Öz
Bu çalışmada vadesiz mevduat tutumu
için bir reel para talebi fonksiyonu çağdaş ardışık bağlanımlı gecikmesi
dağıtılmış sınır testiyle tahmin edilmektedir. Para talebinin reel gelir esnekliği 1.92 olarak bulunmuş,
reel gelir ve reel parasal büyüklükler arasındaki ilişkinin talep koşullarını
paranın dolanım hızının tersi aracılığıyla etkileyeceği
vurgulanmıştır. Reel para talebinin faiz yarı-esnekliği ve enflasyon
yarı-esnekliği sırasıyla -0.41 ve -0.56 şeklinde elde edilmiş, bu bulgu da
iktisadi birimlerin dar kapsamlı parasal tutumlarını belirlerken faiz oranını
ve enflasyon oranını önemli bir alternatif maliyet olarak kabul etmelerine
atfedilmiştir. Hata düzeltme modellemesi ile uzun dönem para talebi ilişkisinden sapmalarının
%16’sının bir dönem içerisinde ortadan kalktığı, yaklaşık altı dönem içerisinde
para piyasası denge koşullarının yeniden sağlandığı anlaşılmıştır. Bu bulgular
izlenerek para politikası tasarlanma ve uygulama sürecinde dar kapsamlı parasal
büyüklüklere ve bu büyüklükler arasındaki kuramsal temelli ilişkilere ait
tahmin edilen bilginin politika yapıcılar açısından dikkate alınması gerektiği
ve Türkiye ekonomisi açısından bu bilginin
özellikle enflasyonist yapı ile ilişkilendirilmesi gerekliği şeklinde
bir iktisat politikası çıkarsamasına ulaşılmıştır.
Anahtar Kelimeler: Para Talebi; Vadesiz
Mevduatlar; Sınır Testi;
JEL Sınıflaması: C32; E41; E52;
Anahtar Kelimeler
Kaynakça
- Altınkemer, M. (2004). Importance of Base Money Even When Inflation Targeting, CBRT Research Department Working Paper 04/04.
- Bahmani-Oskooee, M. and Rehman, H. (2005). Stability of the Money Demand Function in Asian Developing Countries, Applied Economics, 34, 2075-083.
- Bahmani-Oskooee, M. and Karacal, M. (2006). The Demand for Money in Turkey and Currency Substitution, Applied Economics Letters, 13, 635-42.
- Cakan, P. & Özmen, E. (2002). Policy Regime Change and Structural Break in the Velocity of Money: The Turkish Evidence, Applied Economics Letters, 9, 759-62.
- Civcir, I. (2003). Broad Money Demand, Financial Liberalization and Currency Substitution in Turkey, Journal of Economic Studies, 30(5), 514-34.
- Davis, B., Karemera, D. and Whitesides, L. (2013). The Intertemporal Stability of the US Money Demand Function: New Evidence from Switching Regressions, Applied Economics Letters, 20(6), 581-86.
- Dreger, C., Reimers, H.-E. and Roffia, B. (2007). Long-run Money Demand in the New EU Member States with Exchange Rate Effects, Eastern European Economics, 45(2), 75-94.
- Engle, R.F. and Granger, C.W.J. (1987). Co-integration and Error Correction: Representation, Estimation, and Testing, Econometrica, 55, 251-76.
- Favero, C.A. (2001). Applied Macroeconometrics, Oxford: Oxford University Press.
- Friedman, M. (1977). Time Perspective in the Demand for Money, Scandinavian Journal of Economics, 79, 377-416.
- Goldfeld, S.M. and Sichel, D.E. (1990). The Demand for Money. B.M. Friedman and F.H. Hahn (Eds), Handbook of Monetary Economics 1 (300-56).
- Göktaş, Ö. (2005). Teorik ve Uygulamalı Zaman Serileri Analizi, İstanbul: Beşir Kitabevi.
- https://evds2.tcmb.gov.tr, erişim tarihi: 28.01.2019.
- https://www.sbb.gov.tr/, erişim tarihi: 28.01.2019.
- Jawadi, F. and Sousa, R.M. (2013). Modeling Money Demand: Further Evidence from an International Perspective, Applied Economics Letters. 20(11), 1052-055.
- Johansen, S. (1995). Likelihood-based Inference in Cointegrated Vector Autoregressive Models, Oxford: Oxford University Press.
- Kim, S. and Subramanian, C. (2009). Velocity of Money and Inflation Dynamics, Applied Economics Letters, 16(18), 1777-781.
- Laidler, E.W.D. (1993). The Demand for Money: Theories, Evidence and Problems, 4th ed. New York: Harper Collins College Publishers.
- Lee, C.-C. and Chien, M.-S. (2008). Stability of Money Demand Function Revisited in China, Applied Economics. 40(24), 3185-197.
- Lee, J. and Strazicich, M.C. (2003). Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks, Review of Economics and Statistics, 85(4), 1082-089.
- Pesaran, M.H. and Shin, Y. (1998). An Autoregressive Distributed-lag Modelling Approach to Cointegration Analysis, Econometric Society Monographs, 31, 371-413.
- Pesaran, M.H, Shin, Y. and Smith, R.J. (2001). Bound Testing Approaches to the Analysis of Level Relationships, Journal of Applied Econometrics, 16, 289-326.
- Ramachandran, M. (2004). Do Broad Money, Output and Prices Stand for a Stable Relationship in India?, Journal of Policy Modeling, 26, 983-1001.
