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

Ayşegül Ladin Sümer

TR EN

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

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

Abstract

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.

Keywords

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

Kaynakça

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Ayrıntılar

Birincil Dil

İngilizce

Konular

Zaman Serileri Analizi , Para Politikası

Bölüm

Araştırma Makalesi

Yazarlar

Ayşegül Ladin Sümer ^*
0000-0001-6507-3954
Türkiye

Yayımlanma Tarihi

31 Aralık 2025

Gönderilme Tarihi

7 Ağustos 2025

Kabul Tarihi

19 Kasım 2025

Yayımlandığı Sayı

Yıl 2025 Cilt: 3 Sayı: 2

IZ

https://izlik.org/JA93MC43BS

APA

Sümer, A. L. (2025). Real Interest Rate for CBRT Monetary Policy? Bayesian TVP-VAR Model. Journal of International Economic and Administrative Studies, 3(2), 23-34. https://izlik.org/JA93MC43BS

AMA

1.Sümer AL. Real Interest Rate for CBRT Monetary Policy? Bayesian TVP-VAR Model. Journal of International Economic and Administrative Studies. 2025;3(2):23-34. https://izlik.org/JA93MC43BS

Chicago

Sümer, Ayşegül Ladin. 2025. “Real Interest Rate for CBRT Monetary Policy? Bayesian TVP-VAR Model”. Journal of International Economic and Administrative Studies 3 (2): 23-34. https://izlik.org/JA93MC43BS.

EndNote

Sümer AL (01 Aralık 2025) Real Interest Rate for CBRT Monetary Policy? Bayesian TVP-VAR Model. Journal of International Economic and Administrative Studies 3 2 23–34.

IEEE

[1]A. L. Sümer, “Real Interest Rate for CBRT Monetary Policy? Bayesian TVP-VAR Model”, Journal of International Economic and Administrative Studies, c. 3, sy 2, ss. 23–34, Ara. 2025, [çevrimiçi]. Erişim adresi: https://izlik.org/JA93MC43BS

ISNAD

Sümer, Ayşegül Ladin. “Real Interest Rate for CBRT Monetary Policy? Bayesian TVP-VAR Model”. Journal of International Economic and Administrative Studies 3/2 (01 Aralık 2025): 23-34. https://izlik.org/JA93MC43BS.

JAMA

1.Sümer AL. Real Interest Rate for CBRT Monetary Policy? Bayesian TVP-VAR Model. Journal of International Economic and Administrative Studies. 2025;3:23–34.

MLA

Sümer, Ayşegül Ladin. “Real Interest Rate for CBRT Monetary Policy? Bayesian TVP-VAR Model”. Journal of International Economic and Administrative Studies, c. 3, sy 2, Aralık 2025, ss. 23-34, https://izlik.org/JA93MC43BS.

Vancouver

1.Ayşegül Ladin Sümer. Real Interest Rate for CBRT Monetary Policy? Bayesian TVP-VAR Model. Journal of International Economic and Administrative Studies [Internet]. 01 Aralık 2025;3(2):23-34. Erişim adresi: https://izlik.org/JA93MC43BS

Content of this journal is licensed under a Creative Commons Attribution NonCommercial 4.0 International License

33565

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

Öz

Anahtar Kelimeler

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

Abstract

Keywords

Kaynakça

Ayrıntılar

Birincil Dil

Konular

Bölüm

Yazarlar

Yayımlanma Tarihi

Gönderilme Tarihi

Kabul Tarihi

Yayımlandığı Sayı

IZ

Kaynak Göster