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The Validity of Open Economy Monetary Policy Rule in Turkey: A Bounds Test Approach

Year 2011, Volume: 13 Issue: 1, 127 - 142, 01.03.2011

Abstract

The aim of this study is to investigate validity of open economy monetary policy rule in Turkey. In this study, covering the period 2001M8-2009M9 that the inflation targeting strategy is implemented, short time nominal interest rate, the inflation rate that is calculated from the consumer price index, real output gap, and real effective exchange rate index variables are used. The results of Bounds test analysis show that open economy monetary policy rule is still valid for Turkey, that there is positive effect of inflation and output gap; and negative effect of exchange rate on the short term interest rate. According to the analysis results, Central Bank reacts to inflation rate, output gap and exchange rate with little while determining the interest rate.

References

  • Aklan N.A. ve Nargeleçekenler, M. (2008), Taylor Kuralı: Türkiye Üzerine Bir De- ğerlendirme, Ankara Üniversitesi SBF Dergisi, 63:2, ss.22-41.
  • Ambler, S., Dib, A. and Rebei, N. (2004), Op- timal Taylor Rules on an Estimated Model of a Small Open Economy, Bank of Canada Working Paper No: 2004-36, p http://www.bankofcanada.ca/en/res /wp/2004/wp04-36.pdf, (25.05.2009). ,
  • Ball, L. (1999), Policy Rules for Open Econo- mies,” Monetary Policy Rules içinde, Taylor, J. (derl.), Chigago: University of Chigago Press, pp.127-153.
  • Bardsen, G. (1989), Estimation of Long Run Coefficients in Error Correction Models, Oxford Bulletin of Economics and Sta- tistics, 51:3, ss.345-50.
  • Batini N., Harrison, R. and Stephen, M.P. (2003), Monetary Policy Rules for an Open Economy, Journal of Economic Dynamics & Control 27, pp.2059-2094.
  • Benigno, G. and Benigno, P. (2001), Mone- tary Policy Rules and The Exchange Rate, Centre for Economic Policy Rese- arch Discussion Paper No. 2807, pp.1- 28.
  • Cavoli, T. (2008), The Exchange Rate and Optimal Monetary Policy Rules in Open and Developing Economies: Some Simple Analytics, Economic Mo- delling, 25: pp.1011-1021.
  • Clarida, R.H. (2007), Reflections on Mone- tary Policy Choices in the Open Eco- nomy: Implications from an Optimizing Mode”, pp.1-22, http://www.dallas- fed.org/news/research/2007/07tay- lor_clarida.pdf, (23.10.2009).
  • Clarida, R.H., Gali, J. and Gertler, M. (2001), Optimal Monetary Policy in Open Ver- sus Close Economies: An Integrated Approach, American Economic Re- view, 91, pp.248-52.
  • _______ (2002), A Simple Framework for In- renational Monetary Policy Analysis, Journal of Monetary Economics, 49, pp.879-904.
  • Cote D., Kuszczak, J., Lam, J.P., Liu, Y. and St-Amant, P. (2002), The Performance and Robustness of Simple Monetary Po- licy Rules in Models of The Canadian Economy, Bank of Canada, Technical Reports, No. 92, pp.1-36.
  • Çakır Yıldız, N. (2006), İstikrar Programla- rında Nominal Çapa Politikaları ve Tür- kiye Örneğinde Enflasyon Hedeflemesi, 1.Baskı, İstanbul: Azim Yayınları.
  • Çolakoğlu, B. (2003), Türkiye Cumhuriyet Merkez Bankası Para Politikasının Gü- venilirliği, Finans-Politik ve Ekonomik Yorumlar Dergisi, 41, ss.63-73.
  • De Paoli, B. (2009), Monetary Policy and Welfare in a Small Open Economy, Jo- urnal of International Economics, 77, pp.11-22.
  • Devereux, M.B., Philip R. and Xu, L.J. (2006), Exchange Rates and Monetary Policy in Emerging Market Economies, The Eco- nomic Journal 116:511, pp.478-506.
  • Divino, J.A. (2009), Optimal Monetary Policy for a Small Open Economy, Economic Modelling, 26, pp.352-358.
  • Gujarati, D.N. (1999), Temel Ekonometri, (Çev. Şenesen, Ü.; Şenesen, G.G.), İstan- bul: Literatür Yayınları.
  • Hodrick, R. and Prescott, E. (1997), Post-War US Business Cycles: An Empirical In- vestigation”, Journal of Money, Credit and Banking, 29, 1-16.
  • Huang, A., Margaritis, D. and Mayes D. (2001), Monetary Policy Rules in Prac- tice: Evidence from New Zealand, Mul- tinational Finance Journal, 5, pp.175-200.
  • Issing, O. (1996), Commentary: What Ope- rating Procedures Should be Adopted Tomaintain Price Stability?-Practical Is- sues. Federal Reserve Bank of Kansas City, pp. 287-296, http://econpapers.repec.org/RePec:fip :fedkpr:y:1996:p:287-296, (23.10.2009).
