Parasal Değişkenler ve Çıktı İlişkisinin Türkiye İçin Tarihsel Ayrıştırma Yöntemi İle Analizi

Öz

Parasal değişkenler ve çıktı arasındaki dinamik ilişki makroekonomide en çok çalışılan konulardan biridir. Türkiye Ekonomisine ilişkin olarak yapılan çalışmaların önemli bir kısmının çıkmazı bu çalışmaların birçoğu Granger Nedensellik Testi ve Etki-Tepki fonksiyonu analizi gibi tam örneklem tahmin yöntemlerinin sonuçlarının, göz önünde bulundurduğu örneklem dönemine göre duyarlı görünmesidir. Bu zorluğun üstesinden gelmenin bir yolu olarak, bu çalışmada, Türkiye Ekonomisi için parasal değişkenler ile çıktı değişkeni arasındaki dinamik ilişkiyi vektör otoregresif bir modele dayanan Tarihsel Ayrışma yöntemi kullanılarak incelenmiştir. Çalışmada 1987-2019 dönemi için M1, M2 ve iskonto oranı ile çıktı arasındaki ilişki VAR modeli ile incelenmiş olup enflasyon değişkeninin gecikmeleri bu oluşturulan VAR modeline dışsal değişken olarak eklenmiştir. Tarihsel Ayrıştırma yönteminin avantajlarından faydalanarak değişkenler arasındaki zamanla değişen şoklar uygulanarak daha doğru sonuçlar elde edilmiştir. Bu çalışmadan elde edilen temel sonuç ise çalışmada kullanılan parasal değişkenlerin 1994 ve 2001 Krizlerinde gelir değişkenini negatif olarak güçlü bir şekilde açıkladığı, diğer dönemlerde çoğunlukla güçlü olmamakla beraber pozitif etkilediği şeklindedir.

Anahtar Kelimeler

• Tarihsel Ayrıştırma
• Parasal Değişkenler
• M1
• M2
• Çıktı
• Türkiye

Analysis of Monetary Variables and Output Relationship with Historical Decomposition Method for Turkey

Öz

The dynamic links between monetary variables and output is one of the most studied issues in macroeconomics. One puzzle from the significant portion of the literature is that the results of full estimation methods such as Granger Causality Test and Impulse-Response Function analysis appear to be sensitive with respect to the sample period that one considers. As a way of overcoming this difficulty, this study investigates the dynamic links between monetary variables and output for Turkey using the method Historical Decomposition which is based on a vector autoregressive model. In the study, the relationship between M1, M2 and discount rate and output for the period of 1987-2019 was examined with the VAR model, and the lags of the inflation variable were added to this created VAR model as an external variable. By taking advantage of the historical decomposition method, more accurate results were obtained by applying time-varying shocks between the variables. The main conclusion obtained from this study is that the monetary variables used in the study while explains the income negatively in 1994 and 2001 Crises it affects positively although it was not strong in other periods.

Anahtar Kelimeler

• Historical Decomposition
• Monetary Variables
• M1
• M2
• Output
• Turkey

Kaynakça

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