MULTIRANK COINTEGRATION ANALYSIS OF TURKISH M1 MONEY DEMAND (1987Q1-2006Q3)

Year 2007, Issue: 6, 1 - 28, 19.09.2011

H. Levent Korap

Abstract

In our paper, we employ multivariate cointegration analysis to the Turkish M1 narrow money demand. The ex-post estimation results reveal that it is possible to identify a money
demand vector in the cointegrating space as a priori hypothesized through economics theory. But some structural break points and parameter instabilities coincided with post-1994
economic crisis period and 2000-stabilization program cast some doubt upon whether the estimated model can represent all the period under investigation. Besides, a second potential
vector found in the long-run variable space has been decomposed to reconcile it with excess aggregate demand reacting to the domestic inflation.  

Keywords

Money Demand, Aggregate Demand, Turkish Economy, Cointegration, Identification, Super Exogeneity, Structural Breaks, Economic Policy

MULTIRANK COINTEGRATION ANALYSIS OF TURKISH M1 MONEY DEMAND (1987Q1-2006Q3)

Abstract

Çalışmamızda Türkiye Ekonomisi koşullarında dar kapsamlı M1 para talebi çok değişkenli
eşbütünleşim çözümlemesi kullanılarak incelenmeye çalışılmıştır. Elde edilen tahmin
sonuçları iktisat kuramı doğrultusunda oluşturulacak bir para talebi vektörünün deng e
eşbütünleşim uzayında tanımlanabileceğini göstermektedir. Ancak 1994 kriz sonrası ve 2000
istikrar programı sonrası tahmin edilen yapısal kırılma ve katsayı istikrarsızlıkları tahmin
edilen modelin bütün bir inceleme dönemini temsil edip edemeyeceği ile ilgili olarak bazı
kuşkuların oluşmasına yol açmıştır. Ayrıca, uzun dönem değişken uzayı içerisinde tahmin
edilen ikinci bir vektör de yurtiçi enflasyona karşı duyarlılık gösteren aşırı toplam talep
olgusu ile ilişkilendirilmiştir.

Keywords

Para Talebi, Derneşik Talep, Türkiye Ekonomisi, Eşbütünleşim, Tanımlama, Süper Dışsallık, Yapısal Kırılmalar, İktisat Politikası

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