  • Justiniano A. and Preston B. (2008), Mone- tary Policy and Uncertainty in an Em- pirical Small Open Economy Model, p http://www.columbia.edu/~bp2121/ Noem_uncertainty.pdf, (15.19.2009). ,
  • Kamas, L. and Joyce, J.P. (1993), Money, In- come and Prices under Fixed Exchange Rates: Evidence from Causality Tests and VARs, Journal of Macroeconomics, 15:4,pp.747-768.
  • Kamin, S.B. and Rogers, J.H. (1996), Mone- tary Policy in the End-Game to Exc- hange-Rate Based Stabilizations: The Case of Mexico, Journal of International Economics, 41, pp.285-307.
  • Kara, A. and Nelson, E. (2003), The Exc- hange Rate and Inflation in The UK, Scottish Journal of Political Economy, 50:5), pp.585-607.
  • Kuttner, K. (2004), The Role of Policy Rules in Inflation Targeting, Federal Reserve Bank of St Louis Review, No: 86/4, pp.89-111.
  • Leitemoa, K. and Söderström, U. (2005), Sim- ple Monetary Policy Rules and Exc- hange Rate Uncertainty, Journal of International Money and Finance, 24, pp.481-507.
  • Lubik, T.A., and Schorfheide, F. (2007), Do Central Banks Respond to Exchange Rate Movements? A Structural Investi- gation, Journal of Monetary Economics, 54, pp.1069-1087.
  • Narayan S. and Narayan P.K. (2004), Deter- minants of Demand of Fiji’s Exports: An Empirical Investigation, The Devolo- ping Economics, XVII:1, pp.95-112.
  • Ongan, T.H. (2004a), Farklı Potansiyel Üre- tim ve Üretim Açığı Hesaplamaları ve Bir Uygulama, İstanbul Üniversitesi İk- tisat Fakültesi Mecmuası, 54:2, ss.33-46.
  • _______ (2004b), Enflasyon Hedeflemesi ve Taylor Kuralı: Türkiye Örneği, Maliye Araştırma Merkezi Konferansları, Kırk- beşinci Seri, İstanbul, ss.1-12.
  • Onur, S. (2008), Türkiye Ekonomisi’nde Faiz Oranları-Enflasyon İlişkisi Üzerine Bir Model Denemesi (1980-2005), Journla of Qafgaz University, 24, pp. 123-145.
  • Örnek, İ (2004), Türkiye’de Enflasyon He- deflemesi Uygulanabilir mi?, Dış Tica- ret Dergisi, 31, ss.1-5, http://www.dtm.gov.tr/ead/DTDER G I / N i s a n 2 0 0 4 / t u r k i y e e n f . h t m , (05.02.2007).
  • Pesaran, M.H., Shin, Y. and Smith, R.J. (2001), Bounds Testing Approaches to the Analysis of Level Relationships, Jo- urnal of Applied Econometrics, 16, pp.289-326.
  • Plantier L.C. and Scrimgeour, D. (2002), Es- timating Taylor Rule for a New Zealand with a Time-Varying Neutral Real Rate, Reserve Bank of New Zealand Discus- sion Paper Series, DP2002/06, pp.1-30.
  • Rabanal, P. and Tuesta V. (2006), Euro-Dol- lar Real Exchange Rate Dynamics in an Estimated Two-Country Model: What is Important and What is Not, IMF Working Papers, No: 06:177, pp.1-42.
  • Savvides, A. (1998), Inflation and Monetary Policy in Selected West and Central Af- rican Countries, World Development, 26:5, pp.809-827.
  • Svensson, L.E.O. (1997), Inflation Forecast Targeting: Implementing and Monito- ring Inflation Targets, European Econo- mic Review, 41, pp.1111-1146.
  • _______ (1999), Inflation Targeting as a Mo- netary Policy Rule, Journal of Monetray Economics, 43:3, pp.607-654.
  • _______ (2000), Open-Economy Inflation Targeting, Journal of International Eco- nomics, 50, pp.155-183.
  • Taylor, J.B. (1993), Discreation versus Policy Rules in Practice, Carnegie-Rochester Conference Series on Public Policy, 38, pp.195-214.
  • _______ (2001), The Role of the Exchange Rate in Monetary-Policy Rules, Ameri- can Economic Review, 91, pp.263-67.
  • TCMB, (2009), Elektronik Veri Dağıtım Sis- temi, http//:tcmbf40.tcmb.gov.tr /cbt.html, (01.12.2009).
  • West, K.D. (2003), Monetary Policy and The Volatility of Real Exchange Rates in New Zealand”, Reserve Bank of New Zealand Discussion Paper, No: DP2003/09, pp.1-30.
  • Woglom, G. (2003), How Has Inflation Tar- geting Affected Monetary Policy in South Africa, The South African Journal of Economics, 71:2, pp.198-210.
  • Yapraklı, S. (2007), “Türkiye’de Enflasyon ve Döviz Kurunun Para Politikası Kuralı Üzerindeki Etkisi”, İktisat İşletme ve Fi- nans, 22:258, ss.122-135.
  • Yazgan, E.ve Yılmazkuday, H. (2007), Mo- netary Policy Rules in Practice: Evi- dence from Turkey and Israel, Applied Financial Economics, 17:1, pp.1-8.
  • Zortuk, M. (2007), Koşulluluk Aracı Olma Bağlamında Kısa Vadeli Faiz Oranları- nın Hedeflenen Enflasyondan Sapmada Kullanımı: Bounds Test Yaklaşımı (Tür- kiye Örneği), İstanbul Üniversitesi İkti- sat Fakültesi Ekonometri ve İstatistik Dergisi, 6, ss.41-68.