- Sarno, L. (1999). Adjustment Costs and Nonlinear Dynamics in the Demand for Money: Italy, 1861-1991, International Journal of Finance and Economics, 4, 155-77.
Öz
In this paper, a real money demand function for demand
deposits is tried to be estimated by using contemporaneous autoregressive
distributed lag bounds testing approach. The real income elasticity for money
demand has been found as 1.92, which is related to that the relationship
between real income and real money balances tends to affect the demand
conditions through the inverse of the monetary velocity of circulation.
Interest semi-elasticity and inflation semi-elasticity of real money demand
have been obtained as -0.41 and -0.56, respectively, which are also attributed
to that economic agents accept the interest rate and inflation rate as an
important alternative cost when determining the narrowly defined monetary
holdings. The error correction modeling indicates that divergence from the long
run money demand relationship is corrected 16% in one period, that is,
equilibrium conditions are re-established within about six periods. Following
these findings, in designing and implementation process of monetary policy, the
estimated knowledge as for the narrowly defined monetary aggregates and the
theory based relationships between these aggregates must be considered
crucially by the policy makers and this knowledge must especially be related to
the inflationary framework within the Turkish economy as a policy inference.
Key Words: Money
Demand; Demand Deposits; Bounds Testing;
JEL
Classification:
C32; E41; E52;
Kaynakça
- Altınkemer, M. (2004). Importance of Base Money Even When Inflation Targeting, CBRT Research Department Working Paper 04/04.
- Bahmani-Oskooee, M. and Rehman, H. (2005). Stability of the Money Demand Function in Asian Developing Countries, Applied Economics, 34, 2075-083.
- Bahmani-Oskooee, M. and Karacal, M. (2006). The Demand for Money in Turkey and Currency Substitution, Applied Economics Letters, 13, 635-42.
- Cakan, P. & Özmen, E. (2002). Policy Regime Change and Structural Break in the Velocity of Money: The Turkish Evidence, Applied Economics Letters, 9, 759-62.
- Civcir, I. (2003). Broad Money Demand, Financial Liberalization and Currency Substitution in Turkey, Journal of Economic Studies, 30(5), 514-34.
- Davis, B., Karemera, D. and Whitesides, L. (2013). The Intertemporal Stability of the US Money Demand Function: New Evidence from Switching Regressions, Applied Economics Letters, 20(6), 581-86.
- Dreger, C., Reimers, H.-E. and Roffia, B. (2007). Long-run Money Demand in the New EU Member States with Exchange Rate Effects, Eastern European Economics, 45(2), 75-94.
- Engle, R.F. and Granger, C.W.J. (1987). Co-integration and Error Correction: Representation, Estimation, and Testing, Econometrica, 55, 251-76.
- Favero, C.A. (2001). Applied Macroeconometrics, Oxford: Oxford University Press.
- Friedman, M. (1977). Time Perspective in the Demand for Money, Scandinavian Journal of Economics, 79, 377-416.
- Goldfeld, S.M. and Sichel, D.E. (1990). The Demand for Money. B.M. Friedman and F.H. Hahn (Eds), Handbook of Monetary Economics 1 (300-56).
- Göktaş, Ö. (2005). Teorik ve Uygulamalı Zaman Serileri Analizi, İstanbul: Beşir Kitabevi.
- https://evds2.tcmb.gov.tr, erişim tarihi: 28.01.2019.
- https://www.sbb.gov.tr/, erişim tarihi: 28.01.2019.
- Jawadi, F. and Sousa, R.M. (2013). Modeling Money Demand: Further Evidence from an International Perspective, Applied Economics Letters. 20(11), 1052-055.
- Johansen, S. (1995). Likelihood-based Inference in Cointegrated Vector Autoregressive Models, Oxford: Oxford University Press.
- Kim, S. and Subramanian, C. (2009). Velocity of Money and Inflation Dynamics, Applied Economics Letters, 16(18), 1777-781.
- Laidler, E.W.D. (1993). The Demand for Money: Theories, Evidence and Problems, 4th ed. New York: Harper Collins College Publishers.
- Lee, C.-C. and Chien, M.-S. (2008). Stability of Money Demand Function Revisited in China, Applied Economics. 40(24), 3185-197.
- Lee, J. and Strazicich, M.C. (2003). Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks, Review of Economics and Statistics, 85(4), 1082-089.
- Pesaran, M.H. and Shin, Y. (1998). An Autoregressive Distributed-lag Modelling Approach to Cointegration Analysis, Econometric Society Monographs, 31, 371-413.
- Pesaran, M.H, Shin, Y. and Smith, R.J. (2001). Bound Testing Approaches to the Analysis of Level Relationships, Journal of Applied Econometrics, 16, 289-326.
- Ramachandran, M. (2004). Do Broad Money, Output and Prices Stand for a Stable Relationship in India?, Journal of Policy Modeling, 26, 983-1001.
- Sarno, L. (1999). Adjustment Costs and Nonlinear Dynamics in the Demand for Money: Italy, 1861-1991, International Journal of Finance and Economics, 4, 155-77.
Ayrıntılar
| Birincil Dil | Türkçe |
|---|---|
| Bölüm | Makaleler |
| Yazarlar | |
| Yayımlanma Tarihi | 28 Ağustos 2019 |
| Yayımlandığı Sayı | Yıl 2019 |