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The Analysis of the Exchange Rate Channel of Monetary Transmission Mechanism by VAR Model Method: Turkey, Mexico and Indonesia Examples

Yıl 2017, Sayı: 108, 27 - 48, 01.10.2017
https://doi.org/10.33203/mfy.357657

Öz



This paper examines
the efficiency of the monetary transmission mechanism exchange rate channel
using the VAR Model Method in Turkey, Mexico and Indonesia. Quarterly data were
used in this paper, the period 2002:I-2016:IV for all three countries. The
findings obtained show that partially works of the monetary transmission
mechanism exchange rate channel in Turkey that 
the channel doesn't work in Mexico and Indonesia.




Kaynakça

  • Affandi, Y. 2004. Estimating Policy Rule in Post Crisis Indonesia. Faculty of Economics and Politics, St Edmund’s College, University of Cambridge. 1-19, https://www .researchgate.net/publication/265200762_Estimating_Monetary_Policy_Rule_in_Post_Crisis_Indonesia (erişim tarihi: 25.09.2014)
  • Altavilla, C. 2004. Monetary Policy Implementation and Transmission Mechanisms in the Euro Area, Faculty of Economics. Dissertation series K.U.Leuven 192.
  • Banco De México. 2012. Annual Report 2012. http://www.banxico.org.mx/publicaciones-y-discursos/publicaciones/informes-periodicos/anual/%7BBFE109E9-2B81-B4DC-360 E-1DC9704B6919%7D.pdf (erişim tarihi: 25.09.2014)
  • Bank Indonesia. 2012. http://www.seacen.org/GUI/pdf/publications/bankwatch/2012/5BI.pdf (erişim tarihi: 12.11.2013)
  • Boivin, J., Giannoni, M.P. ve B. Mojon. 2008. How Has the Euro Changed The Monetary Transmission?. NBER Working Papers 14190. National Bureau of Economic Research Inc.
  • Boivin, J., Kiley, M. ve F.S. Mishkin. 2010. .How Has the Monetary Transmission Mechanism Evolved Over Time?. NBER Working Papers 15879. National Bureau of Economic Research Inc.
  • Butkiewicz, J. L. ve Z. Ozdogan. 2009. Financial Crisis, Monetary Policy Reform and The Monetary Transmission Mechanism in Turkey. Working Paper Series 2009-04. Department of Economics. Alfred Lerner College of Business & Economics, University of Delaware.
  • Büyükakın, F., Cengiz, V. ve A. Türk. 2009. Parasal Aktarım Mekanizması: Türkiye’de Döviz Kuru Kanalının VAR Analizi. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 1(24): 171-198.
  • Cambazoğlu, B. ve H.S. Karaalp. 2012. Parasal Aktarım Mekanizması Döviz Kuru Kanalı: Türkiye Örneği. Yönetim ve Ekonomi. 19(2): 53-66.
  • González, A. G. ve J. R. G. García. 2006. Structural Change in the Transmission Mechanism of Monetary Policy in Mexico: A Non-Linear VAR Approach. Bank of Mexico Working Paper No:6.
  • Halaç, U. 2015. Parasal Aktarım Mekanizması. Para İktisadı. Editör: N. Oğuzhan Altay. Ankara: Palme Yayıncılık.
  • Hespeler, F. 2013. A VECM Evaluation of Monetary Transmission in Uzbekistan. Economic Change and Restructuring. Springer 46(2): 219-253.
  • Hung, L. V. 2007. A Vector Autoregression (VAR) Analysis of the Monetary Transmission Mechanism in Vietnam. http://www.grips.ac.jp/vietnam/VDFTokyo/Doc/35LVHung 18Aug07Paper.pdf . (erişim tarihi: 08.10.2014)
  • Isakova, A. 2010. Monetary Policy, Inflation and Dollarization in the Economies of Central Asia. Doktora Tezi, Center for Economic Research and Graduate Education Charles University. Prague. March 2010.
  • Kusuma, D. B. W. ve S. H. Kassim. 2013. Evaluating Monetary Transmission Mechanism in Indonesia Through Exchange Rate Channel. Jurnal Ekonomi dan Studi Pembangunan, 14(2). 91-100.
  • Kutlar, A. 2000. Ekonometrik Zaman Serileri: Teori ve Uygulama. Ankara: Gazi Yayınları.
  • Lütkepohl, H. 2007. Econometric Analysis with Vector Autoregressive Models. EUI Working Papers. ECO 2007/11: 1-56.
  • Martínez, L., Sánchez, O. ve A Werner. 2002. Monetary policy and the Transmission Mechanism in Mexico. Bank of International Settlement Papers, 8.
  • Mishkin, F. 1995. Symposium on the Monetary Transmission Mechanism. Journal of Economics Perspective. 3(9): 3-10
  • Moschitz, J. 2004. Essays on the Transmssion Mechanism of Monetary Policy. Universitat Autonoma de Barcelona Department D'economia D'Hıstoria Economica. June 2004.
  • Nwosa, P. I. ve M. O. Saibu. 2012. The Monetary Transmission Mechanism in Nigeria: A Sectoral Output Analysis. International Journal of Economics and Finance. 1(4): 204-212.
  • Örnek İ. 2009. Türkiye’de Parasal Aktarım Mekanizması Kanallarının İşleyişi. Maliye Dergisi, 156 (1): 104-125.
  • Sims, C. A. 1980. Macroeconomics and Reality. Econometrica. 48: 1-48.
  • Torres, R. I. M. ve G. Saridakis. 2007. Inflation Targeting in Emerging Economics: The Case of Israel and Mexico. University of Leicester and for the Money, Macro and Finance Research Group (MMF) Conference for Comments and Suggestions.
  • Wulandari, R. 2012. Do Credit Channel and Interest Rate Channel Play Important Role in Monetary Transmission Mechanism in Indonesia?: A Structural Vector Autoregression Model. Prodecia-Social Behavioural Science 65. 557-563.
  • Zaidi, M.A.S.B. 2011. Structural Vector Autoregressive Analysis of Monetary Policy in Malaysia. PhD. Thesis. Australian School of Business University of New South Wales, The Australian School of Business The University of New South Wales.

