The Analysis of the Exchange Rate Channel of Monetary Transmission Mechanism by VAR Model Method: Turkey, Mexico and Indonesia Examples

Year 2017, Issue: 108, 27 - 48, 01.10.2017

Musa Atgür N. Oğuzhan Altay

https://doi.org/10.33203/mfy.357657

Abstract

This paper examines
the efficiency of the monetary transmission mechanism exchange rate channel
using the VAR Model Method in Turkey, Mexico and Indonesia. Quarterly data were
used in this paper, the period 2002:I-2016:IV for all three countries. The
findings obtained show that partially works of the monetary transmission
mechanism exchange rate channel in Turkey that 
the channel doesn't work in Mexico and Indonesia.

Keywords

Monetary Transmission Mechanism, Exchange Rate Channel, VAR Model

Parasal Aktarım Mekanizması Döviz Kuru Kanalının VAR Modeli Yöntemine Göre Analizi: Türkiye, Meksika ve Endonezya Ülke Örnekleri

Abstract

Bu çalışmada, Türkiye, Meksika ve Endonezya’da
parasal aktarım mekanizması döviz kuru kanalının etkinliği VAR Modeli Yöntemi
ile incelenmiştir. Çalışmada üçer aylık veriler kullanılmış olup, her üç ülke
için, 2002:I-2016:IV dönemi incelenmiştir. Elde edilen bulgular, parasal
aktarım mekanizması döviz kuru kanalının Türkiye’de kısmen çalıştığını,
Meksika’da ve Endonezya’da söz konusu kanalın çalışmadığını ortaya koymuştur.

Keywords

Parasal Aktarım Mekanizması, Döviz Kuru Kanalı, VAR Modeli

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