2008 Finansal Krizi Sonrası Para Politikası ve Varlık Fiyatları İlişkisi: Güney Afrika Örneği

Yıl 2025, Cilt: 7 Sayı: 1, 1 - 20, 23.03.2025

Muhterem Çağdaş Abay , Bengül Gülümser Kaytancı

Öz

Merkez bankalarının temel amacı fiyat istikrarını sağlamaktır. Bu klasik amacın yanında bir diğer önemli amaç, finansal istikrarın sağlanmasıdır. Dünya genelinde etkili olan 2008 küresel finansal krizi fiyat istikrarının tek başına yeterli olmadığını küreselleşen dünyayla birlikte finansal istikrarın sağlanmasının da önemli olduğu gerçeğinin kabul edilmesini sağlamıştır. Ekonomide finansal istikrarın sağlanması parasal aktarım mekanizmasının işlevselliğini sağlayabilmekte ve etkin bir parasal aktarım mekanizması, merkez bankalarının elindeki politika araçlarını kullanarak toplam talebi ve enflasyonu etkileyebilmesini sağlamaktadır. Bu bağlamda, parasal aktarım mekanizmasının işleyişini ortaya koymak önem arz etmektedir. Bu çalışmanın temel amacı, küresel finansal kriz sonrasında küçük açık bir ekonomiye sahip olan Güney Afrika için merkez bankası faiz kararlarının varlık fiyatları üzerindeki etkisini analiz etmektedir. Çalışma, 2010:01 – 2012:122 yılları arasını kapsayacak şekilde aylık frekans verileriyle hazırlanmıştır. Çalışmada, yapısal VAR (SVAR) modeli kullanılmış ve küçük açık ekonomilerin analizinde daha etkili bir yöntem olan blok dışsallık da yönteme eklenmiştir. Çalışmadan elde edilen bulgulara göre, Güney Afrika’da dışsal değişkenler politika faizi üzerinde etkilidir. Modelden elde edilen değişkenlere ait şoklarda, modelde yer alan politika faizinin birinci farkını 2019 yılına sıkı bir şekilde takip etmiş ardından aradaki iletim azalmış ve kopmuştur

Anahtar Kelimeler

para politikası, finansal krizler, merkez bankası, SVAR

The Relationship Between Monetary Policy and Asset Prices After the 2008 Financial Crisis: The Case of South Africa

Öz

The main objective of central banks is to ensure price stability. In addition to this classical objective, another important objective is to ensure financial stability. The global financial crisis of 2008, which was effective worldwide, led to the recognition of the fact that price stability alone is not enough and that financial stability is also important in a globalizing world. Ensuring financial stability in the economy can ensure the functionality of the monetary transmission mechanism and an effective monetary transmission mechanism enables central banks to affect aggregate demand and inflation by using the policy instruments at their disposal. In this context, it is important to reveal the functioning of the monetary transmission mechanism. The main objective of this study is to analyze the impact of central bank interest rate decisions on asset prices for South Africa, a small open economy after the global financial crisis. The study is based on monthly frequency data covering the period between 2010:01 - 2012:122. In the study, the structural VAR (SVAR) model is used and block exogeneity, which is a more effective method for analyzing small open economies, is added to the method. According to the findings of the study, exogenous variables have an impact on the policy rate in South Africa. In the shocks of the variables obtained from the model, the first difference of the policy rate in the model followed the policy rate tightly until 2019, after which the transmission decreased and broke.

Anahtar Kelimeler

Monetary Policy, Financial Crises, Central Bank, SVAR

Kaynakça

• Bernanke, B. (1986). Alternative explanations of the money - income correlation, Carnegie-rochester conference series on public policy, 49-100.
• Blanchard, O., J., & Watson M.,W. (1986). Are business cycles all alike? R.J. Gordon(Editör), The American Business Cycle Continuty and Change içinde (s.123-180). University of Chicago Press.
• Brink, N., & Kock, M. A. (2011). The monetary policy transmission mechanism in an open emerging market economy: the case of south africa, South african reserve bank.
• Cushman, D., & Zha, T. (1997). Identifying monetary policy in a small open economy under flexible exchange rates, Journal of Monetary Economics, 39(3), 443-448.
• De Angelis, C., & Aziakpono, M. J., & Faure, A. P. (2005). The transmission of monetary policy under the repo system in South Africa: An empirical analysis. South African journal of economics, 73(4), 657-673.
• De Waal, A., & Van Eyden, R. (2012). The monetary transmission mechanism in South Africa: A VECM augmented with foreign variables. University of Pretoria.
• Duca, J., V., & Muellbauer, J. (2013). Tobin lives: Integrating evolving credit market architecture into flow of funds based macro-models, European central bank , Working paper series 1581.
• Farajnezhad, M. (2022). Examine the credit channel of the monetary policy transmission mechanism in an emerging market economy: the case of South Africa. Journal of Money and Business, 2(2), 149-164.
• Federal Deposit Insurance Corporation (2018). Crisis and response: An FDIC history, 2008-2013, Federal Deposit Insurance Corporation.
• Fielding, D., & Shields, K. (2006). Regional asymmetries in monetary transmission: The case of South Africa. Journal of Policy Modeling, 28(9), 965–979.
• Gumata, N., & Kabundi, A., & Ndou, E. (2013). Important channels of transmission monetary policy shock in South Africa. South African Reserve Bank Working Paper. 06.
• Kabundi, A. & Rapapali, M. (2019). The transmission of monetary policy in south africa before and after the global financial crisis. South African Journal of Economics, 87, 464-489.
• Kılınç, M., & Tunç, C. (2014). Identification of monetary policy shocks in Turkey: A structural VAR approach. TCMB Working Paper, 14(23).
• Lütkepohl, H. (2010). Variance Decomposition. Durlauf, S.N., Blume, L.E. (editörler) Macroeconometrics and Time Series Analysis. The New Palgrave Economics Collection. London: Palgrave Macmillan.
• McCoy, D. (1997). How useful is Structural VAR Analysis for Irish economics?. Central Bank of Ireland Techinicial Paper, 2/RT/97.
• Mishi, S., & Tsegaye, A. (2020). Monetary policy transmission mechanism in South Africa: the bank lending channel and its alternative. Academy of Accounting and Financial Studies Journal, 24(1), 1-18.
• Precious, C., & Palesa, M. K. (2014). Impact of monetary policy on economic growth: A case study of South Africa. Mediterranean journal of social sciences, 5(15), 76-84.
• Sims,C.,A. (1986). Are forecasting models usable for policy analysis?, Quarterly Review, Federal Reserve Bank of Minneapolis, 10, 2-16.
• Zaefarian, G., & Iurkov, V., & Koval, M. (2022). Variance decomposition analysis: What is it and how to perform it–A complete guide for B2B researchers. Industrial marketing management, 107, 315-322.