Reaction of Monetary policy to Cost-Push Inflation in Turkey: A Leaning against Wind?

Öz

In Turkey, monetary policy responds to cost shocks rather than the inflation gap and output gap. To clarify this policy, we estimate the linear and non-linear Taylor rule using the Thresold GMM for 2006:01-2020:07. The linear model estimates that the policy rate responds significantly to the inflation gap and the real effective exchange rate. The non-linear model captures that monetary policy differs in regimes where imported goods and input prices are set as high and low. In a high price regime, monetary policy also reacts to cost-push shocks. The response of monetary policy to the exchange rate implicitly leads to "a leaning against the wind".

Anahtar Kelimeler

• Inflation
• Cost-push Shocks
• Taylor Rule
• Threshold Generalized Methods of Moment

Türkiye’de Para Politikasının Maliyet İtişli Şoklara Tepkisi: Rüzgâra Karşı Bir Duruş mu?

Öz

Türkiye'de para politikası reel efektif döviz kurundaki değişmelere odaklanmakta, enflasyon açığı ve çıktı açığından ziyade maliyet şoklarına tepki vermektedir. Bu politikayı netleştirmek için, 2006:01-2020:07 için Eşik GMM kullanarak doğrusal ve doğrusal olmayan Taylor kuralı tahmin edilmektedir. Doğrusal model, politika faizinin enflasyon açığına ve reel efektif döviz kuruna önemli ölçüde tepki verdiğini tahmin etmektedir. Doğrusal olmayan model ise ithal mal ve girdi fiyatlarının yüksek ve düşük olarak ayarlandığı rejimlerde para politikasının farklılık gösterdiğini ortaya koymaktadır. Yüksek fiyat rejiminde, para politikası maliyet şoklarına da tepki vermektedir. Para politikasının döviz kuruna tepkisi örtük bir şekilde "rüzgâra karşı bir duruş" sergiliyor.

Anahtar Kelimeler

• Enflasyon
• Maliyet İtişli Şoklar
• Taylor Kuralı
• Eşik Genelleştirilmiş Momentler Metodu

Kaynakça

1. Akdeniz, C., & Catik, A. N. (2019). Finansal Koşullarin Taylor Kuralinin Geçerliliği Üzerindeki Etkisi: Türkiye Üzerine Ampirik Bulgular (in Turkish). TESAM Akademi, 6, 107-126.
2. Aklan, N., & Nargelecekenler, M. (2008). Para politikalarının banka kredi kanalı üzerindeki etkileri (in Turkish). İstanbul Üniversitesi Siyasal Bilgiler Fakültesi Dergisi, (39), 109-132.
3. Baeriswyl, R. & Cornand, C. (2010). Optimal Monetary Policy in Response to Cost-Push Shocks: The Impact of Central Bank Communication. International Journal of Central Banking, International Journal of Central Banking, 6(2), 31-52.
4. Bari, B. (2020). Exchange rate and import price pass-through in Turkey. Business and Economics Research Journal, 11(3), 609- 620.
5. Bari, B. & Adalı, Z. (2020). How Oil Prices Drive Inflation in Turkish Economy: Two Different Channels. Fiscaoeconomia, 4 (3), 705-721.
6. Blanchard, O. & Gali, J. (2005). Real wage rigidities and the New Keynesian Model. NBER WP 11806.
7. Bulut, U. (2016). How far ahead does the Central Bank of the Republic of Turkey look?. Journal of Central Banking Theory and Practice, 5(1), 99–111.
8. Bulut, U. (2019). Does the Central Bank of the Republic of Turkey Respond Asymmetrically to Inflation and Output?. Margin: The Journal of Applied Economic Research, 13(4), 381-400.

