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TÜRKİYE’DE PARA TALEBİNİN KOENTEGRASYON ANALİZİ

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

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

References

  • BANERJEE A, DOLADO JJ, GALBRAITH JW, HANDRY, DF. (1993) Co- integration, Error Correction and Econometric Analysis of Non-Stationary Data. Oxford
  • University Press, New York. DOORNIK J, HENDRY DF, NIELSEN B (1998) Inference in Cointegrating Models
  • UK M1 Revisited. Journal of Economic Surveys Special Issue, 533-565. DOORNIK J, HENDRY DF (1997) Modelling Dynamic Systems Using PcFiml 9.0 for
  • Windows. International Thomson Business Press London. DOORNIK J, HENDRY DF (1999) Give Win an Interface to Empirical Modelling.
  • Timberlake Consultant Press. Harrow. DOORNIK J, HENDRY DF (1999) PcGive: Volume 1, Empirical Econometric
  • Modelling Using. Timberlake Consultant Press. Harrow. ENDERS W (1995) Applied Econometric Time Series. John Wiley and Sons Inc. New York.
  • ENGLE R.F, GRANGER CWJ (1987)Cointegration and Error –
  • Correction:Representation, Estimation and Tasting. Econometrica 55,2: 251-276
  • ERICSSON, NR (1998) Empirical Modelling of Money Demand, Empirical Economics :295-315.
  • EIİCSSON NR, SHARMA, S (1998) Broad Money Demand and Financial
  • Liberalisation in Greece. Empirical Economics 23:417-436. EVIEWS3 USER’S GUIDE 1994-1998 Quantitative Micro Software. USA.
  • EVIEWS3 USER’S GUIDE 1994-1998 Command and Programming Reference. Micro Software. USA.
  • HENDRY DF (1995) Dynamic Econometrics. Oxford University Press, New York.
  • HENDRY DF, JUSELIUS K (2000) Explaining Cointegration: Analysis: Part1. Energy Journal 21,1:1-42.
  • HUMBRICH K (1999) Estimation of German Money Demand System –a Long-run
  • Analysis. Empirical Economics 24:77-99. JOHANSEN, S (1995) Likelihood –Based Inference in Cointegrated Vector
  • AutoregressivModels. Oxford University Press, New York JOHANSEN S, JUSELIUS, K (1990) Maximum Likelihood Estimation and Inference on Cointegration with Application to the Demand for Money. Oxford Bulletin of
  • Economics and Statistics 52,169-206. KEYDER N. (1998) The Behaviour of Velocity and its Policy Relevance in Turkey 1996.METU Studies in Development.25, 3 :407-433
  • KEYDER N, (1989) Velocity and Monetary Targeting in Turkey, METU Studies in Development, 16:1-2: 31-66.
  • KEYDER N, (1996) Money, Politic and Practice. METU, Ankara.
  • KIVILCIM M, MUSLU I (1999) Money Demand. The Cagan Model Testing Rational
  • Expectations vs Adaptive Expectations; The Case of Turkey. Empirical Economics :415-426. KODAR I, (1995) Cointegration Tests for Money Demand the Case for Turkey and Israel. The CBRT Discussion Paper.
  • LUTKEPHOL H, WOLTERS J, (1998) A Money Demand System for German M3
  • Empirical Economics 23:371-386. MADDALA GS, KIM IM, (1998). Unit Roots, Cointegration and Structural
  • Change.Cambridge University Press, Cambridge. MILLS,T (1998) Recent Developments in Modelling Nonstationary Vector
  • Autoregressions. Journal of Economic Surveys.12,3;279-312. WELIWITA A, EKANAYAKE EM (1998) Demand for Money in Sri Lanka During
  • Post-1997 Peri od: a Cointegration and Error Correction Analysis . Applied Economics :1219-1229.
  • YAVAN.Z, (1993) With Cointegration, Ex-post and Ex-ante Modelling Approach to
  • Estimate Money Demand in Turkey. METU Studies in Development.20: 381-416. YILDIRIM, E. (1998) Appendix II of Macroeconomics (Turkish Copright), Dornboush
  • S. S.Fisher, McGraw-Hill-Akademi, Ankara.

