Testing the Strategic Interaction Between FED and CBRT Policy Decisions: Toda-Yamamoto Approach

Öz

This study is based on analyzing a strategic interaction situation between Federal Reserve Bank(FED) and Central Bank of the Republic of Turkey(CBRT) policy decisions. In this context, our study analyzes whether the policies implemented by the CBRT are affected by the policy decisions of the FED through a theoretical leader-follower relationship. For this, the interaction game between FED and CBRT is theoretically modeled. The hypotheses proposed in the model were tested using the Toda-Yamamoto approach for the 2006M01-2020M12 periods. Findings show that the game is theoretically the leader of the FED and a leader-follower situation arises between the FED and the CB

Anahtar Kelimeler

• Monetary policy decisions
• Game theory
• Toda-Yamamoto causality test

FED VE TCMB Politika Kararları Arasındaki Stratejik Etkileşimin Testi: Toda-Yamamoto Yaklaşımı

Öz

Bu çalışma Federal Rezerv Bankası(FED) ve Türkiye Cumhuriyet Merkez Bankası(TCMB) politika kararları arasında stratejik bir etkileşim durumunu inceleme üzerine kurulmuştur. Bu çerçevede, çalışma TCMB’ nin uyguladığı politikaların, FED’ in politika kararlarından etkilenip etkilenmediğini oyun teorik bir lider-takipçi ilişkisi üzerinden analiz etmektedir. Bunun için, FED ve TCMB arasındaki etkileşim oyun teorik olarak modellenmiştir. Modelde öne sürülen hipotezler 2006M012020M12 dönemleri için Toda-Yamamoto yaklaşımını kullanılarak test edilmiştir. Bulgular, oyun teorik olarak FED’ in lider olduğu ve FED ve TCMB arasında bir lider-takipçi durumun ortaya çıktığını göstermektedir.

Anahtar Kelimeler

• Para politikası kararları
• Oyun teorisi
• Toda-Yamamoto nedensellik testi

Kaynakça

1. Belke, A. (2002). Does the ECB Follow the FED? (No. 211/2002). Department of Economics, University of Hohenheim, Germany.
2. Belke, A., & Gros, D. (2005). Asymmetries in transatlantic monetary policy‐making: Does the ECB follow the fed? JCMS: Journal of Common Market Studies, 43(5), 921–946.
3. Castro, V. (2011). The impact of the European Union fiscal rules on economic growth. Journal of Macroeconomics, 33(2), 313–326.
4. Engle, R. F., & Granger, C. W. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica: journal of the Econometric Society, 251–276.
5. Garcia-Cervero, S. (2002). Is the Fed really leading the way. Deutsche Bank Europe Weekly, 22, 8-10.
6. Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: Journal of the Econometric Society, 424–438.
7. Ioannidis, C., & Napolitano, O. (2003). Optimal Monetary Policy and the Asset Market: A Noncooperative Game.
8. Kwiatkowski, D., Phillips, P.C., Schmidt, P. and Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of Econometrics, 54(1), 159–178.

9. Nelson, C. R., & Plosser, C. R. (1982). Trends and random walks in macroeconmic time series: some evidence and implications. Journal of monetary economics, 10(2), 139–162.
10. Martin, C., & Milas, C. (2013). Financial crises and monetary policy: Evidence from the UK. Journal of Financial Stability, 9(4), 654–661.
11. Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346.
12. Rambaldi, A. N., & Doran, H. E. (1996). Testing for granger non-casuality in cointegrated systems made easy. Department of Econometrics, University of New England.
13. Tapşın, G., & Karabulut, A. T. (2013). Reel döviz Kuru, ithalat ve ihracat arasındaki nedensellik İlişkisi: Türkiye örneği. Akdeniz Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 13(26), 189–204 Ulrich, K. (2003): A Comparison Between the Fed and the ECB: Taylor Rules, ZEW Discussion Paper No. 03-19, Centre for European Economic Research, Mannheim.
14. Toda, H. Y., & Phillips, P. C. (1993). Vector autoregressions and causality. Econometrica: Journal of the Econometric Society, 1367–1393.
15. Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of econometrics, 66(1-2), 225–250.