Do Geopolitical Risks Affect Monetary Policies? Evidence From Türkiye with The TVP-VAR Method

Abstract

This study aims to fill gap in the literature by focusing on the interaction between Türkiye's geopolitical risks and monetary policy. For this purpose, the study examines how the impact of geopolitical risks on economic indicators such as the credit market, money supply, and exchange rates has changed over time, using monthly data from February 2012 to August 2024. The variables included in the model were analyzed using the Time-Varying Parameter Vector Autoregression (TVP-VAR) approach. The findings reveal that credit volume is the main center of interaction within the system. The M1 money supply and the real effective exchange rate, on the other hand, are positioned more as volatility receivers, with limited volatility transmission. Geopolitical risk, however, is largely influenced by its own internal volatility and exerts limited impact on other variables, indicating that the direct effect of geopolitical risk on economic indicators remains limited. Overall, the study results provide valuable insights into the influence of economic policies by examining the links among credit volume, money supply, and exchange rates, while also highlighting the relatively limited impact of geopolitical risk.

Keywords

• Geopolitical Risk
• Monetary Policy
• TVP-VAR

Jeopoli̇ti̇k Ri̇skler Para Poli̇ti̇kalarını Etki̇ler Mi? TVP-VAR Yöntemi̇ ile Türki̇ye'den Kanıtlar

Abstract

Bu çalışma, Türkiye'nin jeopolitik riskleri ile para politikası arasındaki etkileşime odaklanarak literatürdeki boşluğu doldurmayı amaçlamaktadır. Bu amaçla çalışmada, Şubat 2012-Ağustos 2024 dönemine ait aylık veriler kullanılarak jeopolitik risklerin kredi piyasası, para arzı ve döviz kuru gibi ekonomik göstergeler üzerindeki etkisinin zaman içinde nasıl değiştiği incelenmiştir. Modelde yer alan değişkenler Zamanla Değişen Parametreli Vektör Otoregresyon (TVP-VAR) yaklaşımı kullanılarak analiz edilmiştir. Bulgular, kredi hacminin sistem içindeki etkileşimin ana merkezi olduğunu ortaya koymaktadır. M1 para arzı ve reel efektif döviz kuru ise daha çok oynaklık alıcıları olarak konumlanmakta ve oynaklık aktarımı sınırlı kalmaktadır. Jeopolitik riskin ise büyük ölçüde kendi iç oynaklığından etkilenmesi ve diğer değişkenler üzerinde sınırlı etki göstermesi, jeopolitik riskin ekonomik göstergeler üzerindeki doğrudan etkisinin sınırlı kaldığını göstermektedir. Genel olarak, çalışmanın sonuçları kredi hacmi, para arzı ve döviz kurları arasındaki bağlantıları inceleyerek ekonomi politikalarının etkisine ilişkin değerli bilgiler sunarken, jeopolitik riskin nispeten sınırlı etkisinin de altını çizmektedir.

Keywords

• Jeopolitik Risk
• Para Politikası
• TVP-VAR

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