Politikası Üzerindeki Asimetrik Etkileri: Türkiye Örneği. Maliye Dergisi, 178, 1-18.
  • Aklan, N. A. A., & Nargeleçekenler, M. (2008). Taylor Kuralı: Türkiye Üzerine Bir Değerlendirme. Ankara Üniversitesi SBF Dergisi, 63(02), 21-41.
  • Almounsor, A. H. (2015). Monetary Policy in Saudi Arabia: A Taylor-Rule Analysis. International Journal of Economics and Finance, 7(3), 144-152.
  • Berument, H., & Malatyali, K. (2000). The implicit reaction function of the Central Bank of the Republic of Turkey. Applied Economics Letters, 7(7), 425-430.
  • Chang, H. S. (2005). Estimating the monetary policy reaction function for Taiwan: A VAR model. International Journal of Applied Economics, 2(1), 50-61.
  • Civcir, I., & Akçağlayan, A. (2010). Inflation targeting and the exchange rate: Does it matter in Turkey? Journal of Policy Modeling, 32(3), 339-354.
  • Clarida, R., Galı, J., & Gertler, M. (1998). Monetary policy rules in practice: Some international evidence. european economic review, 42(6), 1033-1067.
  • Çiçek, S. (2013). Asymmetry and non-linearity in monetary policy of a small-open economy: evidence from Taylor rule. International Research Journal of Finance and Economics, 107, 140-153.
  • Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American statistical association, 74(366a), 427 431.
  • Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: journal of the Econometric Society, 1057-1072.
  • Dolado, J., Pedrero, R. M. D., & Ruge-Murcia, F. J. (2004). Nonlinear monetary policy rules: some new evidence for the US. Studies in Nonlinear Dynamics & Econometrics, 8(3).
  • Erdem, E., & Kayhan, S. (2011). The Taylor rule in estimating the performance of inflation targeting programs: The case of Turkey. Global Economy Journal, 11(1), 1850219
  • Gascoigne, J., & Turner, P. (2004). Asymmetries in Bank of England monetary policy. Applied Economics Letters, 11(10), 615-618.
  • Güney, P. Ö. (2016). Does the central bank directly respond to output and inflation uncertainties in Turkey? Central Bank Review, 16(2), 53-57.
  • Hodrick, R. J., & Prescott, E. C. (1997). Postwar US business cycles: an empirical investigation. Journal of Money, credit, and Banking, 1-16.
  • Judd, J. P., & Rudebusch, G. D. (1998). Taylor's Rule and the Fed: 1970-1997. Economic Review-Federal Reserve Bank of San Francisco, 3-16.
  • Kara, H. (2012). Küresel kriz sonrası para politikası. TCMB Çalışma Tebliği, 12(17), 1-25.
  • Lebe, F., & Bayat, T. (2011). Taylor Kurali: Türkiye için Bir Vektör Otoregresif Model Analizi/Taylor Rule: A Vector Autoregressive Model Analysis For Turkey. Ege Akademik Bakis, 11, 95.
  • Leiderman, L., Maino, R., & Parrado, E. (2006). Inflation targeting in dollarized economies. In Financial dollarization (pp. 99-114). Palgrave Macmillan, London.
  • Maria-Dolores, R. (2005). Monetary policy rules in accession countries to EU: Is the Taylor rule a pattern?. Economics Bulletin, 5(7), 1-16.
  • Mehra, Y. P. (1999). A forward-looking monetary policy reaction function. FRB Richmond Economic Quarterly, 85(2), 33-53.
  • Öruç, E. (2019). Türkiye Cumhuriyet Merkez Bankası para politikası reaksiyon fonksiyonu tahmini. Çankırı Karatekin Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(1), 195-224.
  • Özatay, F. (2020). “Finansal Krizler ve Türkiye”. İstanbul: Doğan Kitap.
  • Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.
  • Sghaier, I. M. (2012). “Taylor Rule and Monetary Policy in Tunisia”. RomanianEconomic Journal, 15(46).
  • Shibamoto, M. (2008). The estimation of monetary policy reaction function in a data-rich environment: The case of Japan. Japan and the World Economy, 20(4), 497-520.
  • Sims, C. A. (1980). Macroeconomics and reality. Econometrica: journal of the Econometric Society, 1-48.
  • Taylor, J. B. (1993, December). Discretion versus policy rules in practice. In Carnegie Rochester conference series on public policy (Vol. 39, pp. 195-214). North-Holland.
  • Taylor, J. B. (2001). The role of the exchange rate in monetary-policy rules. American economic review, 91(2), 263-267.
  • Taylor, M. P., & Davradakis, E. (2006). Interest rate setting and inflation targeting: Evidence of a nonlinear Taylor rule for the United Kingdom. Studies in Nonlinear Dynamics & Econometrics, 10(4).
  • Villa, E., Misas, M. A., & Giraldo, A. F. (2014). Inflation targeting and an optimal Taylor rule for an open economy: evidence for Colombia 1990-2011. Latin american journal of economics, 51(1), 41-83.
  • Zhu, Y., & Chen, H. (2017). The asymmetry of US monetary policy: Evidence from a threshold Taylor rule with time-varying threshold values. Physica A: Statistical Mechanics and its Applications, 473, 522-535.

