TÜRKİYE’DE PARA TALEBİNİN KOENTEGRASYON ANALİZİ

Year 2007, Volume: 9 Issue: 17, 123 - 136, 01.05.2007

Aziz Kutlar Fehim Bakırcı Granger Causality

Abstract

Bu çalışmada esas olarak; Türkiye’de para politikasıyla ilgili önemli reformların yapıldığı 1987 ile, enflasyonla mücadelede şiddetli önlemlerin alındığı 1999 yılı arasındaki dönemde, geniş anlamda para talebiyle ilgilendik. Daha da ötesinde, uygulamalı çalışmalarda para talebi eşitliklerinde kullanılan reel para talebi ile hazine bonosu faiz gelirleri ve enflasyon arasındaki ilişkileri analiz ettik. Koentegrasyon analizi için Koentegrasyon Testi CI uyguladık ve serilerin birlikte koentegre CI 1,1 olup olmadıklarını araştırdık. Durağanlık testleri için Augmented Dickey-Fuller ADF ve Phillips-Perron PP testleri kullanıldı. Bu, her iki test birlikte kullanıldığında serilerin entegre seriler I 1 olup olmadığını belirledi. Daha sonra, koentegrasyon analizi için uygun bir VAR 4 modeli seçilerek, Granger Nedensellik, Hatalı Sipesifiksyon ARCH 4 ve AR testleri uygulandı. Sınırlandırılmış ve sınırlandırılmamış koentegrasyon analizi ile koentegrasyon vektörleri belirlendi ve uzun dönem para telebi eşitliği tespit edilmeye çalışıldı

Keywords

Para Talebi, Koentegrasyon, Vectör Otoregresif Model, Granger Nedensellik, Zayıf Dışsallık.

COINTEGRATION ANALYSIS OF MONEY DEMAND IN TURKEY

Abstract

In this study we mainly dealt with money demand in broad sense for the period between 1987 I when significant reforms related with money policy of Turkey were realised, and 1999 IV when drastic measures were taken to cope with inflation. Moreover, interrelation between real money demand used in empirical studies for money demand equation, and income, money and treasury bond interest return and inflation were analysed. We applied cointegration test for cointegration analysis and a research was done to find out whether the series were CI 1,1 or not. ADF and PP tests were employed for testing stationary. Using both tests together enabled us to determine whether the series were I I . Later, a suitable VAR 4 model for cointegration analysis was selected and Granger causality and misspecification ARCH 4 and AR 4 tests were applied. Cointegrating vectors were determined with restricted and unrestricted cointegration analysis, and a longrun money demand equation was tried to be derived

Keywords

Money Demand, Cointegration, Vector Autoregressive Model, Granger Causality, Weak Exogeneity.

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