Türkiye’de Açık Ekonomi Para Politikası Kuralının Geçerliliği:Sınır Testi Yaklaşımı

Year 2011, Volume: 13 Issue: 1, 127 - 142, 01.03.2011

Abstract

Bu çalışmanın amacı, Türkiye’de açık ekonomi para politikası kuralının geçerliliğini tespit etmektir. Enflasyon hedeflemesi stratejisinin uygulandığı 2001:8-2009:9 dönemini kapsayan bu çalışmada, kısa dönem nominal faiz oranı, tüketici fiyat endeksinden hareketle hesaplanan enflasyon ve reel üretim açığı ile reel efektif kur endeksi değişkenleri kullanılmıştır. Sınır testi analizinin sonuçları, açık ekonomi para politikası kuralının Türkiye için geçerli olduğunu, kısa dönem faiz oranı üzerinde enflasyon ve üretim açığının pozitif, döviz kurunun ise negatif bir etkisi olduğunu göstermektedir. Analiz sonuçlarına göre, Merkez Bankası faiz belirleme sürecinde, enflasyon oranının dışında üretim açığına ve küçükte olsa döviz kuruna tepki vermektedir.

References

  • Aklan N.A. ve Nargeleçekenler, M. (2008), Taylor Kuralı: Türkiye Üzerine Bir De- ğerlendirme, Ankara Üniversitesi SBF Dergisi, 63:2, ss.22-41.
  • Ambler, S., Dib, A. and Rebei, N. (2004), Op- timal Taylor Rules on an Estimated Model of a Small Open Economy, Bank of Canada Working Paper No: 2004-36, p http://www.bankofcanada.ca/en/res /wp/2004/wp04-36.pdf, (25.05.2009). ,
  • Ball, L. (1999), Policy Rules for Open Econo- mies,” Monetary Policy Rules içinde, Taylor, J. (derl.), Chigago: University of Chigago Press, pp.127-153.
  • Bardsen, G. (1989), Estimation of Long Run Coefficients in Error Correction Models, Oxford Bulletin of Economics and Sta- tistics, 51:3, ss.345-50.
  • Batini N., Harrison, R. and Stephen, M.P. (2003), Monetary Policy Rules for an Open Economy, Journal of Economic Dynamics & Control 27, pp.2059-2094.
  • Benigno, G. and Benigno, P. (2001), Mone- tary Policy Rules and The Exchange Rate, Centre for Economic Policy Rese- arch Discussion Paper No. 2807, pp.1- 28.
  • Cavoli, T. (2008), The Exchange Rate and Optimal Monetary Policy Rules in Open and Developing Economies: Some Simple Analytics, Economic Mo- delling, 25: pp.1011-1021.
  • Clarida, R.H. (2007), Reflections on Mone- tary Policy Choices in the Open Eco- nomy: Implications from an Optimizing Mode”, pp.1-22, http://www.dallas- fed.org/news/research/2007/07tay- lor_clarida.pdf, (23.10.2009).
  • Clarida, R.H., Gali, J. and Gertler, M. (2001), Optimal Monetary Policy in Open Ver- sus Close Economies: An Integrated Approach, American Economic Re- view, 91, pp.248-52.
  • _______ (2002), A Simple Framework for In- renational Monetary Policy Analysis, Journal of Monetary Economics, 49, pp.879-904.
  • Cote D., Kuszczak, J., Lam, J.P., Liu, Y. and St-Amant, P. (2002), The Performance and Robustness of Simple Monetary Po- licy Rules in Models of The Canadian Economy, Bank of Canada, Technical Reports, No. 92, pp.1-36.
