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PARASAL AKTARIM MEKANİZMALARININ İŞLEYİŞİNDE FİNANSAL KOŞULLARIN ÖNEMİ: TVP-VAR MODELLERİNDEN BULGULAR

Year 2019, Issue: 34, 73 - 96, 21.01.2019
https://doi.org/10.30794/pausbed.421112

Abstract

Bu makalede
Türkiye’de parasal aktarım mekanizmalarındaki değişimin finansal koşulların
rolü dikkate alınarak incelenmesi amaçlanmaktadır. Bu çerçevede, parasal
değişkenler ve finansal koşulların fiyatlar ve iktisadi aktivite üzerindeki
etkileri zamanla değişen parametreli vektör otoregresif (TVP-VAR) modellerin
tahmininden elde edilen etki-tepki fonksiyonları ile analiz edilmiştir.
Sonuçlar aktarım mekanizmalarının işleyişinin zaman içinde önemli ölçüde
değiştiğini göstermektedir. Fiyatların faiz oranı şoklarına 2006 yılından sonra
negatif ve anlamlı tepki vermesi faiz oranı kanalının açık enflasyon
hedeflemesine geçiş ile birlikte etkin bir şekilde çalıştığını ima etmektedir.
Finansal koşullar endeksine verilen şoklar özellikle finansal kriz dönemlerinde
iktisadi aktivite üzerinde pozitif ve anlamlı etkilere sahiptir. Bu nedenle,
söz konusu değişken iktisadi aktivitenin iyi bir öngörücüsü olarak dikkate
alınabilir.

