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

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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