Parasal Şokların Asimetrik Etkileri: Teori ve Türkiye Uygulaması

Öz

İktisadi şokların, reel değişkenler üzerinde daralma ve genişleme yönünde yaratacağı etkiler, farklı hız, şiddet veya oranda gerçekleşebilmektedir. Pozitif ve negatif şokların birbirinden farklı etkiler yaratması, ilgili reel değişkende asimetrik hareketlere yol açmaktadır. Reel değişkenlerin asimetrik bir şekilde hareket edip etmediği sorusu, ilk olarak Keynes (1936) ve Burns ve Mitchell (1946)’in çalışmaları ile gündeme gelmiş, günümüze kadar teorik ve ampirik çalışmaların ilgi odağı olmuştur. Konuya olan bu ilgi, teorik ve ampirik tartışmaları da berberinde getirdiğinden, çalışmada 1990:I−2010:IV dönemi Türkiye ekonomisi için parasal şokların reel üretim düzeyi üzerindeki olası asimetrik etkilerinin sınanması amaçlanmıştır. Bu amaçla Barro (1977)’nun kullandığı iki aşamalı tahmin yönteminden yararlanılmıştır. Birinci aşamada parasal denklem tahmin edilmiştir. Parasal denklemin hata terimlerinden elde edilen parasal şokların, pozitif ve negatif olarak ayrıştırılmasında, Cover (1992)’ın yöntemi kullanılmıştır. İkinci aşamada, reel GSYH denklemi yardımıyla, parasal şokların reel üretim düzeyi üzerinde asimetrik bir etkiye sahip olup olmadığı, üç farklı hipotez çerçevesinde test edilmiştir. Ampirik sonuçlar, Türkiye’deki reel üretimin pozitif ve negatif parasal şoklardan aynı ölçüde etkilenmediğini ve dolayısıyla parasal şokların asimetrik etkilere sahip olduğunu göstermiştir

Anahtar Kelimeler

• Pozitif ve negatif parasal şoklar, iktisadi şokların ayrıştırılması, asimetrik hareket, asimetrik etki

Asymmetric Effects of Monetary Shocks: Theory and Application for Turkey

Öz

The effects of economic shocks that cause contraction and expansion on real variables could appear to be different in terms of speed, intensity, and rate. Positive and negative shocks cause asymmetric movement on the real variable because these shocks produce different effects from each other. The question of whether real variables movement as asymmetric firstly came up with the studies of Keynes (1936) and Burns and Mitchell (1946) and has been the focus of theoretical and empirical studies up to now. Because the interest on this subject has caused theoretical and empirical debates, the purpose of this study is to investigate the asymmetric effects of monetary shocks on real production for Turkish economy at the period of 1990:I-2010:IV. For the purpose, a two-stage estimation method that was used by Barro (1977) has been used in this study. Monetary equation has been estimated in the first-stage. The method of Cover (1992) has been used to decompose monetary shocks, have been obtained from error terms of the monetary equation, as positive and negative. In the second-stage, with the aid of real GDP equation that contains positive and negative monetary shocks, whether monetary shocks have an effect asymmetrically on real production has been tested within framework of three different hypotheses. Empirical results imply that real output in Turkey is not equally affected by positive and negative monetary shocks and therefore monetary shocks have asymmetric effects on real output

Anahtar Kelimeler

• Positive and negative monetary shocks, decomposition of economic shocks, asymmetric movement, asymmetric effect

Kaynakça

1. Ball, L., Mankiw, G. N. ve Romer, D. (1988) “The New Keynesian Economics and the Output-Inflation Macroeconomics, 21(4):713-727. Trade-off” Brookings Papers on Economic Activity, 19(1):1- 82.
2. Barro, R. J. (1977) “Unanticipated Money Growth and Unemployment in the United States” American Economic Review, 67:101-105.
3. Berument, H. ve Doğan, B. (2005) “The Asymmetric Effects of Government Spending Shocks: Empirical Evidence from Turkey” Journal of Economic and Social Research, 6(1): 33-51.
4. Burns, A. F. and Mirchell, W.C. (1946) “Measuring Business Cycle” New York, NBER.
5. Cover, J. P. (1992) “Asymmetric Effects of Positive and Negative Money Supply Shocks” Quarterly Journal of Economics, 1261-1282.
6. Hamilton, J. D. (1989) “A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle” Econometrica, 57:357-384.
7. Kandil, M. (1995) “Asymmetric Nominal Flexibility and Economic Fluctuations” Southern Economic Journal, 61:674-695.
8. Kandil, M. (2001) “Asymmetry in the Effects of US Government Spending Shocks: Evidence and Implications” The Quarterly Review of Economics and Finance, 41:137-165.

9. Kandil, M. (2002) “Asymmetry in the Effects International Evidence” Review of Economic Dynamics, 4(1):230-243. of Monetary and Government Spending Shocks: Contrasting Evidence and Implications” Economic Inquiry, 40(2):288-313.
10. Karras, G. (1996) “Are The Output Effects of Monetary Policy Asymmetric? Evidence from A Sample of European Countries” Oxford Bulletin of Economics and Statistics, 58(2):267-278
11. Karras, G. ve Stokes, H. (1999) “Why Are the Effects of Money-Supply Shocks Asymmetric? Evidence from Prices, Consumption, and Investment” Journal of
12. Keynes, J. M. (1936) “The General Theory of Employment, Interest and Money” Cambridge, Cambridge University Press.
13. Küçükkale, Y. ve Yamak, R. (2009) “Asymmetric Effects of Aggregate Demand Policy in Turkey” Middle Eastern Finance and Economics, 4:97-108.
14. Mitchell, W. C. (1927) Business Cycles: The Problem and Its Setting, New York, National Bureau of Economic Research.
15. Newey, W. ve West, K. (1987) “A Simple, Positive Semi-Define, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix” Econometrica, 55:703- 708.
16. Phillips, C.B. ve Peron, P. (1988) “Testing for a Unit Root in Time Series Regression” Biometrika, 75:335-346.
17. Psaradakis, Z. ve Sola, M. (2003) “On Detrending and Cyclical Asymmetry” Journal of Applied Econometrics, 18:271-289.
18. Ravn, M.O. ve Sola, M. (1997) “Asymmetric Effects of Monetary Policy in the US: Positive vs. Negative or Big vs. Small?” Universitat Pompeu Farba Working Paper Series, No: 247.
19. Razzak, W. A. (2001) “Business Cycle Asymmetries:
20. Sims, C. A. (1980) Macroeconomics and Reality, Econometrica, 48(10):1-48.
21. Tanriöver, B. (2008) “İktisadi Şokların Asimetrik Etkileri” Yayınlanmamış Yüksek Lisans Tezi, Trabzon, Karadeniz Teknik Üniversitesi Sosyal Bilimler Enstitüsü.
22. Telatar, E. ve Hasanov, M. (2006) “The Asymmetric Effects of Monetary Shocks: The Case of Turkey” Applied Economics, 38(18): 2199-2208.