TWO PRESIDENTS, ONE RULE: CBRT'S ESTIMATED TAYLOR TYPE REACTION FUNCTION

Year 2023, , 260 - 278, 22.06.2023
https://doi.org/10.17130/ijmeb.1194409

Abstract

Although the 2008 global financial crisis has radically changed monetary policies, it is seen that the Taylor Rule still has a wide place in practice. The aim of this study is to examine the reaction function of the Central Bank of the Republic of Turkey for two sub-periods with the extended Taylor Rule model. In this way, it is determined how sensitive the monetary policy in Turkey has changed in the post-crisis period to which macroeconomic variables. For this purpose, monetary policy for the period 2011:04-2019:07 was modeled with the extended Taylor Rule and estimated with the linear Vector Autoregressive (VAR) method. In the analysis, it is divided into two sub-periods according to the CBRT presidents. The period between 2011:04-2016:03 represents Erdem Basci, and the period between 2016:04-2019:07 represents the period of Murat Cetinkaya. The data used in the econometric analysis are the CBRT weighted average funding cost, inflation rate, industrial production index and USD/TL exchange rate. According to the impulse response analysis, the main findings are that the CBRT reacts increasingly to a shock in the exchange rate in both periods, but does not react to a shock in the industrial production index. The severity of the shocks differed in the two sub-periods. In the Cetinkaya period, the interest rate reacted more severely to the fluctuations in the exchange rate compared to the Basci period. Variance decomposition also supports this result. In the Cetinkaya period, the share of the exchange rate in the variance of the interest rate is higher. As a result, the reaction function reacts differently to different variables in both sub-periods. The study will provide policy recommendations by looking at the impulse response analyzes in the sub-period.

