Küresel Piyasaların Türkiye Ekonomisi Üzerindeki Etkisi: FAVAR Yaklaşımı

Öz

Bu çalışmada, 2005-2019 döneminde küresel piyasaların Türkiye’de önemli makroekonomik göstergeler üzerindeki etkisi araştırılmaktadır. Ampirik analizde, büyük veri setinin geniş bilgi kapasitesinden yararlanmak için Faktörle Artırılmış Vektör Otoregresif (FAVAR) yaklaşımı kullanılmıştır. Serbestlik derecesini korumak için standart VAR'lar nadiren altı ila sekizden fazla değişken kullanabilmekte iken, bu çalışmada FAVAR yaklaşım ile ekonomik faaliyet, para arzı, faiz oranı, döviz kuru, fiyat seviyesi ve bunların alt kalemlerini içeren 125 makroekonomik değişken kullanılmıştır. Böylece küresel piyasaların Türkiye ekonomisi üzerindeki etkisinin kapsamlı ve tutarlı bir resmini sunmak hedeflenmiştir. Çalışmada küresel piyasaları temsilen Amerika Birleşik Devletleri Merkez Bankası (FED) tarafından politika faizi olarak kullanılan 'efektif federal fon oranı' şokunun Türkiye ekonomisi üzerindeki etkileri incelenmiştir. Ampirik bulgularda, FED'in sıkı para politikasının -pozitif efektif federal fon oranı şokunun- Türkiye’nin sanayi üretim endeksini, kısa ve uzun vadeli mevduat faiz oranlarını, para arzını (M2) ve tüketici enflasyonunu artırırken, reel efektif döviz kurunu düşürdüğü tespit edilmiştir. Bulgularımızın küresel piyasa değişiklikleri karşısında Türkiye ekonomisinin kırılganlıklarının belirlenmesi ve etkili politikalar uygulama konusunda politika yapıcılara fikir vermesi beklenmektedir.

Anahtar Kelimeler

• Para politikası
• ABD federal fon oranı
• Türkiye
• FAVAR

The Impact of Global Markets on the Economy in Türkiye: FAVAR Approach

Öz

This paper investigates the impact of global markets on key macroeconomic indicators in Türkiye over the period 2005-2019. In the empirical analysis, we use a Factor-Augmented Vector Autoregressive (FAVAR) approach to exploit the large information capacity of the large dataset. While standard VARs rarely use more than six to eight variables to conserve the degree of freedom, we use 125 macroeconomic variables including economic activity, money supply, interest rate, exchange rate, price level and their sub-items in the FAVAR model. Thus, it is aimed to provide a comprehensive and consistent picture of the impact of global markets on the Turkish economy. This paper examines the effects of the 'effective federal funds rate' shock, which is used as the policy rate by the United States Federal Reserve (FED) as a proxy for global markets, on the Turkish economy. The empirical findings show that the FED's tight monetary policy -positive effective federal funds rate shock- increases Turkey's industrial production index, short and long-term deposit interest rates, money supply (M2) and consumer inflation, while decreasing the real effective exchange rate. Our findings are expected to provide policymakers with insights on identifying the vulnerabilities of the Turkish economy in the face of global market changes and implementing effective policies.

Anahtar Kelimeler

• Monetary policy
• US federal funds rate
• Türkiye
• FAVAR

Kaynakça

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