Taylor Kuralı: Türkiye için Bir Vektör Otoregresif Model Analizi

Öz

Son zamanlarda merkez bankaları para politikası stratejilerini, duruma göre politikalar yerine açıkça belirlenmiş kurallara dayalı olarak belirleme eğilimindedir. Merkez bankalarının uyguladıkları politikaların tahmin edilebilir olabilmesinin en basit yolu, politika uygulamalarının merkez bankasının geliştirdiği basit kurallara göre yürütülmesidir. Merkez bankalarınca yürütülen para politikasının daha fazla tahmin edilebilir kılınması, ekonomik birimleri politika sürprizlerine karşı kendilerini garantiye almak zorunda bırakmamakta ve politika uygulamalarının topluma yansıyacak maliyetini azaltabilmektedir. Optimal bir politika kuralı karmaşık modellere dayalı olabilmektedir. Fakat karmaşık modeller, duruma göre politikaların neden olduğu problemlerin çözümünü zorlaştırabilir, hatta imkânsızlaştırabilir. Çünkü karmaşık kurallar için ihtiyaç duyulan tüm bilgi halk tarafından takip edilemeyecektir. Taylor Kuralı gibi basit kurallar ise daha kolay anlaşılabilmekte ve uygulanabilmektedir. Bununla birlikte, Orijinal Taylor Kural’ında döviz kuru yer almamaktadır. Bu çalışmada ise, Taylor Kuralı döviz kurunu da içerecek şekilde genişletilmiştir. Bu nedenle, bazı gelişmiş ülkeler için geçerli olan Taylor Kuralı’nı Türkiye için geçerliliğini Genişletilmiş Taylor bilgi setini oluşturan değişkenler kullanılarak araştırılması amaçlanmaktadır. Ancak, bu çalışma mevcut literatürden farklı olarak Türkiye için Taylor Kuralı’nın geçerliliği çeşitli faiz oranlarına göre model denemeleri yapılarak test edilmeye çalışılacaktır. Bu amaçla, araştırmada 1986:5-2010:9 dönemini kapsayan aylık veriler kullanılarak VAR yöntemiyle analiz yapılmıştır. Yapılan analiz sonucu, her üç model için olmasa da genelde Türkiye’de faizlerin Taylor Kuralı’na bağlıymış gibi hareket ettiği söylenebilir. Ayrıca, para politikası aracı olarak MB’nın kısa vadeli krediler için öngördüğü reeskont faiz oranı temel alınarak yürütüldüğünde daha istenir sonuçlar vermesinden dolayı politika yapıcılarının Türkiye için bu politika seçeneğinin dikkate alması gerektiği ifade edilebilir.

Anahtar Kelimeler

• Taylor kuralı, faiz oranları, para politikası, vektör otoregresif model

Taylor Rule: A Vector Autoregressive Model Analysis For Turkey

Öz

In recent years, central banks are willing to determine monetary policy strategies according to a rule introduced by policy makers instead of discretionary policy decisions. The easiest way of increasing predictability of policies practiced by central banks is to practice policy according to a simple rule developed by policy makers. Increasing predictability of monetary policy gives chance to households to guarantee themselves in the case of policy surprises and reduces social cost of monetary policy applications. An optimal policy rule may depends on complex models. But complex models can complicate solution of problems caused by discreationary policies. Because all the important information needed for complex rules can not be collected by households. In this respect, simple rules like Taylor rule is easy to understand and to apply. But original policy reaction function constructed by Taylor (1993) does not include exchange rate. In this study, Taylor rule is extended by implicating exchange rate into policy reaction function. By doing so, Taylor rule which is valid for some developed countries is investigated for the Turkish economy and validity of the rule is tested. Unlike the existing literature, validity of Taylor rule in the Turkish economy is analysed by modelling according to different type of interest rates. With this aim, monthly data belonging to the Turkish economy including years between 1986:5 and 2010:9 is used and VAR methodology is employed. At the end of the analysis, results imply that although it is not valid for all three interest rate types, interest rates move in the context of Taylor rule in general. Also, results of Taylor type reaction function based on discount rate of the CBRT used as monetary policy tool is more useful and policy makers have to take the rule into consideration in policymaking decisions.

Anahtar Kelimeler

• Taylor rule, interest rate, monetary policy, vector autoregressive model (VAR)

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