Abstract
Bu çalışmada, 1987:01-2002:04 dönemine ait veriler kullanılarak Türkiye ekonomisi için enflasyon, milli gelir, döviz kuru, para arzıve faiz oranıdeğişkenleri arasındaki ilişkiler VAR analiziyle incelenmektedir. Elde edilen sonuçlar faiz oranının döviz kuru, para arzıve enflasyonu etkileyen kritik bir değişken olduğunu, para arzının enflasyonu doğrudan, döviz kurunu ise dolaylıolarak etkilediğini göstermektedir. Varyans ayrıştırmasısonucuna göre, enflasyonu en çok etkileyen iki değişkenin sırasıyla %29’luk ve %25’lik pay ile döviz kuru ve faiz oranıolduğu tespit edilmiştir. Bu iki değişkenin enflasyonla mücadelede politika aracıolarak kullanılıp kullanılamayacağınıtespit etmek amacıyla yapılan etki-tepki fonksiyonları, faizleri kontrol etmenin döviz kurunu sabitlemeye oranla daha uygun bir enflasyonla mücadele aracıolabileceğine işaret etmektedir. Bu bulgu, döviz kurunu çıpa olarak kullanan istikrar programlarının uygulandıklarıekonomilerde makro dengeleri etkileyen krizlerle sonuçlanmışolmasıdeneyimiyle uyum içindedir.
Keywords
References
- Agenor, P.R. ve A.W. Hoffmaister (1998), “Money, Wages and Inflation in Middle-Income Developing Countries,” Unpublished IMF Working Paper.
- Agenor, P.R. ve P.J. Montiel (1996), Development Macroeconomics, Princeton: Princeton Univ. Press.
- Alper, C.E ve M. Üçer (1998), “Some Observations on Turkish Inflation: A Random Walk Down the Past Decade,” Boğaziçi Journal, 12(1).
- Altuğ, S. ve K. Yılmaz (1998), “Asset Returns, Inflation and Real Activity: The Case of Mexico and Turkey,” Boğaziçi Journal, 12(1).
- Bond, M.E. (1980) “Exchange Rates, Inflation and Vicious Circles,” IMF Staff Papers, 27: 679-711.
- Bowermann, L.B. and R.T.O’Connell (1979), Forecasting and Time Series, Duxbury Press, North Scituate.
- Çoban, O. (2002), “Türk ve Alman Ekonomilerinde Para Arzı, Enflasyon ve Faiz Oranı Arasındaki İlişkilerin Ekonometrik Analizi,” Atatürk Üniversitesi İİBF Dergisi, 16, 5-6: 32-41.
- Dennis, R. (2001) “Monetary Policy and Exchange Rates in Small Open Economies,” FRBSF Economic Letter, 16(May):1-4.
- Gujarati, D. N. (1995), Basic Econometrics, Thırd Edition, McGraw-Hill, Inc. Singapore.
- Köse, N. (1998) “Vektör Otoregressif Modeller Üzerine Bir İnceleme.” Yayınlanmamış Doktora Tezi. Ankara: Gazi Üniversitesi Sosyal Bilimler Enstitüsü.
- Nelson, C.R. and C.I.Plosser (1992) “Trends and Random Walks in Macroecomomic Time Series: Some Evidence and Implications,” Journal of Monetary Economics, Vol.10.
- McCarthy, J. (1999), “Pass-Through of Exchange Rates and Import Prices to Domestic Inflation in Some Industrialised Economies,” BIS Working Papers, No. 79.
- Mishkin, Frederic S. (1995) “Symposium on the Monetary Transmission Mechanism,” Journal of Economic Perspectives, 9(4): 3-10.
- Öniş, Z. ve S. Özmucur (1990) “Exchange Rates, Inflation and Money Supply in Turkey: Testing the Vicious Circle Hypothesis,” Journal of Development Economics, 32: 133-154.
- Pagan, A.R. (1987), “Three Economteric Methodologies: A Critical Appraisal,” Journal of Economic Survey, Vol.1.
- Pindyck, S.R. veL.D. Rubinfeld (1991), Econometric Models and economic Forecasts, McGraw-Hill Company.
- Ross, K. (2000), “Post-Stabilization Inflation Dymanics in Slovenia,” Applied Economics, Sayı 32: 135-149.
- Selçuk, F. (1994), “Currency Substitution in Turkey,” Applied Economics, 26: 509-518
- Seyidoğlu, H. (2003), Uluslararası İktisat, Genişletilmiş 15. baskı, İstanbul: Güzem Yayınları.
