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A CLOSER LOOK AT THE MONEY MULTIPLIERS FOR THE TURKISH ECONOMY: IS THERE A STABLE RELATIONSHIP?

Year 2011, Volume: 61 Issue: 1, 283 - 299, 04.10.2011

Abstract

This paper examines whether the money multiplier processes in the
Turkish economy are stable and can be forecasted. Research results using
quarterly frequency data for the 1987Q1 – 2009Q4 investigation period show that
the processes which convert the base money supply aggregates into the final
monetary aggregates are unstable and tend to decrease the effectiveness of
policies pursued by the monetary authorities. Such a result do not attribute
credibility to the traditional Monetarist prescriptions for the conduct of the
monetary economic policies in the Turkish economy

References

  • Baghestani, H. and Mott, T. (1997), “A Cointegration Analysis of the U.S. Money Supply Strategies”, Journal of Macroeconomics, 19/2, 269-283.
  • Begg, D., Fischer, S. and Dornbusch, R. (1994), Economics, Fourth Ed., 1994.
  • Bornhoff, E.J. (1977), “Predicting the Money Multiplier: A Case Study for the US and the Netherlands”, Journal of Monetary Economics, 3/3, 325-345.
  • Brunner, K. and Meltzer, A.H. (1983), “Strategies and Tactics for Monetary Control”, CarnegieRochester Conference Series on Public Policy, 18, 59-103.
  • Büttler, H.J., Gargerat, J.-F., Schiltknecht, H. and Schiltknecht, K. (1979), “A Multiplier Model for Controlling the Money Stock”, Journal of Monetary Economics, 5/3, 327-341.
  • Dickey, D.A. and Fuller, W.A. (1979), “Distribution of the Estimators for Autoregressive Time Series with A Unit Root”, Journal of American Statistical Association, 74/366, 427431.
  • Dickey, D.A., Jansen, D.W. and Thornton, D.L. (1991), “A Primer on Cointegration with an Application to Money and Income”, Federal Reserve Bank of St. Louis Review, March/April, 58-78.
  • Douglas, W.M. and Speaker, P.J. (1991), “Non-parametric Tests of the Efficacy of Money Stock Control Strategies”, Economic Modelling, 8/1, 83-89.
  • Engle, R.F. and Granger, C.W.J. (1987), “Cointegration and Error Correction: Representation, Estimation and Testing”, Econometrica, 55/2, 251-276.
  • Friedman, M. (1968), “The Role of Monetary Policy”, The American Economic Review, 58/1, 1-17.
  • Gonzalo, J. (1994), “Five Alternative Methods of Estimating Long - Run Equilibrium Relationships”, Journal of Econometrics, 60, 203-233.
  • Gökbudak, N. (1995), “Money Multiplier and Monetary Control”, CBRT Research Department Working Paper , No. 9505, October.
  • Hafer, R.W. and Hein, S.E. (1984), “Predicting the Money Multiplier: Forecasts from Component and Aggregate Models”, Journal of Monetary Economics, 14/3, 375-384.
  • Johannes, J.M. and Rasche, R.H. (1979), “Predicting the Money Multiplier”, Journal of Monetary Economics, 5/3, 301-325.
  • Johansen, S. (1995), Likelihood-based Inference in Cointegrated Vector Autoregressive Models, Oxford: Oxford University Press.
  • Johansen, S. and Juselius, K. (1990), “Maximum Likelihood Estimation and Inference on Cointegration-with applications to the demand for money”, Oxford Bulletin of Economics and Statistics, 52, 169-210.
  • Keyder, N. (1998), Para, Teori, Politika, Uygulama, Geliştirilmiş 6. Baskı, Ankara: Beta Dağıtım.
  • MacKinnon, J.G. (1996), “Numerical Distribution Functions for Unit Root and Cointegration Tests”, Journal of Applied Econometrics, 11, 601-618.
  • MacKinnon, J.G., Haug, A.A. and Michelis, L. (1999), “Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration”, Journal of Applied Econometrics, 14, 563577.
  • Osterwald-Lenum, M. (1992), “A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics”, Oxford Bulletin of Economics and Statistics, 54, 461-472.
  • Paya, M. (1998), Para Teorisi ve Para Politikası, İstanbul: Filiz Kitabevi.
  • Perron, P. (1989), “The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis”, Econometrica, 57, 1361-1401.
  • Phillips, P.C.B. and Perron, P. (1988), “Testing for a Unit Root in Time Series Regression”, Biometrika, 75, 335-346.
  • Sharpe, I.G. (1980), “Australian Money Supply Analysis: The Relationship between Monetary Base, Secondary Reserves and the Money Supply”, Journal of Banking & Finance, 4/3, 283-300.
  • Spindt, P.A. (1983), “The Monetary Multiplier When Money is Measured as a Divisia Quantity Index”, Economics Letters, 13/2-3, 219-222.
  • Şahinbeyoğlu, G. (1995), “The Stability of Money Multiplier: A Test for Cointegration”, CBRT Research Department Working Paper, No: 9603, December.
  • Zivot, E. and Andrews, D.W.K. (1992), “Further Evidence of Great Crash, the Oil Price Shock and the Unit Root Hypothesis”, Journal of Business and Economic Statistics, 10, 251270.