References

  • Akdeniz, C. and Çatık, A. N. (2017). “Türkiye İçin Finansal Koşulların Bir Analizi: Faktör ve VAR Modellerinden Bulgular”, Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, C. 12, S. 1, 99-120.
  • Aleem, A. (2010). “Transmission mechanism of monetary policy in India”, Journal of Asian Economics, 21, 186-197.
  • Başçı, E., Özel, Ö. ve Sarıkaya, Ç. (2007). “The Monetary Transmission Mechanism in Turkey: New Devolopments”, Türkiye Cumhuriyet Merkez Bankası Çalışma Tebliği, 07/04, 1-28.
  • Bernanke, B. S. (2007). “Globalization and Monetary Policy”, Speech at the Fourth Economic Summit, Stanford Institute for Economic Policy Research, Standford, California, March 2007, No: 262, https://www.federalreserve.gov/newsevents/speech/bernanke20070302a.htm.
  • Bernanke, B. S. ve Blinder, A. S. (1988). “Credit, Money, and Aggregate Demand”, The American Economic Review, 78(2), 435-439.
  • Bernanke, B. S. ve Blinder, A. S. (1992). “The Federal Funds Rate and the Channels of Monetary Transmission”, The American Economic Review, 82 (4), 901-921.
  • Bernanke, B. S. ve Gertler, M. (1995). “Inside the Black Box: The Credit Channel of Monetary Policy Transmission”, Journal of Economic Perspectives, 9(4), 27-48.
  • Bredin, D. ve O’Reilly, G. P. (2004). “An Analysis of The Transmission Mechanism of Monetary Policy in Ireland”, Applied Economics, 36(1), 49-58.
  • Camarero, M., Ordónez, J. ve Tamarit, C. R. (2002). “Monetary Transmission in Spain: A Structural Cointegrated VAR Approach”, Applied Economics, 34(17), 2201-2212.
  • Carlin, B. P., ve Chib, S. (1995). “Bayesian Model Choice via Markov Chain Monte Carlo Methods”, Journal of the Royal Statistical Society, Series B, 57(3), 473-484.
  • Chib, S. (2001). “Markov Chain Monte Carlo Methods: Computation and Inference”, (Ed.), Heckman, J.J. ve Leamer, E. E., Handbook of Econometrics, 5(57), 3569-3649.
  • Çatık, A. N. ve Karaçuka M. (2012). “The Bank Lending Channel in Turkey: Has It Changed After The Low Inflation Regime?”, Applied Economics Letters, 19(13), 1237-1242.
  • Çatık, A. N. ve Martin C. (2012). “Macroeconomic Transitions and the Transmission Mechanism: Evidence from Turkey”, Economic Modelling, 29(4), 1440-1449.
  • Çiçek, M. (2005). “Türkiye’de Parasal Aktarım Mekanizması: VAR (vektör Otoregresyon) Yaklaşımıyla Analizi”, İktisat İşletme ve Finans Dergisi, 20(233), 82-105.
  • Çevik, S. ve Teksöz, K. (2012). “The Effectiveness of Monetary Policy Transmission Channels in the GCC Countries”. IMF Working Paper, No: 12:191.
  • Franta, M., Horvath, R. ve Rusnak, M. (2014). “Evaluating changes in the monetary transmission mechanism in the Czech Republic.” Empirical Economics 46: 827- 842.
  • Güloğlu, B., ve Orhan, S. (2008). “Türkiye’de Parasal Aktarım Mekanizmalarının Makroekonomik Etkileri”, İktisat, İşletme ve Finans, 23(268), 94-118.
  • Karasoy, A., Kunter, K. ve Us, V. (2005). “Monetary Transmission Mechanism in Turkey Under Free Float Using a Small-Scale Macroeconomic Model”, Economic Modelling, 22(6), 1064-1073.
  • Koop, G., Leon-Gonzalez, R. ve Strachan, R. W. (2009). “On The Evolution of the Monetary Policy Transmission Mechanism”, Journal of Economic Dynamics and Control, 33(4), 997-1017.
  • Koop, G. (2012). “Using VARs and TVP-VARs with Many Macroeconomic Variables”, Central European Journal of Economic Modelling and Econometrics, CEJEME, 4(3), 143-167.
  • Koop, G. ve Korobils, D. (2013). “Large Time-varying Parameter VARs”, Journal of Econometrics, 177(2), 185-198.
  • Mishkin, F. S. (1995). “Symposium on the Monetary Transmission Mechanism”, Journal of Economic Perspectives, 9(4), 3-10.
  • Mishkin, F. S. (2004). “The Economics of Money, Banking, and Financial Markets”, The Addison-Wesley Series in Economics, 7th Edition, Pearson Addison Wesley.
  • Nagayasu, J. (2007). “Empirical Analysis of the Exchange Rate Channel in Japan”, Journal of International Money and Finance, 26(6), 887-904.
  • Nakajima, J. (2011). “Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications”, Monetary and Economic Studies, 29, 107-142.
  • Nakajima, J. ve Watanabe, T. (2011). “Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model with the Ordering of Variables for the Japanese Economy and Monetary Policy”, Global COE Hi-Stat Discussion Paper Series, No: 196, Institute of Economic Research, Hitotsubashi University.
  • Örnek, İ. (2009). “Türkiye’de Parasal Aktarım Mekanizması Kanallarının İşleyişi”, Maliye Dergisi, 156, 104-125.
  • Primiceri, G. E. (2005). “Time Varying Structural Vector Autoregressions and Monetary Policy”, Review of Economic Studies, 72 (3): 821-852.
  • Rapach, D. E. (2001). “The long-run relationship between inflation and real stock prices”, Journal of Macroeconomics, 24:331-351.
  • Saraç, T. B. ve Uçan, O. (2013). “The Interest Rate Channel in Turkey: An Investigation with Kalman Filter Approach”, International Journal of Economics and Financial Issues, 3(4): 874-884.
  • Sims, C. A. (1992). “Interpreting the macroeconomic time series facts: the effects of monetary policy”, European Economic Review, 36(5), 975-1000.
  • Simo-Kengne, B. D., Miller S.M., Gupta, R. ve Aye, G. C. (2015). “Time-Varying Effects of Housing and Stock Returns on U.S. Consumption”, The Journal of Real Estate Finance and Economics, 50(3), 339-354.
  • Suzuki, T. (2004). “Is the Lending Channel of Monetary Policy Dominant in Australia?”, The Economic Record, 80(249), 145-156.
  • Suzuki, T. (2008). “International Credit Channel of Monetary Policy: An Empirical Note”, Australian Economic Papers, 47(4), 396-407.
  • Taylor, J. B. (1995). “The Monetary Transmission Mechanism: An Empirical Framework”, Journal of Economic Perspectives, 9(4), 11-26.
Year 2019, Issue: 34, 73 - 96, 21.01.2019
https://doi.org/10.30794/pausbed.421112

