Modelling Asymmetric Cointegration of Money Demand in Türkiye: Bounds Testing Approach

Öz

This study empirically investigates stability of narrow money demand function and the asymmetric long-run cointegrating relationships between real money demand and its determinants in Türkiye with monthly data over the period between 2010:January and 2021:December by using modified version of traditional autoregressive distributed lag model, which captures nonlinearities. In money demand specification, this study uses M1 to measure real narrow money demand, real private consumption expenditure, weighted average interest rates for deposit in TL, and exchange rate to assess long-run relationships. We find that monetary aggregate is stable over the sample horizon, suggested by CUSUM and CUSUMQ parameter stability tests. While traditional autoregressive distributed lag model cannot observe a cointegration for money demand function, modified version, which considers nonlinearities, allows us to observe long-run level relationship for money demand function in Türkiye.

Anahtar Kelimeler

• Nonlinearities
• Bounds testing approach
• Money demand
• Türkiye

Türkiye’ de Para Talebinin Asimetrik Eşbütünleşme Modellemesi: Sınır Testi Yaklaşımı

Öz

Bu çalışma Türkiye’de dar para talebi fonksiyonunun istikrarlılığını ve para talebi ile para talebinin belirleyicileri arasındaki asimetrik uzun dönem ilişkisini 2010:Ocak ve 2021:Aralık dönemine ait aylık veri seti ile doğrusal dışılığı dikkate alan geleneksel olmayan gecikmesi dağıtılmış otoregresif modeli kullanarak incelemiştir. Uuzn dönemli ilişkiyi tespit etmek üzere kurulan para talebi modelinde bağımlı değişken olan reel para talebinin göstergesi olarak M1 kullanılırken açıklayıcı değişkenler olarak reel özel tüketim harcamaları, TL mevduatları için uygulanan ağırlıklı ortalama faiz oranı ve döviz kuru kullanılmıştır. Doğrusal dışılık dikkate alındığında söz konusu dönem için tahmin edilen para talebi fonksiyonuna ait katsayıların istikrarlı olduğu CUSUM ve CUSUMQ testleri ile tespit edilmiştir. Geleneksel gecikmesi dağıtılmış otoregresif model ile tahmin yapıldığında para talebi ile para talebinin belirleyicileri arasında uzun dönemli ilişkinin var olmadığı gözlemlenmişken doğrusal dışılığı dikkate alan geleneksel olmayan modein tahmin edilmesiyle para talebi ile para talebinin belirliyecileri arasında uzun dönemli ilişki tespit edilmiştir.

Anahtar Kelimeler

• Doğrusal dışılık
• Sınır testi yaklaşımı
• Para talebi
• Türkiye

Kaynakça

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