TCMB Para Politikası İçin Reel Faiz Oranı Mı? Bayesçi TVP-VAR Model

Yıl 2025, Cilt: 3 Sayı: 2, 23 - 34, 31.12.2025

Ayşegül Ladin Sümer

Öz

Taylor kuralına dayalı olarak geliştirilen örtük reel faiz oranı kuralı, enflasyon açığı ve çıktı açığının yanında parasal olmayan faktörlerin de uzun vadede merkez bankası faiz kararlarının belirleyicilerinden olduğunu varsaymaktadır. Buna göre, makroekonomik değişkenlerin karşılaştığı yüksek frekanslı şoklar politika faiz oranının yönünün belirlenmesinde etkili olmaktadır. Diğer taraftan ampirik bir bakış açısıyla değerlendirme yapıldığında para politikasının bu zamanla olası değişen yapısına ilişkin belirsizlikleri tespit etmek için aşırı parametrelendirmeyi kısıtlayan Bayesçi zamanla değişen parametre vektör otoregresif (TVP-VAR) modeli öne çıkmaktadır. Bayesçi TVP-VAR modelinde kısa vadeli trendin belirlediği hem parametreler hem de bu parametrelere gelen şoklar belirli bir zaman ufkunda etki-tepki fonksiyonları ile yorumlanarak incelenmektedir. Bu amaçla, örtük reel faiz oranı kuralına dayalı olarak seçilmiş makroekonomik değişkenlerdeki şoklara TCMB politika faiz oranının verdiği tepkiler küresel ekonomideki ve Türkiye ekonomisindeki gelişmeler doğrultusunda belirlenen 2003:q1-2024:q4 döneminde Bayesçi TVP-VAR yöntemi ile analiz edilmiştir. Elde edilen bulgular, küresel deflasyonist eğilimin, döviz kuru kırılganlıklarının ve TCMB para politikalarındaki belirsizliğin yaşandığı 2015q3, 2020q1 ve 2024q4 proaktif tepkilerin ortaya çıktığını göstermiştir. Böylece, durağan olmayan makroekonomik zaman serilerinde gözlemlenemeyen ve zamanla değişen katsayılar para politikası otoriteleri tarafından Bayesçi TVP-VAR modelleri ile kademeli bir değişimi öngören nicel sonuçlar olarak algılanmaktadır. Bu sayede, para politikalarına ilişkin rejim dönemlerinde alternatif politika araçlarının belirlenmesine katkıda bulunacağı düşünülmektedir.

Anahtar Kelimeler

Para Politikası , Örtük Reel Faiz Oranı Kuralı , TCMB , Bayesçi Zamanla Değişen Parametre , Makroekonomik Şoklar

Real Interest Rate for CBRT Monetary Policy? Bayesian TVP-VAR Model

Öz

The implied real interest rate rule, developed based on the Taylor rule, assumes that non-monetary factors, in addition to the inflation gap and output gap, are among the determinants of central bank interest rate decisions in the long-run. Accordingly, high-frequency shocks to macroeconomic variables influence the direction of the policy interest rate. Furthermore, from an empirical perspective, the Bayesian time varying parameter vector autoregressive (TVP-VAR) model, which restricts overparameterization, stands out for its ability to identify uncertainties related to the potentially changing structure of monetary policy over time. In the Bayesian TVP-VAR model, both the parameters determined by the short-run trend and the shocks to these parameters are analyzed by interpreting them with impulse-response functions over a specific time horizon. For this purpose, the responses of the CBRT policy interest rate to shocks in selected macroeconomic variables based on the implicit real interest rate rule were analyzed using the Bayesian TVP-VAR method over the period 2003:q1-2024:q4, determined in line with developments in the global economy and the Turkish economy. The findings indicate that proactive responses emerged in 2015q3, 2020q1 and 2024q4, a period characterized by global deflationary trends, exchange rate vulnerabilities, and uncertainty surrounding the CBRT monetary policies. Thus, unobservable and time-varying coefficients in non-stationary macroeconomic time series are perceived by monetary policy authorities as quantitative results predicting a gradual change through Bayesian TVP-VAR models. This is believed to contribute to the identification of alternative policy instruments during regime periods related to monetary policy.

Anahtar Kelimeler

Monetary Policy , Implied Real Interest Rate Rule , CBRT , Bayesian Time Varying Parameter , Macroeconomic Shocks

Kaynakça

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