Abstract

References

  • Akdeniz, C. and Çatık, A. N. (2017). “Türkiye İçin Finansal Koşulların Bir Analizi: Faktör ve VAR Modellerinden Bulgular”, Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, C. 12, S. 1, 99-120.
  • Aleem, A. (2010). “Transmission mechanism of monetary policy in India”, Journal of Asian Economics, 21, 186-197.
  • Başçı, E., Özel, Ö. ve Sarıkaya, Ç. (2007). “The Monetary Transmission Mechanism in Turkey: New Devolopments”, Türkiye Cumhuriyet Merkez Bankası Çalışma Tebliği, 07/04, 1-28.
  • Bernanke, B. S. (2007). “Globalization and Monetary Policy”, Speech at the Fourth Economic Summit, Stanford Institute for Economic Policy Research, Standford, California, March 2007, No: 262, https://www.federalreserve.gov/newsevents/speech/bernanke20070302a.htm.
  • Bernanke, B. S. ve Blinder, A. S. (1988). “Credit, Money, and Aggregate Demand”, The American Economic Review, 78(2), 435-439.
  • Bernanke, B. S. ve Blinder, A. S. (1992). “The Federal Funds Rate and the Channels of Monetary Transmission”, The American Economic Review, 82 (4), 901-921.
  • Bernanke, B. S. ve Gertler, M. (1995). “Inside the Black Box: The Credit Channel of Monetary Policy Transmission”, Journal of Economic Perspectives, 9(4), 27-48.
  • Bredin, D. ve O’Reilly, G. P. (2004). “An Analysis of The Transmission Mechanism of Monetary Policy in Ireland”, Applied Economics, 36(1), 49-58.
  • Camarero, M., Ordónez, J. ve Tamarit, C. R. (2002). “Monetary Transmission in Spain: A Structural Cointegrated VAR Approach”, Applied Economics, 34(17), 2201-2212.
  • Carlin, B. P., ve Chib, S. (1995). “Bayesian Model Choice via Markov Chain Monte Carlo Methods”, Journal of the Royal Statistical Society, Series B, 57(3), 473-484.
  • Chib, S. (2001). “Markov Chain Monte Carlo Methods: Computation and Inference”, (Ed.), Heckman, J.J. ve Leamer, E. E., Handbook of Econometrics, 5(57), 3569-3649.
  • Çatık, A. N. ve Karaçuka M. (2012). “The Bank Lending Channel in Turkey: Has It Changed After The Low Inflation Regime?”, Applied Economics Letters, 19(13), 1237-1242.
  • Çatık, A. N. ve Martin C. (2012). “Macroeconomic Transitions and the Transmission Mechanism: Evidence from Turkey”, Economic Modelling, 29(4), 1440-1449.
  • Çiçek, M. (2005). “Türkiye’de Parasal Aktarım Mekanizması: VAR (vektör Otoregresyon) Yaklaşımıyla Analizi”, İktisat İşletme ve Finans Dergisi, 20(233), 82-105.
  • Çevik, S. ve Teksöz, K. (2012). “The Effectiveness of Monetary Policy Transmission Channels in the GCC Countries”. IMF Working Paper, No: 12:191.
  • Franta, M., Horvath, R. ve Rusnak, M. (2014). “Evaluating changes in the monetary transmission mechanism in the Czech Republic.” Empirical Economics 46: 827- 842.
  • Güloğlu, B., ve Orhan, S. (2008). “Türkiye’de Parasal Aktarım Mekanizmalarının Makroekonomik Etkileri”, İktisat, İşletme ve Finans, 23(268), 94-118.
  • Karasoy, A., Kunter, K. ve Us, V. (2005). “Monetary Transmission Mechanism in Turkey Under Free Float Using a Small-Scale Macroeconomic Model”, Economic Modelling, 22(6), 1064-1073.
  • Koop, G., Leon-Gonzalez, R. ve Strachan, R. W. (2009). “On The Evolution of the Monetary Policy Transmission Mechanism”, Journal of Economic Dynamics and Control, 33(4), 997-1017.
  • Koop, G. (2012). “Using VARs and TVP-VARs with Many Macroeconomic Variables”, Central European Journal of Economic Modelling and Econometrics, CEJEME, 4(3), 143-167.
  • Koop, G. ve Korobils, D. (2013). “Large Time-varying Parameter VARs”, Journal of Econometrics, 177(2), 185-198.
  • Mishkin, F. S. (1995). “Symposium on the Monetary Transmission Mechanism”, Journal of Economic Perspectives, 9(4), 3-10.
  • Mishkin, F. S. (2004). “The Economics of Money, Banking, and Financial Markets”, The Addison-Wesley Series in Economics, 7th Edition, Pearson Addison Wesley.
  • Nagayasu, J. (2007). “Empirical Analysis of the Exchange Rate Channel in Japan”, Journal of International Money and Finance, 26(6), 887-904.
  • Nakajima, J. (2011). “Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications”, Monetary and Economic Studies, 29, 107-142.
  • Nakajima, J. ve Watanabe, T. (2011). “Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model with the Ordering of Variables for the Japanese Economy and Monetary Policy”, Global COE Hi-Stat Discussion Paper Series, No: 196, Institute of Economic Research, Hitotsubashi University.
  • Örnek, İ. (2009). “Türkiye’de Parasal Aktarım Mekanizması Kanallarının İşleyişi”, Maliye Dergisi, 156, 104-125.
  • Primiceri, G. E. (2005). “Time Varying Structural Vector Autoregressions and Monetary Policy”, Review of Economic Studies, 72 (3): 821-852.
  • Rapach, D. E. (2001). “The long-run relationship between inflation and real stock prices”, Journal of Macroeconomics, 24:331-351.
  • Saraç, T. B. ve Uçan, O. (2013). “The Interest Rate Channel in Turkey: An Investigation with Kalman Filter Approach”, International Journal of Economics and Financial Issues, 3(4): 874-884.
  • Sims, C. A. (1992). “Interpreting the macroeconomic time series facts: the effects of monetary policy”, European Economic Review, 36(5), 975-1000.
  • Simo-Kengne, B. D., Miller S.M., Gupta, R. ve Aye, G. C. (2015). “Time-Varying Effects of Housing and Stock Returns on U.S. Consumption”, The Journal of Real Estate Finance and Economics, 50(3), 339-354.
  • Suzuki, T. (2004). “Is the Lending Channel of Monetary Policy Dominant in Australia?”, The Economic Record, 80(249), 145-156.
  • Suzuki, T. (2008). “International Credit Channel of Monetary Policy: An Empirical Note”, Australian Economic Papers, 47(4), 396-407.
  • Taylor, J. B. (1995). “The Monetary Transmission Mechanism: An Empirical Framework”, Journal of Economic Perspectives, 9(4), 11-26.
There are 35 citations in total.