  • Çakır Yıldız, N. (2006), İstikrar Programla- rında Nominal Çapa Politikaları ve Tür- kiye Örneğinde Enflasyon Hedeflemesi, 1.Baskı, İstanbul: Azim Yayınları.
  • Çolakoğlu, B. (2003), Türkiye Cumhuriyet Merkez Bankası Para Politikasının Gü- venilirliği, Finans-Politik ve Ekonomik Yorumlar Dergisi, 41, ss.63-73.
  • De Paoli, B. (2009), Monetary Policy and Welfare in a Small Open Economy, Jo- urnal of International Economics, 77, pp.11-22.
  • Devereux, M.B., Philip R. and Xu, L.J. (2006), Exchange Rates and Monetary Policy in Emerging Market Economies, The Eco- nomic Journal 116:511, pp.478-506.
  • Divino, J.A. (2009), Optimal Monetary Policy for a Small Open Economy, Economic Modelling, 26, pp.352-358.
  • Gujarati, D.N. (1999), Temel Ekonometri, (Çev. Şenesen, Ü.; Şenesen, G.G.), İstan- bul: Literatür Yayınları.
  • Hodrick, R. and Prescott, E. (1997), Post-War US Business Cycles: An Empirical In- vestigation”, Journal of Money, Credit and Banking, 29, 1-16.
  • Huang, A., Margaritis, D. and Mayes D. (2001), Monetary Policy Rules in Prac- tice: Evidence from New Zealand, Mul- tinational Finance Journal, 5, pp.175-200.
  • Issing, O. (1996), Commentary: What Ope- rating Procedures Should be Adopted Tomaintain Price Stability?-Practical Is- sues. Federal Reserve Bank of Kansas City, pp. 287-296, http://econpapers.repec.org/RePec:fip :fedkpr:y:1996:p:287-296, (23.10.2009).
  • Justiniano A. and Preston B. (2008), Mone- tary Policy and Uncertainty in an Em- pirical Small Open Economy Model, p http://www.columbia.edu/~bp2121/ Noem_uncertainty.pdf, (15.19.2009). ,
  • Kamas, L. and Joyce, J.P. (1993), Money, In- come and Prices under Fixed Exchange Rates: Evidence from Causality Tests and VARs, Journal of Macroeconomics, 15:4,pp.747-768.
  • Kamin, S.B. and Rogers, J.H. (1996), Mone- tary Policy in the End-Game to Exc- hange-Rate Based Stabilizations: The Case of Mexico, Journal of International Economics, 41, pp.285-307.
  • Kara, A. and Nelson, E. (2003), The Exc- hange Rate and Inflation in The UK, Scottish Journal of Political Economy, 50:5), pp.585-607.
  • Kuttner, K. (2004), The Role of Policy Rules in Inflation Targeting, Federal Reserve Bank of St Louis Review, No: 86/4, pp.89-111.
  • Leitemoa, K. and Söderström, U. (2005), Sim- ple Monetary Policy Rules and Exc- hange Rate Uncertainty, Journal of International Money and Finance, 24, pp.481-507.
  • Lubik, T.A., and Schorfheide, F. (2007), Do Central Banks Respond to Exchange Rate Movements? A Structural Investi- gation, Journal of Monetary Economics, 54, pp.1069-1087.
  • Narayan S. and Narayan P.K. (2004), Deter- minants of Demand of Fiji’s Exports: An Empirical Investigation, The Devolo- ping Economics, XVII:1, pp.95-112.
  • Ongan, T.H. (2004a), Farklı Potansiyel Üre- tim ve Üretim Açığı Hesaplamaları ve Bir Uygulama, İstanbul Üniversitesi İk- tisat Fakültesi Mecmuası, 54:2, ss.33-46.
