Monetary Policy and Asset Prices in the Period Following the Global Crisis: The Case of Turkey

Year 2017, , 13 - 30, 01.04.2017

Ümit Bulut

https://doi.org/10.17153/oguiibf.298720

Cited By: 3

Abstract

This paper aims at examining whether the Central Bank of the Republic of
Turkey (CBRT) reacts to changes in asset prices in the period following the
global crisis. To this end, the reaction function of the CBRT is extended with
exchange rate gap and stock market index gap. According to the findings of the
empirical analysis, the CBRT considers the difference between expected
inflation and inflation target and exchange rate gap while it is adjusting
interest rates. These findings show that exchange rates have significant
effects on the interest rate adjustments of the CBRT beyond affecting inflation
expectations in the period following the global crisis. 

Keywords

The Central Bank of the Republic of Turkey, Reaction Function, Asset Prices, ARDL Method

Küresel Krizi İzleyen Dönemde Para Politikası ve Varlık Fiyatları: Türkiye Örneği

Abstract

Bu
çalışmanın amacı, küresel krizi izleyen dönemde Türkiye Cumhuriyet Merkez
Bankası’nın (TCMB) varlık fiyatlarındaki değişimlere tepki verip vermediğini
incelemektir. Bu amaç doğrultusunda, çalışmada TCMB için oluşturulan tepki
fonksiyonu döviz kuru açığı ve borsa endeksi açığıyla genişletilmiştir. Ampirik
analizin sonuçlarına göre, TCMB faiz ayarlamaları yaparken enflasyon beklentisi
ile enflasyon hedefi arasındaki fark ve döviz kuru açığıyla ilgilenmektedir. Bu
sonuçlar, küresel krizi izleyen dönemde döviz kurunun enflasyon beklentilerini
etkilemenin ötesinde TCMB’nin faiz ayarlamaları üzerinde anlamlı etkilere sahip
olduğunu göstermektedir.  

Keywords

Türkiye Cumhuriyet Merkez Bankası, Tepki Fonksiyonu, Varlık Fiyatları, ARDL Yöntemi

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