Parasal Aktarım Mekanizması Döviz Kuru Kanalının VAR Modeli Yöntemine Göre Analizi: Türkiye, Meksika ve Endonezya Ülke Örnekleri

Yıl 2017, Sayı: 108, 27 - 48, 01.10.2017
https://doi.org/10.33203/mfy.357657

Öz



Bu çalışmada, Türkiye, Meksika ve Endonezya’da
parasal aktarım mekanizması döviz kuru kanalının etkinliği VAR Modeli Yöntemi
ile incelenmiştir. Çalışmada üçer aylık veriler kullanılmış olup, her üç ülke
için, 2002:I-2016:IV dönemi incelenmiştir. Elde edilen bulgular, parasal
aktarım mekanizması döviz kuru kanalının Türkiye’de kısmen çalıştığını,
Meksika’da ve Endonezya’da söz konusu kanalın çalışmadığını ortaya koymuştur.

Kaynakça

  • Affandi, Y. 2004. Estimating Policy Rule in Post Crisis Indonesia. Faculty of Economics and Politics, St Edmund’s College, University of Cambridge. 1-19, https://www .researchgate.net/publication/265200762_Estimating_Monetary_Policy_Rule_in_Post_Crisis_Indonesia (erişim tarihi: 25.09.2014)
  • Altavilla, C. 2004. Monetary Policy Implementation and Transmission Mechanisms in the Euro Area, Faculty of Economics. Dissertation series K.U.Leuven 192.
  • Banco De México. 2012. Annual Report 2012. http://www.banxico.org.mx/publicaciones-y-discursos/publicaciones/informes-periodicos/anual/%7BBFE109E9-2B81-B4DC-360 E-1DC9704B6919%7D.pdf (erişim tarihi: 25.09.2014)
  • Bank Indonesia. 2012. http://www.seacen.org/GUI/pdf/publications/bankwatch/2012/5BI.pdf (erişim tarihi: 12.11.2013)
  • Boivin, J., Giannoni, M.P. ve B. Mojon. 2008. How Has the Euro Changed The Monetary Transmission?. NBER Working Papers 14190. National Bureau of Economic Research Inc.
  • Boivin, J., Kiley, M. ve F.S. Mishkin. 2010. .How Has the Monetary Transmission Mechanism Evolved Over Time?. NBER Working Papers 15879. National Bureau of Economic Research Inc.
  • Butkiewicz, J. L. ve Z. Ozdogan. 2009. Financial Crisis, Monetary Policy Reform and The Monetary Transmission Mechanism in Turkey. Working Paper Series 2009-04. Department of Economics. Alfred Lerner College of Business & Economics, University of Delaware.
  • Büyükakın, F., Cengiz, V. ve A. Türk. 2009. Parasal Aktarım Mekanizması: Türkiye’de Döviz Kuru Kanalının VAR Analizi. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 1(24): 171-198.
  • Cambazoğlu, B. ve H.S. Karaalp. 2012. Parasal Aktarım Mekanizması Döviz Kuru Kanalı: Türkiye Örneği. Yönetim ve Ekonomi. 19(2): 53-66.
  • González, A. G. ve J. R. G. García. 2006. Structural Change in the Transmission Mechanism of Monetary Policy in Mexico: A Non-Linear VAR Approach. Bank of Mexico Working Paper No:6.
  • Halaç, U. 2015. Parasal Aktarım Mekanizması. Para İktisadı. Editör: N. Oğuzhan Altay. Ankara: Palme Yayıncılık.
  • Hespeler, F. 2013. A VECM Evaluation of Monetary Transmission in Uzbekistan. Economic Change and Restructuring. Springer 46(2): 219-253.