COINTEGRATION ANALYSIS OF MONEY DEMAND IN TURKEY

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

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

References

  • BANERJEE A, DOLADO JJ, GALBRAITH JW, HANDRY, DF. (1993) Co- integration, Error Correction and Econometric Analysis of Non-Stationary Data. Oxford
  • University Press, New York. DOORNIK J, HENDRY DF, NIELSEN B (1998) Inference in Cointegrating Models
  • UK M1 Revisited. Journal of Economic Surveys Special Issue, 533-565. DOORNIK J, HENDRY DF (1997) Modelling Dynamic Systems Using PcFiml 9.0 for
  • Windows. International Thomson Business Press London. DOORNIK J, HENDRY DF (1999) Give Win an Interface to Empirical Modelling.
  • Timberlake Consultant Press. Harrow. DOORNIK J, HENDRY DF (1999) PcGive: Volume 1, Empirical Econometric
  • Modelling Using. Timberlake Consultant Press. Harrow. ENDERS W (1995) Applied Econometric Time Series. John Wiley and Sons Inc. New York.
  • ENGLE R.F, GRANGER CWJ (1987)Cointegration and Error –
  • Correction:Representation, Estimation and Tasting. Econometrica 55,2: 251-276
  • ERICSSON, NR (1998) Empirical Modelling of Money Demand, Empirical Economics :295-315.
  • EIİCSSON NR, SHARMA, S (1998) Broad Money Demand and Financial
  • Liberalisation in Greece. Empirical Economics 23:417-436. EVIEWS3 USER’S GUIDE 1994-1998 Quantitative Micro Software. USA.
  • EVIEWS3 USER’S GUIDE 1994-1998 Command and Programming Reference. Micro Software. USA.
  • HENDRY DF (1995) Dynamic Econometrics. Oxford University Press, New York.
  • HENDRY DF, JUSELIUS K (2000) Explaining Cointegration: Analysis: Part1. Energy Journal 21,1:1-42.
  • HUMBRICH K (1999) Estimation of German Money Demand System –a Long-run
  • Analysis. Empirical Economics 24:77-99. JOHANSEN, S (1995) Likelihood –Based Inference in Cointegrated Vector
  • AutoregressivModels. Oxford University Press, New York JOHANSEN S, JUSELIUS, K (1990) Maximum Likelihood Estimation and Inference on Cointegration with Application to the Demand for Money. Oxford Bulletin of
  • Economics and Statistics 52,169-206. KEYDER N. (1998) The Behaviour of Velocity and its Policy Relevance in Turkey 1996.METU Studies in Development.25, 3 :407-433
  • KEYDER N, (1989) Velocity and Monetary Targeting in Turkey, METU Studies in Development, 16:1-2: 31-66.
  • KEYDER N, (1996) Money, Politic and Practice. METU, Ankara.
  • KIVILCIM M, MUSLU I (1999) Money Demand. The Cagan Model Testing Rational
  • Expectations vs Adaptive Expectations; The Case of Turkey. Empirical Economics :415-426. KODAR I, (1995) Cointegration Tests for Money Demand the Case for Turkey and Israel. The CBRT Discussion Paper.
  • LUTKEPHOL H, WOLTERS J, (1998) A Money Demand System for German M3
  • Empirical Economics 23:371-386. MADDALA GS, KIM IM, (1998). Unit Roots, Cointegration and Structural
  • Change.Cambridge University Press, Cambridge. MILLS,T (1998) Recent Developments in Modelling Nonstationary Vector
  • Autoregressions. Journal of Economic Surveys.12,3;279-312. WELIWITA A, EKANAYAKE EM (1998) Demand for Money in Sri Lanka During
  • Post-1997 Peri od: a Cointegration and Error Correction Analysis . Applied Economics :1219-1229.
  • YAVAN.Z, (1993) With Cointegration, Ex-post and Ex-ante Modelling Approach to
  • Estimate Money Demand in Turkey. METU Studies in Development.20: 381-416. YILDIRIM, E. (1998) Appendix II of Macroeconomics (Turkish Copright), Dornboush
  • S. S.Fisher, McGraw-Hill-Akademi, Ankara.
There are 30 citations in total.

Details

Primary Language English
Journal Section Research Article
Authors

Aziz Kutlar This is me

Fehim Bakırcı This is me

Granger Causality This is me

Publication Date May 1, 2007
Published in Issue Year 2007 Volume: 9 Issue: 17

Cite

APA Kutlar, A., Bakırcı, F., & Causality, G. (2007). COINTEGRATION ANALYSIS OF MONEY DEMAND IN TURKEY. Manas Üniversitesi Sosyal Bilimler Dergisi, 9(17), 123-136.
AMA Kutlar A, Bakırcı F, Causality G. COINTEGRATION ANALYSIS OF MONEY DEMAND IN TURKEY. Manas Üniversitesi Sosyal Bilimler Dergisi. May 2007;9(17):123-136.
Chicago Kutlar, Aziz, Fehim Bakırcı, and Granger Causality. “COINTEGRATION ANALYSIS OF MONEY DEMAND IN TURKEY”. Manas Üniversitesi Sosyal Bilimler Dergisi 9, no. 17 (May 2007): 123-36.
EndNote Kutlar A, Bakırcı F, Causality G (May 1, 2007) COINTEGRATION ANALYSIS OF MONEY DEMAND IN TURKEY. Manas Üniversitesi Sosyal Bilimler Dergisi 9 17 123–136.
IEEE A. Kutlar, F. Bakırcı, and G. Causality, “COINTEGRATION ANALYSIS OF MONEY DEMAND IN TURKEY”, Manas Üniversitesi Sosyal Bilimler Dergisi, vol. 9, no. 17, pp. 123–136, 2007.
ISNAD Kutlar, Aziz et al. “COINTEGRATION ANALYSIS OF MONEY DEMAND IN TURKEY”. Manas Üniversitesi Sosyal Bilimler Dergisi 9/17 (May 2007), 123-136.
JAMA Kutlar A, Bakırcı F, Causality G. COINTEGRATION ANALYSIS OF MONEY DEMAND IN TURKEY. Manas Üniversitesi Sosyal Bilimler Dergisi. 2007;9:123–136.
MLA Kutlar, Aziz et al. “COINTEGRATION ANALYSIS OF MONEY DEMAND IN TURKEY”. Manas Üniversitesi Sosyal Bilimler Dergisi, vol. 9, no. 17, 2007, pp. 123-36.
Vancouver Kutlar A, Bakırcı F, Causality G. COINTEGRATION ANALYSIS OF MONEY DEMAND IN TURKEY. Manas Üniversitesi Sosyal Bilimler Dergisi. 2007;9(17):123-36.