Taylor Kuralı: Türkiye için Bir Vektör Otoregresif Model Analizi

Yıl 2011, Cilt: 11 Özel Sayı, 95 - 112, 01.11.2011

Fuat Lebe Tayfur Bayat

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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