  • _______ (2004b), Enflasyon Hedeflemesi ve Taylor Kuralı: Türkiye Örneği, Maliye Araştırma Merkezi Konferansları, Kırk- beşinci Seri, İstanbul, ss.1-12.
  • Onur, S. (2008), Türkiye Ekonomisi’nde Faiz Oranları-Enflasyon İlişkisi Üzerine Bir Model Denemesi (1980-2005), Journla of Qafgaz University, 24, pp. 123-145.
  • Örnek, İ (2004), Türkiye’de Enflasyon He- deflemesi Uygulanabilir mi?, Dış Tica- ret Dergisi, 31, ss.1-5, http://www.dtm.gov.tr/ead/DTDER G I / N i s a n 2 0 0 4 / t u r k i y e e n f . h t m , (05.02.2007).
  • Pesaran, M.H., Shin, Y. and Smith, R.J. (2001), Bounds Testing Approaches to the Analysis of Level Relationships, Jo- urnal of Applied Econometrics, 16, pp.289-326.
  • Plantier L.C. and Scrimgeour, D. (2002), Es- timating Taylor Rule for a New Zealand with a Time-Varying Neutral Real Rate, Reserve Bank of New Zealand Discus- sion Paper Series, DP2002/06, pp.1-30.
  • Rabanal, P. and Tuesta V. (2006), Euro-Dol- lar Real Exchange Rate Dynamics in an Estimated Two-Country Model: What is Important and What is Not, IMF Working Papers, No: 06:177, pp.1-42.
  • Savvides, A. (1998), Inflation and Monetary Policy in Selected West and Central Af- rican Countries, World Development, 26:5, pp.809-827.
  • Svensson, L.E.O. (1997), Inflation Forecast Targeting: Implementing and Monito- ring Inflation Targets, European Econo- mic Review, 41, pp.1111-1146.
  • _______ (1999), Inflation Targeting as a Mo- netary Policy Rule, Journal of Monetray Economics, 43:3, pp.607-654.
  • _______ (2000), Open-Economy Inflation Targeting, Journal of International Eco- nomics, 50, pp.155-183.
  • Taylor, J.B. (1993), Discreation versus Policy Rules in Practice, Carnegie-Rochester Conference Series on Public Policy, 38, pp.195-214.
  • _______ (2001), The Role of the Exchange Rate in Monetary-Policy Rules, Ameri- can Economic Review, 91, pp.263-67.
  • TCMB, (2009), Elektronik Veri Dağıtım Sis- temi, http//:tcmbf40.tcmb.gov.tr /cbt.html, (01.12.2009).
  • West, K.D. (2003), Monetary Policy and The Volatility of Real Exchange Rates in New Zealand”, Reserve Bank of New Zealand Discussion Paper, No: DP2003/09, pp.1-30.
  • Woglom, G. (2003), How Has Inflation Tar- geting Affected Monetary Policy in South Africa, The South African Journal of Economics, 71:2, pp.198-210.
  • Yapraklı, S. (2007), “Türkiye’de Enflasyon ve Döviz Kurunun Para Politikası Kuralı Üzerindeki Etkisi”, İktisat İşletme ve Fi- nans, 22:258, ss.122-135.
  • Yazgan, E.ve Yılmazkuday, H. (2007), Mo- netary Policy Rules in Practice: Evi- dence from Turkey and Israel, Applied Financial Economics, 17:1, pp.1-8.
  • Zortuk, M. (2007), Koşulluluk Aracı Olma Bağlamında Kısa Vadeli Faiz Oranları- nın Hedeflenen Enflasyondan Sapmada Kullanımı: Bounds Test Yaklaşımı (Tür- kiye Örneği), İstanbul Üniversitesi İkti- sat Fakültesi Ekonometri ve İstatistik Dergisi, 6, ss.41-68.
There are 47 citations in total.

