Akmaral MAZHİTOVA, Barış GÖK

5210

KIRGIZİSTANDA PARASAL AKTARIM MEKANİZMASI: EKONOMETRİK ANALİZ

Bu çalışmada Kırgızistan Merkez Bankasının parasal aktarım mekanizmalarından geleneksel faiz oranı kanalı, banka kredi kanalı ve döviz kuru kanalı ele alınmıştır. Kırgızistan'da para politikasının reel üretim ve fiyatlar genel seviyesini hangi kanalla etkilediğini bulmak için VAR yöntemi kapsamında etki-tepki ve varyans ayrıştırma analizleri, Ocak 2000'den Kasım 2016'ya kadar olan aylık veriler kullanılarak yapılmıştır. Çalışma sonucunda, Kırgızistan’da geleneksel faiz oranı kanalının fiyatlar üzerinde etkili olduğu ama milli gelir üzerinde etkisiz olduğu sonucuna ulaşılmıştır. Kırgızistan gibi gelişmekte olan ve dışa açık ülkelerde önemli rol oynamakta olan parasal aktarımın döviz kuru kanalı enflasyon üzerinde etkili olmaktayken, reel gayrisafi milli hasıla büyümesi üzerinde etkisiz kalmıştır. Banka kredi kanalı için yapılan analiz sonucuna göre, hem enflasyon oranının hem de reel milli hasıla büyümesinin bankaların reel kredi hacmindeki bir standart sapmalık şoka karşı tepkileri pozitif yönde olmuştur.
Anahtar Kelimeler:

Parasal Aktarım Mekanizması, Parasal Aktarım Kanalları, VAR Modeli, Faiz Oranı Kanalı, Döviz Kuru Kanalı, Banka Kredi Kanalı, kırgızistan

MONETARY TRANSMISSION MECHANISM IN KYRGYZSTAN: AN ECONOMETRIC ANALYSIS

This study focuses on traditional interest rate channel, bank lending channel and exchange rate channel of monetary transmission mechanisms of the Central Bank of Kyrgyzstan. To determine the channel through which monetary policy effects real output and price level in Kyrgyzstan, employing monthly data from January 2000 to November 2016, impulse-response and variance decomposition analyses within the vector autoregressive approach (VAR) is utilized. As a result of the study, it is found that the traditional interest rate channel is effective on the prices but it is ineffective on the output in Kyrgyzstan. The exchange rate channel of monetary transmission which plays an important role in emerging and open countries like Kyrgyzstan, is found to be effective on the inflation rate but ineffective on the real GDP growth. According to the analysis for the bank lending channel, both the inflation rate and the real GDP growth responded positively to one standard deviation shock in the real credit volume of the banks.
Keywords:

Monetary Transmission Mechanism, Monetary Transmission Channels, VAR Model, Interest Rate Channel, Exchange Rate Channel, Bank Lending Channel, kyrgyzstan,