A CLOSER LOOK AT THE MONEY MULTIPLIERS FOR THE TURKISH ECONOMY: IS THERE A STABLE RELATIONSHIP?

Year 2011, Volume: 61 Issue: 1, 283 - 299, 04.10.2011

Abstract

Bu çalışma Türkiye ekonomisindeki para çarpanı süreçlerinin istikrarlı ve
tahmin edilir olup olmadığını incelemektedir. 1987Q1 – 2009Q4 dönemi için üçer
aylık veri sıklığını kullanan araştırma bulguları parasal taban arzı büyüklüklerini
nihai parasal büyüklüklere çeviren süreçlerin istikrarlı olmadığını ve parasal
yetkililer tarafından izlenen politikalarının etkinliğini azaltma eğiliminde
olduğunu göstermektedir. Bu tür bir sonuç Türkiye ekonomisinde parasal ekonomi
politikalarının yönetiminde geleneksel parasalcı reçetelere güvenilirlik
atfetmemektedir

References

  • Baghestani, H. and Mott, T. (1997), “A Cointegration Analysis of the U.S. Money Supply Strategies”, Journal of Macroeconomics, 19/2, 269-283.
  • Begg, D., Fischer, S. and Dornbusch, R. (1994), Economics, Fourth Ed., 1994.
  • Bornhoff, E.J. (1977), “Predicting the Money Multiplier: A Case Study for the US and the Netherlands”, Journal of Monetary Economics, 3/3, 325-345.
  • Brunner, K. and Meltzer, A.H. (1983), “Strategies and Tactics for Monetary Control”, CarnegieRochester Conference Series on Public Policy, 18, 59-103.
  • Büttler, H.J., Gargerat, J.-F., Schiltknecht, H. and Schiltknecht, K. (1979), “A Multiplier Model for Controlling the Money Stock”, Journal of Monetary Economics, 5/3, 327-341.
  • Dickey, D.A. and Fuller, W.A. (1979), “Distribution of the Estimators for Autoregressive Time Series with A Unit Root”, Journal of American Statistical Association, 74/366, 427431.
  • Dickey, D.A., Jansen, D.W. and Thornton, D.L. (1991), “A Primer on Cointegration with an Application to Money and Income”, Federal Reserve Bank of St. Louis Review, March/April, 58-78.
  • Douglas, W.M. and Speaker, P.J. (1991), “Non-parametric Tests of the Efficacy of Money Stock Control Strategies”, Economic Modelling, 8/1, 83-89.
  • Engle, R.F. and Granger, C.W.J. (1987), “Cointegration and Error Correction: Representation, Estimation and Testing”, Econometrica, 55/2, 251-276.
  • Friedman, M. (1968), “The Role of Monetary Policy”, The American Economic Review, 58/1, 1-17.
  • Gonzalo, J. (1994), “Five Alternative Methods of Estimating Long - Run Equilibrium Relationships”, Journal of Econometrics, 60, 203-233.
  • Gökbudak, N. (1995), “Money Multiplier and Monetary Control”, CBRT Research Department Working Paper , No. 9505, October.
  • Hafer, R.W. and Hein, S.E. (1984), “Predicting the Money Multiplier: Forecasts from Component and Aggregate Models”, Journal of Monetary Economics, 14/3, 375-384.
  • Johannes, J.M. and Rasche, R.H. (1979), “Predicting the Money Multiplier”, Journal of Monetary Economics, 5/3, 301-325.
  • Johansen, S. (1995), Likelihood-based Inference in Cointegrated Vector Autoregressive Models, Oxford: Oxford University Press.
  • Johansen, S. and Juselius, K. (1990), “Maximum Likelihood Estimation and Inference on Cointegration-with applications to the demand for money”, Oxford Bulletin of Economics and Statistics, 52, 169-210.
  • Keyder, N. (1998), Para, Teori, Politika, Uygulama, Geliştirilmiş 6. Baskı, Ankara: Beta Dağıtım.
  • MacKinnon, J.G. (1996), “Numerical Distribution Functions for Unit Root and Cointegration Tests”, Journal of Applied Econometrics, 11, 601-618.
  • MacKinnon, J.G., Haug, A.A. and Michelis, L. (1999), “Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration”, Journal of Applied Econometrics, 14, 563577.
  • Osterwald-Lenum, M. (1992), “A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics”, Oxford Bulletin of Economics and Statistics, 54, 461-472.
  • Paya, M. (1998), Para Teorisi ve Para Politikası, İstanbul: Filiz Kitabevi.
  • Perron, P. (1989), “The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis”, Econometrica, 57, 1361-1401.
  • Phillips, P.C.B. and Perron, P. (1988), “Testing for a Unit Root in Time Series Regression”, Biometrika, 75, 335-346.
  • Sharpe, I.G. (1980), “Australian Money Supply Analysis: The Relationship between Monetary Base, Secondary Reserves and the Money Supply”, Journal of Banking & Finance, 4/3, 283-300.
  • Spindt, P.A. (1983), “The Monetary Multiplier When Money is Measured as a Divisia Quantity Index”, Economics Letters, 13/2-3, 219-222.
  • Şahinbeyoğlu, G. (1995), “The Stability of Money Multiplier: A Test for Cointegration”, CBRT Research Department Working Paper, No: 9603, December.
  • Zivot, E. and Andrews, D.W.K. (1992), “Further Evidence of Great Crash, the Oil Price Shock and the Unit Root Hypothesis”, Journal of Business and Economic Statistics, 10, 251270.
There are 27 citations in total.

