Zamanla Değişen Parametreli Genişletilmiş Taylor Kuralı: Türkiye için Finansal İstikrarın Rolü

Öz

Bu çalışmada, finansal ve ekonomik göstergeler kullanılarak faktör analizi çerçevesinde Türkiye için 2002-2017 dönemlerini kapsayan aylık finansal istikrar endeksi hesaplanmıştır. Zamanla değişen parametreli Taylor eşitliği finansal istikrar endeksi ile genişletilmiştir. Kalman Filter Yöntemi ile tahmin edilen genişletilmiş Taylor eşitliğinden elde edilen bulgular, Türkiye Cumhuriyet Merkez Bankası politika faiz oranının finansal istikrar göstergesinden etkilendiğini göstermiştir.

Anahtar Kelimeler

• Enflasyon Hedeflemesi Rejimi,Genişletilmiş Taylor Kuralı,Finansal İstikrar,Faktör Analizi Yöntemi,Para Politikası

Time Varying Parameter Augmented Taylor Rule: The Role of Financial Stability for Turkey

Öz

In this paper, monthly financial stability index has been constructed by economic and financial indicator for the term 2002-2017. Taylor Rule with time-varying parameter was augmented by the financial stability index. According to result of augmented Taylor Rule estimated by Kalman Filter Method, Central Bank of the Republic of Turkey’s policy rate was influenced by the financial stability index.

Anahtar Kelimeler

• Inflation Targeting Regime,Augmented Taylor Rule,Financial Stability,Factor Analysis Method,Monetary Policy

Kaynakça

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