9. Calvo, G. (1983). Staggered Price Setting in a Utility Maximizing Framework. Journal of Monetary Economics, 12(3), 383–98.
10. Caporale, G. M., Helmi, M. H., Çatık, A. N., Ali, F. M., & Akdeniz, C. (2018). Monetary policy rules in emerging countries: is there an augmented nonlinear Taylor rule?. Economic Modelling, 72, 306-319.
11. Clarida, R., Gali, J. & Gertler, M. (1998). Monetary policy rules in practice: Some international evidence. European Economic Review, 42(6), 1033-1067.
12. Clarida, R., Gali, J., & Gertler, M. (1999). The science of monetary policy: a new Keynesian perspective. Journal of economic literature, 37(4), 1661-1707.
13. Clarida, R., Gali, J., & Gertler, M. (2000). Monetary policy rules and macroeconomic stability: evidence and some theory. The Quarterly journal of economics, 115(1), 147-180.
14. Dixit, A. & Stiglitz, J. (1977). Monopolistic Competition and Optimum Product Diversity. American Economic Review, 67(3), 297– 308.
15. Erdem, E., Bulut, U., & Kocak, E. (2017). Have financial stability concerns changed the priority of the Central Bank of the Republic of Turkey? Studies in Business and Economics, 12(2), 35–45.
16. Friedman, M. (1968) The Role of Monetary Policy. American Economic Review, 58, 1-17.
17. Gali, J. & Gertler, M. (2007). Macroeconomic Modeling for Monetary Policy Evaluation. Journal of Economic Perspectives, American Economic Association, 21(4), 25-46.
18. Ghosh, A. R., Ostry, J. D., & Chamon, M. (2016). Two targets, two instruments: Monetary and exchange rate policies in emerging market economies. Journal of International Money and Finance, 60, 172-196.
19. Guney, P. O. (2016). Does the central bank directly respond to output and inflation uncertainties in Turkey? Central Bank Review, 16(2), 53-57.
20. Guney, P. O. (2018). Asymmetries in monetary policy reaction function and the role of uncertainties: the case of Turkey. Economic research-Ekonomska istraživanja, 31(1), 1367-1381.
21. Gürkaynak, R.S., Kantur, Z., Tas, M. A. & Yildirim, S. (2015). Monetary policy in Turkey after Central Bank independence. CFS Working Paper Series 520, Center for Financial Studies (CFS).
22. Kara, A. H., Oguncc, F., Sarikaya, C., & Ozmen, M. U. (2017). Exchange rate pass-through: Is there a magical coefficient. Retrieved May 12, 2021, from http://tcmbblog.org/wps/wcm/connect/blog/en/main+menu/analyses/exchange+rate+pass-through
23. Lee, J., & Strazicich, M. C. (2003). Minimum Lagrange multiplier unit root test with two structural breaks. Review of economics and statistics, 85(4), 1082-1089.
24. Martin, C., & Milas, C. (2013). Financial crises and monetary policy: Evidence from the UK. Journal of Financial Stability, 9(4), 654-661.
25. Phelps, E.S. (1967). Phillips Curves, Expectations of Inflation and Optimal Unemployment over Time. Economica, 34, 254-281.
26. Soybilgen, B. & Eroglu, B.A. (2019). Time-Varying Taylor Rule Estimation for Turkey with Flexible Least Square Method. Boğaziçi Journal Review of Social, Economic and Administrative Studies, 33(2), 122-139.
27. Soybilgen, B., Eroglu, B.A, & H. Yener (2019). “Taylor Rule for Turkey under Multiple Structural Breaks: Estimating the Forward-Looking Taylor Rule for Turkey under Multiple Structural Breaks”, Suggestions (Ed: C. Yurtseven and M. Tekce), In Current Issues in Turkish Economy: Problems and Policy, Berlin: Peter Lang: 11-25.
28. Taylor, J. B. (1993). Discretion versus Policy Rules in Practice. Carnegie-Rochester Series on Public Policy, 39, 195–214.
29. Yagcibasi, O.F. & Yildirim, M. O. (2019). Estimating Taylor Rules with Markov Switching Regimes for Turkey. Journal for Economic Forecasting, Institute for Economic Forecasting, 0(3), 81-95.