Reaction of Monetary policy to Cost-Push Inflation in Turkey: A Leaning against Wind?

Abstract

In Turkey, monetary policy responds to cost shocks rather than the inflation gap and output gap. To clarify this policy, we estimate the linear and non-linear Taylor rule using the Thresold GMM for 2006:01-2020:07. The linear model estimates that the policy rate responds significantly to the inflation gap and the real effective exchange rate. The non-linear model captures that monetary policy differs in regimes where imported goods and input prices are set as high and low. In a high price regime, monetary policy also reacts to cost-push shocks. The response of monetary policy to the exchange rate implicitly leads to "a leaning against the wind".

Keywords

• Inflation
• Cost-push Shocks
• Taylor Rule
• Threshold Generalized Methods of Moment

Türkiye’de Para Politikasının Maliyet İtişli Şoklara Tepkisi: Rüzgâra Karşı Bir Duruş mu?

Abstract

Türkiye'de para politikası reel efektif döviz kurundaki değişmelere odaklanmakta, enflasyon açığı ve çıktı açığından ziyade maliyet şoklarına tepki vermektedir. Bu politikayı netleştirmek için, 2006:01-2020:07 için Eşik GMM kullanarak doğrusal ve doğrusal olmayan Taylor kuralı tahmin edilmektedir. Doğrusal model, politika faizinin enflasyon açığına ve reel efektif döviz kuruna önemli ölçüde tepki verdiğini tahmin etmektedir. Doğrusal olmayan model ise ithal mal ve girdi fiyatlarının yüksek ve düşük olarak ayarlandığı rejimlerde para politikasının farklılık gösterdiğini ortaya koymaktadır. Yüksek fiyat rejiminde, para politikası maliyet şoklarına da tepki vermektedir. Para politikasının döviz kuruna tepkisi örtük bir şekilde "rüzgâra karşı bir duruş" sergiliyor.

Keywords

• Enflasyon
• Maliyet İtişli Şoklar
• Taylor Kuralı
• Eşik Genelleştirilmiş Momentler Metodu

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