A NONLINEAR UNIT ROOT APPROACH TO MODELLING NEW MONETARY POLICY: EVIDENCE FROM TURKEY

Öz

In this study, we investigate the monetary policy reaction function regarding the post-2008 Global Financial Crisis using Turkish data over the period between 2009-2019. The novelty of this study is that we circumvent the unit root problem by applying the nonlinear unit root test, developed by Leybourne et al. (1998). The results imply that the Central Bank of the Republic of Turkey attaches more importance to price stability than the output gap. Moreover, we find that the Central Bank of the Republic of Turkey reacts to the real effective exchange rate, the gross foreign exchange reserves, the total credit volume of the banking sector, and the economic growth. This result is consistent with the new monetary policy in Turkey in the aftermath of the 2008 Global Financial Crisis.

Anahtar Kelimeler

• Monetary Policy Reaction Function
• Spread
• Taylor Rule
• Smooth Transition Regression (STR)
• LNV Methodology

YENİ PARA POLİTİKASININ DOĞRUSAL OLMAYAN BİRİM KÖK YAKLAŞIMI İLE MODELLENMESİ: TÜRKİYE ÖRNEĞİ

Öz

Bu çalışmanın amacı 2008 Küresel Finansal Krizi sonrası döneme ilişkin Türkiye’nin para politikası reaksiyon fonksiyonunu 2009-2019 dönemi verilerini kullanarak tahmin etmektir. Bu amaçla, politika değişkeni Leybourne vd. (1998) tarafından geliştirilen doğrusal olmayan birim kök testi ile durağan olmayan yapısı dışlanarak durağan hale getirilmiştir. Çalışmada yürütülen reaksiyon fonksiyonu tahminlerine göre Türkiye Cumhuriyet Merkez Bankası (TCMB) fiyat istikrarına çıktı açığına göre daha fazla önem vermektedir. Ayrıca, TCMB’nin reel efektif döviz kuruna, brüt döviz rezervlerine, bankacılık sektörü toplam kredi hacmine ve ekonomik büyümeye tepki verdiği bulgularına ulaşılmıştır. Bu bulgular, 2008 Küresel Finansal Krizi sonrasında Türkiye’de uygulanmaya başlanan yeni para politikası ile tutarlıdır.

Anahtar Kelimeler

• Para Politikası Reaksiyon Fonksiyonu
• Spread
• Geriye ve İleriye Bakış Davranışı
• Taylor Kuralı
• Yumuşak Geçiş Regresyon (STR)
• LNV Metodolojisi
• Türkiye

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