References

  • Akçağlayan, A., & Gemicioğlu, S. (2020). Döviz Kuru Şoklarının Para Politikası Üzerindeki Asimetrik Etkileri: Türkiye Örneği. Maliye Dergisi, 178, 1-18.
  • Aklan, N. A. A., & Nargeleçekenler, M. (2008). Taylor Kuralı: Türkiye Üzerine Bir Değerlendirme. Ankara Üniversitesi SBF Dergisi, 63(02), 21-41.
  • Almounsor, A. H. (2015). Monetary Policy in Saudi Arabia: A Taylor-Rule Analysis. International Journal of Economics and Finance, 7(3), 144-152.
  • Berument, H., & Malatyali, K. (2000). The implicit reaction function of the Central Bank of the Republic of Turkey. Applied Economics Letters, 7(7), 425-430.
  • Chang, H. S. (2005). Estimating the monetary policy reaction function for Taiwan: A VAR model. International Journal of Applied Economics, 2(1), 50-61.
  • Civcir, I., & Akçağlayan, A. (2010). Inflation targeting and the exchange rate: Does it matter in Turkey? Journal of Policy Modeling, 32(3), 339-354.
  • Clarida, R., Galı, J., & Gertler, M. (1998). Monetary policy rules in practice: Some international evidence. european economic review, 42(6), 1033-1067.
  • Çiçek, S. (2013). Asymmetry and non-linearity in monetary policy of a small-open economy: evidence from Taylor rule. International Research Journal of Finance and Economics, 107, 140-153.
  • Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American statistical association, 74(366a), 427 431.
  • Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: journal of the Econometric Society, 1057-1072.
  • Dolado, J., Pedrero, R. M. D., & Ruge-Murcia, F. J. (2004). Nonlinear monetary policy rules: some new evidence for the US. Studies in Nonlinear Dynamics & Econometrics, 8(3).
  • Erdem, E., & Kayhan, S. (2011). The Taylor rule in estimating the performance of inflation targeting programs: The case of Turkey. Global Economy Journal, 11(1), 1850219
  • Gascoigne, J., & Turner, P. (2004). Asymmetries in Bank of England monetary policy. Applied Economics Letters, 11(10), 615-618.
  • Güney, P. Ö. (2016). Does the central bank directly respond to output and inflation uncertainties in Turkey? Central Bank Review, 16(2), 53-57.
  • Hodrick, R. J., & Prescott, E. C. (1997). Postwar US business cycles: an empirical investigation. Journal of Money, credit, and Banking, 1-16.
  • Judd, J. P., & Rudebusch, G. D. (1998). Taylor's Rule and the Fed: 1970-1997. Economic Review-Federal Reserve Bank of San Francisco, 3-16.
  • Kara, H. (2012). Küresel kriz sonrası para politikası. TCMB Çalışma Tebliği, 12(17), 1-25.
  • Lebe, F., & Bayat, T. (2011). Taylor Kurali: Türkiye için Bir Vektör Otoregresif Model Analizi/Taylor Rule: A Vector Autoregressive Model Analysis For Turkey. Ege Akademik Bakis, 11, 95.
  • Leiderman, L., Maino, R., & Parrado, E. (2006). Inflation targeting in dollarized economies. In Financial dollarization (pp. 99-114). Palgrave Macmillan, London.
  • Maria-Dolores, R. (2005). Monetary policy rules in accession countries to EU: Is the Taylor rule a pattern?. Economics Bulletin, 5(7), 1-16.
  • Mehra, Y. P. (1999). A forward-looking monetary policy reaction function. FRB Richmond Economic Quarterly, 85(2), 33-53.
  • Öruç, E. (2019). Türkiye Cumhuriyet Merkez Bankası para politikası reaksiyon fonksiyonu tahmini. Çankırı Karatekin Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(1), 195-224.
  • Özatay, F. (2020). “Finansal Krizler ve Türkiye”. İstanbul: Doğan Kitap.
  • Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.
  • Sghaier, I. M. (2012). “Taylor Rule and Monetary Policy in Tunisia”. RomanianEconomic Journal, 15(46).
  • Shibamoto, M. (2008). The estimation of monetary policy reaction function in a data-rich environment: The case of Japan. Japan and the World Economy, 20(4), 497-520.
  • Sims, C. A. (1980). Macroeconomics and reality. Econometrica: journal of the Econometric Society, 1-48.
  • Taylor, J. B. (1993, December). Discretion versus policy rules in practice. In Carnegie Rochester conference series on public policy (Vol. 39, pp. 195-214). North-Holland.
  • Taylor, J. B. (2001). The role of the exchange rate in monetary-policy rules. American economic review, 91(2), 263-267.
  • Taylor, M. P., & Davradakis, E. (2006). Interest rate setting and inflation targeting: Evidence of a nonlinear Taylor rule for the United Kingdom. Studies in Nonlinear Dynamics & Econometrics, 10(4).
  • Villa, E., Misas, M. A., & Giraldo, A. F. (2014). Inflation targeting and an optimal Taylor rule for an open economy: evidence for Colombia 1990-2011. Latin american journal of economics, 51(1), 41-83.
  • Zhu, Y., & Chen, H. (2017). The asymmetry of US monetary policy: Evidence from a threshold Taylor rule with time-varying threshold values. Physica A: Statistical Mechanics and its Applications, 473, 522-535.
There are 32 citations in total.

Details

Primary Language Turkish
Subjects Economics
Journal Section Research Articles
Authors

Şevket Pazarcı 0000-0002-3675-909X

Uğur Akkoç 0000-0002-9949-2097

Early Pub Date June 19, 2023
Publication Date June 22, 2023
Submission Date October 25, 2022
Acceptance Date February 14, 2023
Published in Issue Year 2023

Cite

APA Pazarcı, Ş., & Akkoç, U. (2023). İKİ BAŞKAN TEK KURAL: TCMB’NİN TAYLOR TİPİ REAKSİYON FONKSİYONU TAHMİNİ. Uluslararası Yönetim İktisat Ve İşletme Dergisi, 19(2), 260-278. https://doi.org/10.17130/ijmeb.1194409