FİNANSAL FAKTÖRLERİN REEL PARA TALEBİ ÜZERİNDEKİ ROLÜ: TÜRKİYE ÖRNEĞİ

Yıl 2007, Cilt: 10 Sayı: 18, 45 - 61, 01.12.2007

Mustafa Sevüktekin Mehmet Nargeleçekenler

Öz

Araştırmanın Temeli: Değişen finansal koşullarda para talebi fonksiyonunun hareketi önemlidir. Para talebi üzerine yapılan çalışmalar para talebi belirleyicilerinin; reel gelir, faiz ve son zamanlarda hisse senedi fiyatları olduğunu göstermektedir. Bu finansal faktörlerin para talebi üzerindeki etkileri yatırımcıların karar verme davranışlarını belirleyecektir Araştırmanın Amacı: Bu çalışma Türkiye’deki finansal faktörlerin M1 ve M2 para talebinin davranışları üzerinde olan etkilerini analiz etmektedir. Bu amaçla çalışmada, 1988:01-2006:09 dönemi için çok değişenli kointegrasyon yaklaşımı kullanılarak M1 ve M2 para talebi fonksiyonları; reel gelir, faiz oranı, döviz kuru ve reel hisse senedi fiyatı ile tahmin edilmektedir. Tartışma ve Sonuç: Bulunan sonuçlar M1 ve M2 para taleplerinin uzun dönem ilişkilerini ve hem M1 hem de M2’nin dinamik yapılarındaki kararlılığı sergilemektedir. Ayrıca M1 üzerinde reel gelir, faiz ve reel hisse senedinin daha etkili olduğu bulunurken, M2 üzerinde döviz kurunun daha etkili olduğu bulunmaktadır. Döviz kuru para talebi üzerinde pozitif ve anlamlı bir etkiye sahip olduğu için bu durum Türkiyede dövizin gelecekte artacağı düşüncesinin hakim olduğunun göstergesidir. Reel hisse senedi, para talebi hem M1 hemde M2’de üzerinde pozitif ve anlamlı bir etkiye sahiptir. Bu yüzden, para talebi davranışında reel hisse senedinin anlamlı etkisi Türkiye’de para talebinin servet refah etkisi yarattığını göstermektedir.

Anahtar Kelimeler

Para talebi, birim kök, kointegrasyon, hata düzeltme modeli, CUSUM ve CUSUMKARE kararlılık testi

The Roles of Financial Factors on the Real Money Demand: Turkey Case

Öz

Fundamental of Study: The action of a money demand function is important in a changing financial condition. The studies about money demand show that the determinants of demand money are real income, interest rate, and latterly stock prices. The affect of these financial factors on money demand will determine decide behavior of investors and will determine decide behavior of investors. Goal of Study: This study analyses the roles of financial factors on the behavior of M1 and M2 demands in Turkey. For this purpose in the study using the multivariate cointegration approach for the 1988:01–2006:09 period, M1 and M2 money demand functions is estimated by using real income, interest rate, exchange rate, and real stock prices. Discussion and Result: Our results exhibit that the long-run M1 and M2 money demands and structural stability in the dynamic specification of both M1 and M2 demand. In addition, we found that while exchange rate the more effect on M2, real income, interest rate and real stock price the more effect on M1. The exchange rate have a significant and positive effect on money demand, it is indicate that thinking of rising exchange rate in the future is dominate in Turkey. Real stock prices have a significant and positive effect on long-run money demand in both M1 and M2 . Therefore, we show the significance of real stock prices in influencing the demand behavior, indicating the dominance of the wealth effects in Turkey.

Anahtar Kelimeler

Money demand, unit root, contegration, error correction model, CUSUM and CUSUMQS stability test

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