Details

Primary Language English
Subjects Business Administration
Journal Section Articles
Authors

H. Levent Korap This is me

Publication Date October 4, 2011
Published in Issue Year 2011 Volume: 61 Issue: 1

Cite

APA Korap, H. L. (2011). A CLOSER LOOK AT THE MONEY MULTIPLIERS FOR THE TURKISH ECONOMY: IS THERE A STABLE RELATIONSHIP?. İstanbul Üniversitesi İktisat Fakültesi Mecmuası, 61(1), 283-299.
AMA Korap HL. A CLOSER LOOK AT THE MONEY MULTIPLIERS FOR THE TURKISH ECONOMY: IS THERE A STABLE RELATIONSHIP?. İstanbul Üniversitesi İktisat Fakültesi Mecmuası. October 2011;61(1):283-299.
Chicago Korap, H. Levent. “A CLOSER LOOK AT THE MONEY MULTIPLIERS FOR THE TURKISH ECONOMY: IS THERE A STABLE RELATIONSHIP?”. İstanbul Üniversitesi İktisat Fakültesi Mecmuası 61, no. 1 (October 2011): 283-99.
EndNote Korap HL (October 1, 2011) A CLOSER LOOK AT THE MONEY MULTIPLIERS FOR THE TURKISH ECONOMY: IS THERE A STABLE RELATIONSHIP?. İstanbul Üniversitesi İktisat Fakültesi Mecmuası 61 1 283–299.
IEEE H. L. Korap, “A CLOSER LOOK AT THE MONEY MULTIPLIERS FOR THE TURKISH ECONOMY: IS THERE A STABLE RELATIONSHIP?”, İstanbul Üniversitesi İktisat Fakültesi Mecmuası, vol. 61, no. 1, pp. 283–299, 2011.
ISNAD Korap, H. Levent. “A CLOSER LOOK AT THE MONEY MULTIPLIERS FOR THE TURKISH ECONOMY: IS THERE A STABLE RELATIONSHIP?”. İstanbul Üniversitesi İktisat Fakültesi Mecmuası 61/1 (October 2011), 283-299.
JAMA Korap HL. A CLOSER LOOK AT THE MONEY MULTIPLIERS FOR THE TURKISH ECONOMY: IS THERE A STABLE RELATIONSHIP?. İstanbul Üniversitesi İktisat Fakültesi Mecmuası. 2011;61:283–299.
MLA Korap, H. Levent. “A CLOSER LOOK AT THE MONEY MULTIPLIERS FOR THE TURKISH ECONOMY: IS THERE A STABLE RELATIONSHIP?”. İstanbul Üniversitesi İktisat Fakültesi Mecmuası, vol. 61, no. 1, 2011, pp. 283-99.
Vancouver Korap HL. A CLOSER LOOK AT THE MONEY MULTIPLIERS FOR THE TURKISH ECONOMY: IS THERE A STABLE RELATIONSHIP?. İstanbul Üniversitesi İktisat Fakültesi Mecmuası. 2011;61(1):283-99.