PDF

___

  • Agha, A. I., N. Ahmed, Y. A. Mubarik, ve H. Shah (2005), “Transmission Mechanism of Monetary Policy in Pakistan”, State Bank of Pakistan - Research Bulletin, Cilt: 1, No: 1, ss. 1-23.
  • Angeloni, I., A.K. Kashyap, B. Mojon, ve D. Terlizzese (2003), “Monetary Transmission in the Euro Area: Does the Interest Rate Channel Explain it All?”, NBER Working Paper, No: 9984.
  • Atabaev, N. ve J. Ganiyev (2013), “VAR Analysis or the Monetary Transmission Mechanism in Kyrgyzstan”, Eurasian Journal of Business and Economics, Cilt: 6, No: 11, ss. 121-134.
  • Bernanke, B. S. ve M. Gertler (1995), “Inside the Black Box: The Credit Channel of Monetary Policy Transmission”, Journal of Economic Perspectives, Cilt: 9, No: 4, ss. 27-48.
  • Bredin, D. ve G. O’Reilly (2004), “An Analysis of The Transmission Mechanism of Monetary Policy in Ireland”, Applied Economics, Cilt: 36, ss. 49–58.
  • Brooks, C. (2014). Introductory Econometrics for Finance (3. Baskı). New York: Cambridge University Press.
  • Butzen, P., Fuss C. ve P. Vermeulen (2001), “The Interest Rate and Credit Channels in Belgium: an Investigation With Micro Level Firm Data”, Brussels Economic Review, Cilt: 45, No: 3, ss. 5- 35.
  • Büyükakın, F., Cengiz V. ve A. Türk (2009), “Parasal Aktarım Mekanizması: Türkiye’de Döviz Kuru Kanalının VAR Analizi”, Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt: 24, No: 1, ss. 171-198.
  • Camarero, M., Ordónez J. ve C. Tamarit (2002), "Monetary Transmission in Spain: a Structural Cointegrated VAR Approach", Applied Economics, Cilt: 34, No: 17, ss. 2201-2212.
  • Chirinko, R.S. ve U.V. Kalckreuth (2003), “On the German Monetary Transmission Mechanism: Interest Rate and Credit Channels for Investment Spending”, CESifo Working Paper Series, No: 838.
  • Dale, S. ve A.G. Haldane (1995), “Interest Rates and the Channels of Monetary Transmission: Some Sectoral Estimates”, European Economic Review, Cilt: 39, No: 9, ss. 1611-1626.
  • De Bondt, G. (2002), “Retail Bank Interest Rate Pass-Through: New Evidence at the Euro Area Level”, ECB Working Paper, No: 136, ss. 4-23.
  • Dickey, D. A., ve W. A. Fuller (1979), “Distribution of the Estimators for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, Cilt: 74, No: 366, ss. 427 – 431.
  • Disyatat, P. ve P. Vongsinsirikul (2003), “Monetary policy and the Transmission Mechanism in Thailand”, Journal of Asian Economics, Cilt: 14, No:3, ss. 389–418.
  • Drobyshewski, S. M., Trunin, P. V. ve M. V. Kamenskih (2008), “Analiz Transmissionnyh Mehanizmov Denejno- Kreditnoy Politiki v Rossiyskoy Ekonomike” (in Russian), Institute of Economic Policy, Scientific Researches No:116P, ss. 5-81.
  • Dovciak, P. (1999), “Transmission Mechanism Channels in Monetary Policy”, National Bank of Slovakia, Institute of Monetary and Financial Studies, DOV/ 0008, ss. 1-6.
  • Enders, W. (1995), Applied Econometric Time Series, New York: John Wiley & Sons.
  • Gök, B. (2006), İkili Açık Hipotezi ve Türkiye Uygulaması, İzmir, Ege Üniversitesi Yüksek Lisans Tezi.
  • Gujarati, N. D. (2001), Temel Ekonometri, Cevirenler: Şenesen, U. ve Şenesen, G.G., İstanbul: Literatür Yayıncılık.
  • Gündüz, L. (2001), “Türkiye’de Parasal Aktarım Mekanizması ve Banka Kredi Kanalı”, IMKB Dergisi, No: 18, ss. 13-30.
  • Horvath, B. ve R. Maıno (2006), “Monetary Transmission Mechanisms in Belarus”, IMF Working Papers, No: 06/246.
  • Huseynov, E. ve R. Jamilov (2013). “Channels of Monetary Transmission in the CIS: a Review”, Journal of Economic and Social Studies, Cilt: 3, ss. 5-60.
  • Hülsewing, O., Winker, P. ve A. Worms (2001), “Bank Lending in the Transmission of Monetary Policy: A VECM Analysis for Germany”, International University in Germany Working Paper, No: 08.
  • Isakova, A. (2008), “Monetary Policy Efficiency in the Economies of Central Asia”, Czech journal of Economics and Finance, Cilt: 58, No: 11/12, ss. 525-553.
  • Iturriaga, F. J. L. (2000), “More on the Credit Channel of Monetary Policy Transmission: An International Comparison”, Applied Financial Economics, Cilt: 10, No: 4, ss. 423-434.
  • Iwata, S. ve S. Wu (2006), “Estimating Monetary Policy Effects When Interest Rates are Close to Zero”, Journal of Monetary Economics, Cilt: 53, No: 7, ss. 1395–1408.
  • İnan, E.A. (2001), “Parasal Aktarım Mekanizmasının Kredi Kanalı ve Türkiye”,Bankacılar Dergisi, No: 39, ss. 3-19.
