TCMB Para Politikası Açıklamaları ECB ve FED Açıklamalarından Etkileniyor mu?

Bu makale, TCMB’nin para politikası açıklamalarının ECB ve FED para politikası açıklamalarından etkilenip etkilenmediğini incelemeyi amaçlamaktadır. 2008 Ocak - 2020 Ağustos döneminde TCMB, ECB ve FED için denge duyarlılık göstergelerini (BSI) para politikası tablolarından oluşturmak için duyarlılık analizi yapılmıştır. Aylık BSI’lerin bireysel ve grup özellikleri birim kök testleri ve Bounds eş bütünleşme testleri ile incelenir. ECB ve FED duygularının TCMB’nin duyguları üzerindeki kısa ve uzun vadeli etkileri ARDL ve UECM modelleri ile araştırılıyor. Analiz, tam örnekleme dönemi ve 2013 Haziran öncesi ve sonrasını temsil ettikleri iki alt örnek üzerinden uygulanmıştır. Bu tarih hem Fed teşvik programının etkileri hem de IMF ile ilişkiler açısından Türkiye için önemlidir. Bulgular, TCMB, ECB ve FED’in BSI’larının tüm örneklem dönemi ve 2013 Haziran sonrası dönemde istatistiksel olarak anlamlı eş bütünleşme ilişkisine sahip olduğunu göstermektedir. Özellikle Haziran 2013 sonrasında, Merkez Bankası açıklamaları uzun vadede ECB ve FED açıklamaları ile olumlu yönde ilişkiliyken, kısa vadede Merkez Bankası açıklamaları FED açıklamalarından olumsuz etkilenmiştir.

Are CBRT’s Monetary Policy Statements Affected by ECB and FED Statements?

This paper aims to examine whether CBRT’s monetary policy statements are affected by ECBand FED monetary policy statements. The sentiment analysis is performed to build the balancesentiment indicators (BSI) for CBRT, ECB, and FED from 2008 January to 2020 August using bytheir monetary policy statements. Individual and group properties of monthly BSI’s are examinedby unit root tests and the Bounds cointegration tests. The short and long-run effects of ECB andFED sentiments on CBRT’s sentiments are investigated by ARDL and UECM models. The analysis isapplied over the full sample period and two sub-samples which they represent the periods beforeand after 2013 May. That date is an important for Turkey in terms of the effects of the Fed stimulusprogram as well as relations with the IMF. The results imply that the CBRT, ECB, and FED’s BSI’shave statistically significant cointegration relationship over the full sample period and the periodafter 2013 June. Particularly after June 2013, the CBRT’s statements are positively related with theECB’s and FED’s statements in the long run however CBRT’s statements are negatively affected byFED’s statements in the short-run.

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