Details

Primary Language Turkish
Subjects Economics
Journal Section Articles
Authors

Coşkun Akdeniz

Nazif Çatık This is me

Publication Date January 21, 2019
Acceptance Date September 7, 2018
Published in Issue Year 2019 Issue: 34

Cite

APA Akdeniz, C., & Çatık, N. (2019). PARASAL AKTARIM MEKANİZMALARININ İŞLEYİŞİNDE FİNANSAL KOŞULLARIN ÖNEMİ: TVP-VAR MODELLERİNDEN BULGULAR. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi(34), 73-96. https://doi.org/10.30794/pausbed.421112
AMA Akdeniz C, Çatık N. PARASAL AKTARIM MEKANİZMALARININ İŞLEYİŞİNDE FİNANSAL KOŞULLARIN ÖNEMİ: TVP-VAR MODELLERİNDEN BULGULAR. PAUSBED. January 2019;(34):73-96. doi:10.30794/pausbed.421112
Chicago Akdeniz, Coşkun, and Nazif Çatık. “PARASAL AKTARIM MEKANİZMALARININ İŞLEYİŞİNDE FİNANSAL KOŞULLARIN ÖNEMİ: TVP-VAR MODELLERİNDEN BULGULAR”. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, no. 34 (January 2019): 73-96. https://doi.org/10.30794/pausbed.421112.
EndNote Akdeniz C, Çatık N (January 1, 2019) PARASAL AKTARIM MEKANİZMALARININ İŞLEYİŞİNDE FİNANSAL KOŞULLARIN ÖNEMİ: TVP-VAR MODELLERİNDEN BULGULAR. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 34 73–96.
IEEE C. Akdeniz and N. Çatık, “PARASAL AKTARIM MEKANİZMALARININ İŞLEYİŞİNDE FİNANSAL KOŞULLARIN ÖNEMİ: TVP-VAR MODELLERİNDEN BULGULAR”, PAUSBED, no. 34, pp. 73–96, January 2019, doi: 10.30794/pausbed.421112.
ISNAD Akdeniz, Coşkun - Çatık, Nazif. “PARASAL AKTARIM MEKANİZMALARININ İŞLEYİŞİNDE FİNANSAL KOŞULLARIN ÖNEMİ: TVP-VAR MODELLERİNDEN BULGULAR”. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 34 (January 2019), 73-96. https://doi.org/10.30794/pausbed.421112.
JAMA Akdeniz C, Çatık N. PARASAL AKTARIM MEKANİZMALARININ İŞLEYİŞİNDE FİNANSAL KOŞULLARIN ÖNEMİ: TVP-VAR MODELLERİNDEN BULGULAR. PAUSBED. 2019;:73–96.
MLA Akdeniz, Coşkun and Nazif Çatık. “PARASAL AKTARIM MEKANİZMALARININ İŞLEYİŞİNDE FİNANSAL KOŞULLARIN ÖNEMİ: TVP-VAR MODELLERİNDEN BULGULAR”. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, no. 34, 2019, pp. 73-96, doi:10.30794/pausbed.421112.
Vancouver Akdeniz C, Çatık N. PARASAL AKTARIM MEKANİZMALARININ İŞLEYİŞİNDE FİNANSAL KOŞULLARIN ÖNEMİ: TVP-VAR MODELLERİNDEN BULGULAR. PAUSBED. 2019(34):73-96.