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ASYMMETRY IN INFLATION TARGETING

Yıl 2019, Cilt: 41 Sayı: 2, 391 - 412, 06.01.2020
https://doi.org/10.14780/muiibd.665062

Öz

Following the world financial crisis beginning in the last quarter of 2008, aggregate demand and
commodity prices have declined sharply leading to a fast decline in world inflation. This different and
new period reflects the rise in risk appetite leading to high fluctuations in the short term capital flows.
World central banks revised their monetary policy to the changing conditions taking into account
financial stability. In 2002, the Central Bank of Republic of Turkey adopted inflation targeting (in the
implicit form) to maintain price stability. After 2008, parallel to the developments in global markets,
the Turkish economy reflects decline in inflation rates. Together with the changes in the economic
conditions, estimating monetary policy models in the form of constant-coefficient and symmetric
specification may lead to erroneous interpretations. This study analyzes the existence of structural
break(s) and asymmetric behavior for the 2003-2016 period. The paper also examines the monetary
policy model under the New Keynesian DSGE model. The Turkish monetary policy investigated for
the period presents October 2009 as the break point under different models and structural break tests.
Asymmetric reactions to interest rate, output and exchange rate are observed which are suggesting
changes in the monetary preferences of Central Bank of Republic of Turkey.

Kaynakça

  • BINICI, M., Kara, H., and Ozlu, P., 2016. Faiz Koridoru ve Banka Faizleri: Parasal Aktarım Mekanizmasina Dair Bazı Bulgular, Central Bank of Republic of Turkey Working Papers, No. 1608.
  • ANDREWS, D. W., 1993. Tests for parameter instability and structural change with unknown change point. Econometrica: Journal of the Econometric Society: 821-856.
  • ANDREWS, D. W., and Ploberger, W., 1994. Optimal tests when a nuisance parameter is present only under the alternative. Econometrica: Journal of the Econometric Society: 1383-1414.
  • BAI, J., 1997. Estimation of a change point in multiple regression models. Review of Economics and Statistics, 79(4), 551-563.
  • BAI, J., and Perron, P., 1998. Estimating and testing linear models with multiple structural changes. Econometrica: 47-78.
  • BEC, F., M.B. Salem, F. Collard, 2002. “Asymmetries in monetary policy reaction function: Evidence for the US, French and German central banks”, Studies in Nonlinear Dynamics and Econometrics, Vol. 6(2): 1-22.
  • BENLIALPER, A. Cömert, H., Öcal, N., 2015. “Asymmetric Exchange Rate Policy in Inflation Targeting Developing Countries”, mimeo. http://www.boeckler.de/pdf/v_2015_10_23_benlialper.pdf, (Accessed 12 December 2016).
  • BERUMENT, H., 2007. Measuring monetary policy for a small open economy: Turkey, Journal of Macroeconomics, Vol. 29: 411–430.
  • BERUMENT, H. K. Malatyali, 2000. The implicit reaction function of the Central Bank of Republic of Turkey, Applied Economics Letters, Vol. 7: 425–430.
  • CHOW, G. C., 1960. Tests of equality between sets of coefficients in two linear regressions. Econometrica: Journal of the Econometric Society: 591-605.
  • ÇEBI, C., 2012. The interaction between monetary and fiscal policies in Turkey: An estimated New Keynesian DSGE model. Economic Modelling, Vol. 29 (4): 1258-1267.
  • GEYIK, E. Ü., 2011. A test for asymmetric central bank preferences in Turkey, Internatıonal Journal Of Social Sciences And Humanity Studies, Vol 3 (2): 179-191.
  • GÜRKAYNAK, R. S., Kantur, Z., Taş, M. A., & Yıldırım, S. (2015). Monetary policy in Turkey after Central Bank independence, 30(356): 9-38.
  • HASANOV, M., and Omay, T., 2008. Monetary policy rules in practice: Re-examining the case of Turkey. Physica A: Statistical Mechanics and its Applications, 387(16): 4309-4318.
  • HASANOV, M., and Omay, T., 2008. Nonlinearities in emerging stock markets: evidence from Europe’s two largest emerging markets. Applied Economics, 40(20): 2645-2658.
  • JUSTINIANO, A., and Preston, B., 2010. Monetary policy and uncertainty in an empirical small openeconomy model. Journal of Applied Econometrics, 25(1): 93-128.
  • KLOSE, J., 2011. Asymmetric Taylor reaction functions of the ECB: An approach depending on the state of the economy. The North American Journal of Economics and Finance, 22(2): 149-163.
  • QUANDT, R. E., 1960. Tests of the hypothesis that a linear regression system obeys two separate regimes. Journal of the American statistical Association, 55(290): 324-330.
  • SZNAJDERSKA, A., 2014. Asymmetric effects in the Polish monetary policy rule. Economic Modelling, 36: 547-556.
  • ÜLKE, V. and Berument, M. H., 2016. Asymmetric effects of monetary policy shocks on economic performance: empirical evidence from Turkey. Applied Economics Letters, 23(5): 353-360.
  • VASICEK, B., 2012. Is monetary policy in new member states asymmetric? Econ. Syst. 36 (2): 235–263.
Toplam 21 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Ekonomi
Bölüm Makaleler
Yazarlar

Pınar Deniz

Erhan Aslanoğlu Bu kişi benim

Yayımlanma Tarihi 6 Ocak 2020
Gönderilme Tarihi 8 Nisan 2019
Yayımlandığı Sayı Yıl 2019 Cilt: 41 Sayı: 2

Kaynak Göster

APA Deniz, P., & Aslanoğlu, E. (2020). ASYMMETRY IN INFLATION TARGETING. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 41(2), 391-412. https://doi.org/10.14780/muiibd.665062
AMA Deniz P, Aslanoğlu E. ASYMMETRY IN INFLATION TARGETING. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. Ocak 2020;41(2):391-412. doi:10.14780/muiibd.665062
Chicago Deniz, Pınar, ve Erhan Aslanoğlu. “ASYMMETRY IN INFLATION TARGETING”. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi 41, sy. 2 (Ocak 2020): 391-412. https://doi.org/10.14780/muiibd.665062.
EndNote Deniz P, Aslanoğlu E (01 Ocak 2020) ASYMMETRY IN INFLATION TARGETING. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi 41 2 391–412.
IEEE P. Deniz ve E. Aslanoğlu, “ASYMMETRY IN INFLATION TARGETING”, Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, c. 41, sy. 2, ss. 391–412, 2020, doi: 10.14780/muiibd.665062.
ISNAD Deniz, Pınar - Aslanoğlu, Erhan. “ASYMMETRY IN INFLATION TARGETING”. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi 41/2 (Ocak 2020), 391-412. https://doi.org/10.14780/muiibd.665062.
JAMA Deniz P, Aslanoğlu E. ASYMMETRY IN INFLATION TARGETING. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2020;41:391–412.
MLA Deniz, Pınar ve Erhan Aslanoğlu. “ASYMMETRY IN INFLATION TARGETING”. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi, c. 41, sy. 2, 2020, ss. 391-12, doi:10.14780/muiibd.665062.
Vancouver Deniz P, Aslanoğlu E. ASYMMETRY IN INFLATION TARGETING. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2020;41(2):391-412.