ANALYSIS OF THE RELATIONSHIP BETWEEN INFLATION AND EXCHANGE RATE IN THE APPLICATION OF UNCONVENTİONAL MONETARY POLICY

Year 2016, Volume: 66 Issue: 2, 61 - 112, 01.12.2016

Halil Tunalı , Yusuf Yalçınkaya

Abstract

Before the global financial crisis of 2007-08, most of our knowledge
about unconventional monetary policy came from studies of Japan’s lost
decade. Following the collapse of Lehman Brothers, central banks of
advanced economies faced the zero bound of nominal interest rates. In
return for that the central banks have responded to the recent financial
crisis with unconventional monetary policy measures. On the other hand,
the Central Bank of the Republic of Turkey has adopted an unconventional
approach since May 2010.

In this study, we ask the question why central banks need to resort
to unconventional monetary policy measures and to what properties of
these instruments’. In addition, we present the transmission mechanism of
quantitative easing and the international experiences with unconventional
monetary policy measures.

To this end, we use the Granger causality test in order to investigate
the relationship between inflation and the real exchange rate changes as
one of the major determinants during this period for the Turkish economy.
Our analysis reveal that the changes in inflation are correlated with real
exchange rate differentials. 

 

Keywords

Unconventional Monetary Policy, Real Exchange Rate, Inflation

GELENEKSEL OLMAYAN PARA POLİTİKASI UYGULAMASINDA ENFLASYON İLE DÖVİZ KURU ARASINDAKİ NEDENSELLİK İLİŞKİSİNİN ANALİZİ

Abstract

2007-08 küresel finans krizi öncesinde geleneksel olmayan para po-
litikasıyla ilgili bilgilerimizin çoğunluğu Japonya’nın kayıp onyılına da-
yanmaktaydı. Lehman Brothers’ın iflasından sonra gelişmiş ülke merkez
bankaları politika faizlerinde sıfır alt bandıyla karşı karşıya kaldılar. Buna
karşılık olarak merkez bankaları geleneksel olmayan para politikası araç-
larına başvurdular. Türkiye Cumhuriyet Merkez Bankası da Mayıs 2010
itibariyle geleneksel olmayan para politikası uygulamaktadır.

Bu çalışmada, merkez bankalarının geleneksel olmayan para politikası
araçlarına başvurma nedenleri sorgulanmış ve bu araçların özellikleri açık-
lanmıştır. Ayrıca, niceliksel genişleme aktarım mekanizması ve geleneksel
olmayan para politikası uluslararası uygulamaları anlatılmaktadır.

Bu amaçla, geleneksel olmayan para politikasının uygulandığı dönem-
de Türkiye ekonomisi için enflasyon ve reel döviz kuru arasındaki ilişki
Granger nedensellik testi ile analiz edilmiştir. Analiz sonucunda, enflas-
yondaki değişimlerin reel döviz kuru değişimleri ile kısa ve uzun dönemde
ilişkili olduğu bulgusuna ulaşılmıştır. 

Keywords

Geleneksel Olmayan Para Politikası, Reel Döviz Kuru, Enflasyon

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