Öz
The effects of changes in monetary policies remain always an important
topic in macroeconomics literature. In the existing literature, there is no
theoretical as well as empirical consensus regarding the effects of monetary
policies. Most of these studies look at the effect of monetary policy changes to
inflation, total output, exchange rate and general price level (Jang and Ogaki,
2004, Dickinson and Liu, 2007). Moreover, there are several studies
investigate the effects of monetary policy on macroeconomic variables in
Turkey (see Berument, 2007, Peker, 2007, Berument and Dinçer, 2008, and
Telatar and Hasanov, 2006). In these studies, the effects of monetary policy
have been investigated by using Vector Autoregressive (VAR) or structural VAR
methodology. In order to identify the monetary policy shocks, different
identification schemes have been used such as long run restriction, short run
restriction, and sign restriction. Moreover, different variables have been used
as a measure of monetary policy change. The innovation in money aggregate or
interest rate as a measure of monetary policy change is used in Sims (1972,
1980). Christiano and Eichenbaum (1992a) argue that changes in broad
aggregates reflect both demand and supply shocks. The interest rate is also
considered as an innovation (see Bernanke and Blinder, 1992 and Sims, 1992).
However, there seems to be little consensus on what kind of variables should be
used as an indicator of monetary policy (Rafiq and Mallick, 2008). Unlike these
studies, Uhlig (1994, 2005) identifies shocks by directly restricting the signs of
their impulse responses to agree with received opinion on what these signs
should be. There are several advantages of this approach. First, by
construction, impulse responses of a shock should agree with received opinion
on what these signs should be for a period of time. Second, because of
identifying monetary policy shocks using impulse responses for several periods
following the shock, a wide range of monetary policy shocks can be captured.
Third, impulse responses are drawing from the posterior distribution of the
reduced form VAR covariance matrix and coefficients, and from the set of
structural matrices consistent with the assumed sign restrictions. That is, on the
evidence of simulation experiments, it performs well relative to identification
methods based on contemporaneous zero restrictions (Mountford, 2005).
In this study, in order to identify the effects of monetary policy shocks,
Uhlig’s (2005) sign restriction methodology is used. We assume that a loose
monetary shock does not lead to decrease in prices, income and money supply
first six quarters following the shock. In addition to the existing literature, in
this study, the effects of monetary policy changes on price components are
investigated.
Turkey is an interesting example of a small open economy and has been
experiencing a high and persistent level of inflation without running into
hyperinflation. Moreover, The Central Bank of the Republic of Turkey (CBRT)
unlike the some other central banks was involved in an active monetary policy.
Therefore, this paper adopts Uhlig’s (2005) sign restriction identification
methodology to investigate the effects of Turkish monetary policy on price
components. Food, clothing, housing furniture expenses, medical health and
personal care, transportation, culture and entertainment are used as
components of price. Moreover, interbank interest rate as interest rate,
industrial production index, M1 as money supply, TL value of US dollar as
exchange rate are used. For the monthly data from 1988:01 to 2009:01, this
study finds that monetary policy shock affects Turkish price components
differently. Monetary loosening introduces a statistically significant increase in
the food prices. Also, loose monetary policy has a permanent effect on food but
for clothing and transportation components, the effects are transitory. For
house furniture, health and housing, the effect is not statistically significant.
Anahtar Kelimeler
The effects of monetary policy price components sign restriction structural VAR
Öz
Bu çalışmada, TCMB para politikasının fiyat bileşenleri üzerine etkisi işaret kısıtlamasının kullanıldığı yapısal vektör otoregresif yöntemi ile araştırılmıştır. Uhlig (2005) ve Mountford (2005) tarafından geliştirilen bu yöntemde, şoklar, etki tepkiler üzerine yapılan işaret kısıtlaması ile belirlenmektedir. Calışmada, doğrudan değişkenler üzerinden bir kısıtlamaya gerek duymayan bu yöntem kullanılmış ve gevşek para politikası varsayımı altında şokun fiyatları artırmadığı ve döviz kurunu düşürmediği şeklindeki işaret kısıtları ile para politikası şoku belirlenmeye çalışılmıştır. Bu amaçla, fiyatlar genel seviyesinin alt kalemleri olarak gıda, giyim, ev eşyası, sağlık, ulaşım, kültür ve konut ile ilgili harcamalar endeksi alınmıştır. Bununla birlikte sanayi üretim endeksi, parasal büyüklük olarak para arzı M1, döviz kuru olarak ABD doları satış, faiz oranı olarak bankalar arası gecelik faiz oranları kontrol amaçlı analize dahil edilmiştir. 1988:01-2009:01 veri aralığı kullanılarak elde edilen sonuçlara göre para politikasındaki gevşeme gıda fiyatlarını kalıcı bir şekilde artırmaktadır. Aynı etki giyim, ulaşım kalemlerinde de görülmesine karşın bu etki ilk birkaç dönemde istatistiksel olarak anlamlı olması dışında diğer dönemlerde anlamsızdır. Ev eşyası, sağlık ve konut kalemlerinde ise etki bazen pozitif bazen negatif görünse de bu etkiler istatistiksel olarak anlamlı bulunamamıştır.
Anahtar Kelimeler
Para politikası etkisi fiyat bileşenleri işaret kısıtlaması yapısal VAR
Ayrıntılar
| Diğer ID | JA55ZG48ER |
|---|---|
| Bölüm | Makaleler |
| Yazarlar | |
| Yayımlanma Tarihi | 1 Aralık 2009 |
| Yayımlandığı Sayı | Yıl 2009 Cilt: 11 Sayı: 3 |