MONETARY TRANSMISSION MECHANISM IN AN OPEN ECONOMY FRAMEWORK: THE CASE OF TURKEY

Yıl 2007, Sayı: 5, 41 - 66, 19.09.2011

Özgür Aslan H. Levent Korap

Öz

Monetary transmission mechanism (MTM) is an illuminating policy tool in appreciating the monetary policy implementations by policy makers upon various nominal and real factors of interest in the eyes of economic agents. Especially in an open economy such as Turkish economy highly exposed to the effects of capital flows on domestic business cycles with a liberalised capital account, control over policy aggregates may be difficult since many other economic policy implementations would be of great consequence on some other policy targets on macroeconomic income generation process and in providing price stability and external balance. In this respect, in our paper we aim to estimate the MTM for the Turkish economy. Our ex-post estimates for the period 1992-2004 using contemporaneous vector autoregression models such as impulse response analysis indicate that weakly exogeneous capital inflows appreciate the real effective exchange rate, and in turn lower the real interest rates and domestic inflation while increasing both the real output growth and also the stock exchange index considering an asset-price channel for the latter and vice versa. We find some significant effects of the courses of capital flows and real effective exchange rate on monetary policy variable in the transmission mechanism, and such a case may impose an endogeneous characteristic on the policy variable given also that both domestic real interest structure is highly sensible to the monetary policy and that monetary policy is subject to the structural breaks in the sense of so-called Lucas’ critique of contemporaneous economics

Anahtar Kelimeler

: Monetary Transmission Mechanism, Turkish Economy, Capital Flows, Real Exchange Rate, Real Interest Rate, Inflation, Income Growth, Stock Exchange, Price Puzzle

MONETARY TRANSMISSION MECHANISM IN AN OPEN ECONOMY FRAMEWORK: THE CASE OF TURKEY

Öz

Parasal aktarım mekanizması politika yapıcılar tarafından gerçekleştirilen para politikası müdahalelerinin parasal ve
reel içerikli iktisadi büyüklükler üzerindeki beklenen ve gerçekleşen etkilerini ortaya koymayı amaçlayan önemli bir
politika aracı olma işlevine sahiptir. Özellikle Türkiye ekonomisi gibi serbestleştirilmiş bir sermaye hesabına sahip ve
yurtiçi iş çevrimleri üzerinde sermaye akımlarının büyük etkisi bulunan bir ekonomide politika büyüklükleri
makroekonomik gelir oluşum süreci, fiyat istikrarı ve dış dengenin sağlanması gibi politika hedefleri üzerinde farklı
etkiler meydana getirebilmektedir. Bu açıdan kendi çalışmamızda parasal aktarım mekanizması Türkiye ekonomisi
koşullarında tahmin edilmeye çalışılmıştır. Çalışmamızda 1992-2004 inceleme döneminde etki tepki çözümlemesi gibi
çağdaş vektör ardışık bağlanım tahmin yöntemleri kullanılarak elde ettiğimiz temel politika bulguları kısaca
açıklanmak istenirse; zayıf dışsal bir özellik gösteren sermaye girişleri öncelikle reel efektif döviz kurunun
değerlenmesine yol açmakta ve bu şekilde hem reel faizlerde hem de yurtiçi enflasyonda bir gerileme meydana
getirirken aynı zamanda reel çıktı büyümesinde ve varlık fiyatlaması kanalıyla borsa endeksinde artışına neden
olmaktadır. Ayrıca, sermaye akımlarında ve reel efektif döviz kurunda meydana gelen gelişmelerin aktarım
mekanizması içerisinde dikkate alınan para politikası değişkeni üzerinde istatistiksel olarak anlamlı etkiler meydana
getirebildiği gözlenmiş, yurtiçi reel faiz yapısının para politikası gelişmelerine oldukça duyarlı olduğu ve aynı
zamanda parasal büyüklüklerin çağdaş iktisat kuramına önemli bir katkı oluşturan Lucas eleştirisinin öncülüğünde
yapısal kırılmalara maruz kaldığı bir ekonomik ortam içerisinde bu durumun politika büyüklükleri üzerine içsel bir
işlev yükleyebileceği sonucuna ulaşılmıştır.

Anahtar Kelimeler

Parasal Aktarım Mekanizması, Türkiye Ekonomisi, Sermaye Akımları, Reel Döviz Kuru, Reel Faiz Oranı, Enflasyon, Gelir Büyümesi, Borsa Endeksi, Fiyat Sorunsalı

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