Türkiye Ekonomisindeki Emisyon Hacminin Düşük ve Yüksek Frekanslı Modeller ile Öngörüsü

Bu çalışmanın amacı günlük emisyon hacmini kontrol altında tutan merkez bankasının, likidite yönetimini gerçekleştirirken öngörüde kullanacağı en uygun ekonometrik modelin belirlenmesine katkıda bulunmaktır. Çalışmada iki farklı yaklaşımdan faydalanılarak öngörü yapmak amacıyla modeller kurulmuş ve bu modellerin öngörü performansları karşılaştırılmıştır. 2002 yılının üçüncü çeyreği ile 2019 yılının son çeyreğini de kapsayan veriler, TCMB'nin resmi sitesinden alınmıştır. Birinci yaklaşım, para talebi teorisinden elde edilen, düşük frekanslı üç farklı yöntemi içermektedir; vektör otoregresif model (VAR), genelden özele modellemesi ve genelleştirilmiş otoregresif koşulu değişken varyans (GARCH) modelidir. İkinci yaklaşım ise hane halkının talebini dikkate alan otoregresif hareketli ortalama (ARMA) modelidir.

Prediction of Currency in Circulation in Turkey’s Economy with Low and High Frequency Models

The aim of this study is to contribute to the determination of the most appropriate econometric model that the central bank, which keeps the daily emission volume under control, will use for forecasting while carrying out its liquidity management. In the study, by using two different approaches, models were established to make predictions and the predictive performances of these models were compared. Data covering the third quarter of 2002 and the last quarter of 2019 were taken from the official website of the TCMB. The first approach involves usage of three different low frequency methods derived from the money demand theory: vector autoregressive model (VAR), general-to-specific modeling and generalized autoregressive conditional heteroscedastic (GARCH) model. The second approach is the autoregressive moving average (ARMA) model, that takes into account the demand of the household.

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