Geçiş Ülkelerinde Para Politikası Şoklarının Enflasyon Üzerindeki Asimetrik Etkisi

Abstract

Bu çalışmada para politikası şoklarının enflasyon üzerindeki asimetrik etkisi incelenmiştir. Çalışmada “geçiş ülkeleri” olarak adlandırılan Arnavutluk, Ermenistan, Azerbaycan, Belarus, Bosna Hersek, Gürcistan, Kazakistan, Kırgızistan, Moldova, Rusya Federasyonu, Sırbistan, Tacikistan, Ukrayna olmak üzere 13 ülke irdelenmiştir. Analizde Ocak 2006 – Aralık 2018 aralığındaki aylık veriler alınmış olup M2 değeri (para arzı için), tüketici fiyat endeksi değişimleri (enflasyon için) verileri kullanılmıştır. Para politikası şokları ile enflasyon arasındaki ilişki ekonometrik model çerçevesinde ele alınmıştır. Zaman serisi yapısı ve regresyon modelinin kullanıldığı analiz neticesinde pozitif para şokları enflasyonu arttırıcı bir etkiye sahipken negatif şokların da enflasyon üzerinde negatif ve istatistiki olarak anlamlı bir etkiye sahip olduğu ortaya çıkmıştır.

Keywords

• Para Politikası
• Asimetrik Etki
• Pozitif ve Negatif Parasal Şok

The Asymmetric Effect of Monetary Policy Shocks on Inflation For Transition Countries

Abstract

The aim of this study is to determine the asymmetric effect of monetary policy shocks on inflation, In this study, 13 countries, Albania, Armenia, Azerbaijan, Belarus, Bosnia and Herzegovina, Georgia, Kazakhstan, Kyrgyzstan, Moldova, Russian Federation, Serbia, Tajikistan and Ukraine, which are called as “transition countries, were examined. Monthly data between January 2006 - December 2018 were taken and M2 value (for money supply), consumer price index changes (for inflation) data were used. The relationship between monetary policy shocks and inflation has been discussed within the framework of the econometric model. As a result of the analysis, positive money shocks have an increasing effect on inflation and negative shocks have a negative and statistically significant effect on inflation.

Keywords

• Monetary Policy
• Asymmetric Effect
• Positive and Negative Shock

References

1. Ball, L. and Mankiw, N.G. (1994). Asymmetric Price Adjustment and Economic Fluctuations. Economic Journal, 104 (423): 247-261.
2. Cover, J.P. (1992). Asymmetric Effects of Positive and Negative Money-Supply Shocks. The Quarterly Journal of Economics, 107(4): 1261-1282.
3. Çalışkan, Ö.V. (2010). Toplam Talep ve Toplam Arz. Ankara: Yörünge Akademi.
4. Ergeç, E.H. (2007). Türkiye Ekonomisinde Pozitif ve Negatif Para Politikası Şoklarının Asimetrik Etkileri (Yayımlanmamış doktora tezi). Anadolu Üniversitesi Sosyal Bilimler Enstitüsü. Eskişehir.
5. IMF (2000). Transition Economies: An IMF Perspective on Progress and Prospects (Issues Brief, November). Retrieved from: http://www.imf.org/external/np/exr/ib/2000/110300.htm
6. Kandil, M. (1995). Asymmetric Nominal Flexibility and Economic Fluctuations. Southern Economic Journal, 61: 674-695.
7. Kandil, M. (2002) Asymmetry in the Effects of Monetary and Government Spending Shocks: Contrasting Evidence and Implications. Economic Inquiry, 40(2): 288-313.
8. Karras, G. (1996). Are The Output Effects of Monetary Policy Asymmetric? Evidence from A Sample of European Countries. Oxford Bulletin of Economics and Statistics, 58(2): 267-278

9. Karras, G. (1996). Why Are the Effects of Money-Supply Shocks Asymmetric? Convex Aggregate Supply or "Pushing on a String? Journal of Macroeconomics, 18(4): 605-619.
10. Karras, G. and Stokes, H. (1999). Why Are the Effects of Money-Supply Shocks Asymmetric? Evidence from Prices, Consumption, and Investment. Journal of Macroeconomics, 21(4): 713-727.
11. Monetary, Financial and Banking Statistics. (2019). Bank of Albania [Dataset]. Retrieved from: https://www.bankofalbania.org/?crd=0,8,2,0,0,17019&uni=20190605175641945448188648202663&ln=2&mode=alone
12. Monetary an Financial Statistics (2019). Central Bank of Almania [Dataset]. Retrieved from: https://www.cba.am/en/SitePages/statmonetaryfinancial.aspx
13. Monetary an Financial Statistics (2019). The National Bank of the Republic of Belarus [Dataset]. Retrieved from: https://www.nbrb.by/engl/statistics/MonetaryStat/BroadMoney/
14. Morgan, D. P. (1993). Asymmetric Effects of Monetary Policy. Federal Reserve Bank of Kansas City Economic Review, 78(2): 21-33.
15. Ravn, M.O. and Sola, M. (1997). Asymmetric Effects of Monetary Policy in the US: Positive vs. Negative or Big vs. Small? (Universitat Pompeu Farba Working Paper Series No. 247). Retrieved from: https://econ-papers.upf.edu/papers/247.pdf
16. Telatar, E. and Hasanov, M. (2006). The Asymmetric Effects of Monetary Shocks: The Case of Turkey. Applied Economics, 38(18): 2199-2208.
17. Statistical Data (2019). National Bank of Georgia [Dataset]. Retrieved from: https://www.nbg.gov.ge/index.php?m=306&lng=eng
18. Statistics (2019). Bank of Russia [Dataset]. Retrieved from: https://www.cbr.ru/eng/
19. Statistics (2019). National Bank of Kazakhstan [Dataset]. Retrieved from: https://nationalbank.kz/?docid=158&switch=english
20. Statistics (2019). National Bank of North Macedonia [Dataset]. Retrieved from: http://www.nbrm.mk/ns-newsarticle-monetarni-i-kreditni-agregati-en.nspx
21. Statistics (2019). National Bank of Moldova [Dataset]. Retrieved from: https://www.bnm.md/bdi/pages/reports/dpmc/DPMC3.xhtml
22. Statistics (2019). National Bank of Serbia [Dataset]. Retrieved from: https://www.nbs.rs/en/drugi-nivo-navigacije/statistika/
23. Statistics (2019). Natioal Bank of Tajikistan [Dataset]. Retrieved from: https://nbt.tj/en/statistics/monetary_sector.php
24. Statistics (2019). Natioal Bank of Ukraine [Dataset]. Retrieved from: https://bank.gov.ua/control/en/index
25. Ülke, V. and Berument, M.H. (2016). Asymmetric Effects of Monetary Policy Shocks on Economic Performance: Empirical Evidence from Turkey. Applied Economics Letters, 23(5): 353-360.