Econometric Analysis of Velocity of Money and Money Demand Function: The Case of Turkey

Abstract

This study aims to test the stationarity of the velocity of money for Turkey and to determine the variables affecting the velocity of money. The annual data set covering the period from 1970 to 2017 contains the velocity of money, real income, deposit interest rate and real effective exchange rate variables. Although traditional and nonlinear unit root tests, variance ratio tests and fractional integration tests show that the velocity of money is not stationary, it is noteworthy that many of the structural breakpoint unit root tests’ results support its stationarity taking into account the economic and structural transformations experienced in the 2000s. In addition, with the nonlinear autoregressive distributed lag model (NARDL), the short-term asymmetry of deposit interest rates and the long and short-term asymmetry of the real effective exchange rate are significant. The positive changes in deposit interest rates and real effective exchange rates over the long-term are more effective on the velocity of money than negative changes. The income, interest rate and exchange rate elasticity of money are respectively positive, negative and positive, and the results coincide with the studies in the literature. 

Keywords

• Velocity of Money,Unit Root Tests,NARDL Model

Paranın Dolaşım Hızının ve Para Talebi Fonksiyonunun Ekonometrik Analizi: Türkiye Örneği

Abstract

Bu çalışmanın amacı Türkiye için paranın dolaşım hızının durağanlığını test etmek ve paranın dolaşım hızını etkileyen değişkenleri belirlemektir. 1970-2017 yıllarını kapsayan dönem için veri seti yıllık frekansta oluşturulmakta; paranın dolaşım hızı, reel gelir, mevduat faiz oranı ve reel efektif döviz kuru değişkenler olarak kullanılmaktadır. Geleneksel ve doğrusal olmayan birim kök testleri, varyans oranı testleri ve kesirli bütünleşme testleri paranın dolaşım hızının durağan olmadığı gösterse de 2000’li yıllarda yaşanan ekonomik ve yapısal dönüşümler kırılma olarak alındığında birçok yapısal kırılma içeren birim kök testine göre paranın dolaşım hızının durağan olması dikkat çekmektedir. Ayrıca, doğrusal olmayan gecikmesi dağıtılmış otoregresif model (NARDL) ile mevduat faiz oranlarının kısa dönem asimetrisi ve reel efektif döviz kurunun uzun ve kısa dönem asimetrisi anlamlı bulunmakta, uzun dönemde mevduat faiz oranlarındaki ve reel efektif döviz kurlarındaki pozitif değişimlerin negatif değişimlere göre paranın dolaşım hızı üzerinde daha etkili olduğu sonucuna ulaşılmaktadır. Para talebinin gelir esnekliğinin pozitif, faiz oranı esnekliğinin negatif ve döviz kuru esnekliğinin pozitif olduğu belirlenmekte ve analiz sonuçları literatürde yapılan çalışmalarla örtüşmektedir. 

Keywords

• Paranın dolaşım hızı,Birim Kök Testleri,NARDL Modeli

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