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Other ID JA23ER74UP
Journal Section Articles
Authors

Doç.dr.sevda Yapraklı This is me

Publication Date March 1, 2011
Published in Issue Year 2011 Volume: 13 Issue: 1

Cite

APA Yapraklı, D. (2011). Türkiye’de Açık Ekonomi Para Politikası Kuralının Geçerliliği:Sınır Testi Yaklaşımı. ISGUC The Journal of Industrial Relations and Human Resources, 13(1), 127-142.
AMA Yapraklı D. Türkiye’de Açık Ekonomi Para Politikası Kuralının Geçerliliği:Sınır Testi Yaklaşımı. isguc. March 2011;13(1):127-142.
Chicago Yapraklı, Doç.dr.sevda. “Türkiye’de Açık Ekonomi Para Politikası Kuralının Geçerliliği:Sınır Testi Yaklaşımı”. ISGUC The Journal of Industrial Relations and Human Resources 13, no. 1 (March 2011): 127-42.
EndNote Yapraklı D (March 1, 2011) Türkiye’de Açık Ekonomi Para Politikası Kuralının Geçerliliği:Sınır Testi Yaklaşımı. ISGUC The Journal of Industrial Relations and Human Resources 13 1 127–142.
IEEE D. Yapraklı, “Türkiye’de Açık Ekonomi Para Politikası Kuralının Geçerliliği:Sınır Testi Yaklaşımı”, isguc, vol. 13, no. 1, pp. 127–142, 2011.
ISNAD Yapraklı, Doç.dr.sevda. “Türkiye’de Açık Ekonomi Para Politikası Kuralının Geçerliliği:Sınır Testi Yaklaşımı”. ISGUC The Journal of Industrial Relations and Human Resources 13/1 (March 2011), 127-142.
JAMA Yapraklı D. Türkiye’de Açık Ekonomi Para Politikası Kuralının Geçerliliği:Sınır Testi Yaklaşımı. isguc. 2011;13:127–142.
MLA Yapraklı, Doç.dr.sevda. “Türkiye’de Açık Ekonomi Para Politikası Kuralının Geçerliliği:Sınır Testi Yaklaşımı”. ISGUC The Journal of Industrial Relations and Human Resources, vol. 13, no. 1, 2011, pp. 127-42.
Vancouver Yapraklı D. Türkiye’de Açık Ekonomi Para Politikası Kuralının Geçerliliği:Sınır Testi Yaklaşımı. isguc. 2011;13(1):127-42.