- Sims, C.A. (1980) “Macroeconomics and Reality,” Econometrica, Sayı 48, No.1: 1-48.
Abstract
This study investigates the relationship between such macro variables as inflation, interest rates, exchange rates, output, and money supply using VAR analysis based on quarterly time series data for 1987:01-2002:04 period. The results indicate that interest rate is a critical variable affecting exchange rate, money supply, and inflation; money supply affects inflation directly while exchange rate does the same thing indirectly. According to variance decomposition results, it is found that two variables that affect inflation most are exchange rate and interest rate with 29% and 25%, respectively. Impulse-response functions are employed to demonstrate whether these two variables can be used as policy tools to control inflation. The results show that keeping interest rates under control would be a better policy tool than fixing exchange rates. This result is in conformity with recent experiences that stability programs using exchange rate as an anchor to curb inflation eventually resulted in crises
Keywords
References
- Agenor, P.R. ve A.W. Hoffmaister (1998), “Money, Wages and Inflation in Middle-Income Developing Countries,” Unpublished IMF Working Paper.
- Agenor, P.R. ve P.J. Montiel (1996), Development Macroeconomics, Princeton: Princeton Univ. Press.
- Alper, C.E ve M. Üçer (1998), “Some Observations on Turkish Inflation: A Random Walk Down the Past Decade,” Boğaziçi Journal, 12(1).
- Altuğ, S. ve K. Yılmaz (1998), “Asset Returns, Inflation and Real Activity: The Case of Mexico and Turkey,” Boğaziçi Journal, 12(1).
- Bond, M.E. (1980) “Exchange Rates, Inflation and Vicious Circles,” IMF Staff Papers, 27: 679-711.
- Bowermann, L.B. and R.T.O’Connell (1979), Forecasting and Time Series, Duxbury Press, North Scituate.
- Çoban, O. (2002), “Türk ve Alman Ekonomilerinde Para Arzı, Enflasyon ve Faiz Oranı Arasındaki İlişkilerin Ekonometrik Analizi,” Atatürk Üniversitesi İİBF Dergisi, 16, 5-6: 32-41.
- Dennis, R. (2001) “Monetary Policy and Exchange Rates in Small Open Economies,” FRBSF Economic Letter, 16(May):1-4.
- Gujarati, D. N. (1995), Basic Econometrics, Thırd Edition, McGraw-Hill, Inc. Singapore.
- Köse, N. (1998) “Vektör Otoregressif Modeller Üzerine Bir İnceleme.” Yayınlanmamış Doktora Tezi. Ankara: Gazi Üniversitesi Sosyal Bilimler Enstitüsü.
- Nelson, C.R. and C.I.Plosser (1992) “Trends and Random Walks in Macroecomomic Time Series: Some Evidence and Implications,” Journal of Monetary Economics, Vol.10.
- McCarthy, J. (1999), “Pass-Through of Exchange Rates and Import Prices to Domestic Inflation in Some Industrialised Economies,” BIS Working Papers, No. 79.
- Mishkin, Frederic S. (1995) “Symposium on the Monetary Transmission Mechanism,” Journal of Economic Perspectives, 9(4): 3-10.
- Öniş, Z. ve S. Özmucur (1990) “Exchange Rates, Inflation and Money Supply in Turkey: Testing the Vicious Circle Hypothesis,” Journal of Development Economics, 32: 133-154.
- Pagan, A.R. (1987), “Three Economteric Methodologies: A Critical Appraisal,” Journal of Economic Survey, Vol.1.
- Pindyck, S.R. veL.D. Rubinfeld (1991), Econometric Models and economic Forecasts, McGraw-Hill Company.
- Ross, K. (2000), “Post-Stabilization Inflation Dymanics in Slovenia,” Applied Economics, Sayı 32: 135-149.
- Selçuk, F. (1994), “Currency Substitution in Turkey,” Applied Economics, 26: 509-518
- Seyidoğlu, H. (2003), Uluslararası İktisat, Genişletilmiş 15. baskı, İstanbul: Güzem Yayınları.
- Sims, C.A. (1980) “Macroeconomics and Reality,” Econometrica, Sayı 48, No.1: 1-48.
Details
| Primary Language | Turkish |
|---|---|
| Journal Section | Research Article |
| Authors | |
| Publication Date | August 1, 2005 |
| Published in Issue | Year 2005 Issue: 14 |
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