  • Hung, L. V. 2007. A Vector Autoregression (VAR) Analysis of the Monetary Transmission Mechanism in Vietnam. http://www.grips.ac.jp/vietnam/VDFTokyo/Doc/35LVHung 18Aug07Paper.pdf . (erişim tarihi: 08.10.2014)
  • Isakova, A. 2010. Monetary Policy, Inflation and Dollarization in the Economies of Central Asia. Doktora Tezi, Center for Economic Research and Graduate Education Charles University. Prague. March 2010.
  • Kusuma, D. B. W. ve S. H. Kassim. 2013. Evaluating Monetary Transmission Mechanism in Indonesia Through Exchange Rate Channel. Jurnal Ekonomi dan Studi Pembangunan, 14(2). 91-100.
  • Kutlar, A. 2000. Ekonometrik Zaman Serileri: Teori ve Uygulama. Ankara: Gazi Yayınları.
  • Lütkepohl, H. 2007. Econometric Analysis with Vector Autoregressive Models. EUI Working Papers. ECO 2007/11: 1-56.
  • Martínez, L., Sánchez, O. ve A Werner. 2002. Monetary policy and the Transmission Mechanism in Mexico. Bank of International Settlement Papers, 8.
  • Mishkin, F. 1995. Symposium on the Monetary Transmission Mechanism. Journal of Economics Perspective. 3(9): 3-10
  • Moschitz, J. 2004. Essays on the Transmssion Mechanism of Monetary Policy. Universitat Autonoma de Barcelona Department D'economia D'Hıstoria Economica. June 2004.
  • Nwosa, P. I. ve M. O. Saibu. 2012. The Monetary Transmission Mechanism in Nigeria: A Sectoral Output Analysis. International Journal of Economics and Finance. 1(4): 204-212.
  • Örnek İ. 2009. Türkiye’de Parasal Aktarım Mekanizması Kanallarının İşleyişi. Maliye Dergisi, 156 (1): 104-125.
  • Sims, C. A. 1980. Macroeconomics and Reality. Econometrica. 48: 1-48.
  • Torres, R. I. M. ve G. Saridakis. 2007. Inflation Targeting in Emerging Economics: The Case of Israel and Mexico. University of Leicester and for the Money, Macro and Finance Research Group (MMF) Conference for Comments and Suggestions.
  • Wulandari, R. 2012. Do Credit Channel and Interest Rate Channel Play Important Role in Monetary Transmission Mechanism in Indonesia?: A Structural Vector Autoregression Model. Prodecia-Social Behavioural Science 65. 557-563.
  • Zaidi, M.A.S.B. 2011. Structural Vector Autoregressive Analysis of Monetary Policy in Malaysia. PhD. Thesis. Australian School of Business University of New South Wales, The Australian School of Business The University of New South Wales.
Toplam 26 adet kaynakça vardır.

Ayrıntılar

Bölüm Makaleler
Yazarlar

Musa Atgür Bu kişi benim

N. Oğuzhan Altay Bu kişi benim

Yayımlanma Tarihi 1 Ekim 2017
Gönderilme Tarihi 16 Kasım 2016
Yayımlandığı Sayı Yıl 2017 Sayı: 108

Kaynak Göster

APA Atgür, M., & Altay, N. O. (2017). Parasal Aktarım Mekanizması Döviz Kuru Kanalının VAR Modeli Yöntemine Göre Analizi: Türkiye, Meksika ve Endonezya Ülke Örnekleri. Maliye Ve Finans Yazıları(108), 27-48. https://doi.org/10.33203/mfy.357657

Dergi özellikle maliye, finans ve bankacılık alanlarında faaliyet göstermektedir.