  • Kasapoğlu, Ö. (2007), “Parasal Aktarım Mekanizmaları: Türkiye İçin Uygulama”, Ankara, TCMB Uzmanlık Tezi.
  • Kashyap, A.K. ve J.C. Stein (1995), “The impact of monetary policy on bank balance sheets”, Carnegie-Rochester Conference Series on Public Policy, Cilt: 42, No: 1, ss. 151-195.
  • Keynes, J.M. (1923), A Tract on Monetary Reform, London: Macmillan.
  • Lown, C.A. ve D. Morgan (2002), “Credit Effects in the Monetary Mechanism”, Economic Policy Review, Cilt: 8, No:1, ss. 217-235.
  • Mehrotra, A. N. (2007), “Exchange and Interest Rate Channels During a Deflationary Era – Evidence from Japan Hong Kong and China”, Journal of Comparative Economics, Cilt: 35, No: 1, ss. 188-210.
  • Mishkin, F. S. (1992), The Economics of Money, Banking and Financial Markets, (3rd Edition), USA: Harper Collins Publishers.
  • Mishkin, F. S. (1995), “Symposium on the Monetary Transmission Mechanism”, Journal of Economic Perspectives, Cilt: 9, No: 4, ss. 3-10.
  • Mishkin, F. S. (1996), “The Channels of Monetary Transmission: Lessons for Monetary Policy”, NBER Working Paper, No: 5464.
  • Mishkin, F. S. (2001), “The Transmission Mechanism and the Role of Asset Prices in Monetary Policy,” NBER Working Paper, No: 8617.
  • Nagayasu, J. (2007), “Empirical Analysis of the Exchange Rate Channel in Japan”, Journal of International Money and Finance, Cilt: 26, No: 6, ss. 887-904.Nenovsky, N. ve K. Hristov (1998), “Financial Repression and Credit Rationing Under Currency Board Arrangement for Bulgaria”, Bulgarian National Bank, Discussions Paper, No: 2, ss. 5-42.
  • Örnek, İ. (2009), “Türkiye’de Parasal Aktarım Mekanizması Kanallarının İşleyişi”, Maliye Dergisi, No: 156, ss. 104-125.
  • Papadamou, S. ve Oikonomou G. (2007), The Monetary Transmission Mechanism: Evidence from Eight Economies in Transition, International Economic Journal, Cilt: 21, No: 2, ss. 559 – 576.
  • Peek, J. ve E.S. Rosengren (1995), “Bank Regulation and the Credit Crunch”, Journal of Banking and Finance, Cilt: 19, No:1, ss. 679-92.
  • Petursson, T.G. (2001), “The Transmission Mechanism of Monetary Policy: Analysing The Financial Market Pass-Through”, Central Bank Of Iceland Working Paper, No:14.
  • Poddar, T., Sab, R. ve H. Khackhatryan (2006), “The Monetary Transmission Mechanism in Jordan”, IMF Working Paper, No: 06/48.
  • Ramey, V.A. (1993), “How Important is the Credit Channel in the Transmission of Monetary Policy?”, Carnegie-Rochester Conference Series on Public Policy, Cilt: 39, No: 1, ss. 1-45.
  • Romer, C. ve D. Romer (1989), “Does Monetary Policy Matter? A New Test in the Spirit of Friedman and Schwartz”, MIT Pres, NBER Macroeconomics Annual, Cilt: 4, ss. 121-169.
  • Sezer, B. (2003), “Parasal Aktarım Mekanizması ve Türkiye’de İşleyişi”, Yüksek Lisans Tezi. Ankara: Ankara Üniversitesi Sosyal Bilimler Enstitüsü.
  • Sims C. A. (1992), “Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy”, European Economic Review, Cilt: 36, No: 5, ss. 975-1000.
  • Smets, F. ve R. Wouters (1999), “The Exchange Rate and the Monetary Transmission Mechanism in Germany”, De Economist, Cilt: 147, No: 4, ss. 489 – 521.
  • Starr, M. A. (2005), “Does Money Matter in the CİS? Effects of Monetary Policy on Output and Prices”, Journal of Comparative Economics, Cilt: 33, No: 3, ss. 441-661.
  • Stock, J. H. ve M. W. Watson (2011), Ekonometriye Giriş, Çev.: Saraçoğlu, B., İstanbul: Efil Yayınevi.
  • Tarı, R. (2008), Ekonometri, (8. Baskı), İstanbul: Avcı ofset, Kocaeli Üniversitesi Yayını.
  • Taylor, J. B. (1995), “The Monetary Transmission Mechanism: An Empirical Framework”, Journal of Economic Perspectives, Cilt: 9, No: 4, ss. 11-26.
  • Tobin, J. (1969), “A General Equilibrium Approach to Monetary Theory”, Journal of Money, Credit, and Banking, Cilt: 1, No:1, ss. 15-29.
  • Zhang, Y. ve G. Sun (2006), “China’s Consumer Credit Sector Expansion and Monetary Transmission Mechanism: What Should China’s Central Bank Do?”, Journal of Chinese Political Science, Cilt: 11, No: 1, ss. 79 – 93.
EGE STRATEJİK ARAŞTIRMALAR DERGİSİ-Cover
  • Yayın Aralığı: Yılda 2 Sayı
  • Başlangıç: 2010
  • Yayıncı: Ege Üniversitesi Stratejik Araştırmalar Merkezi
Arşiv
Sayıdaki Diğer Makaleler

BAYES AĞI VE BULANIK ÇIKARIM SİSTEMİ TABANLI BİR BİLGİ GÜVENLİĞİ RİSK DEĞERLENDİRME MODELİ

Sevilay BEKEN, Mete EMİNAĞAOĞLU

TÜRK YÖNETİCİ ve ÇALIŞANLARINI NİTELEMEK İÇİN KULLANILAN SIFATLARIN DEĞERLENDİRİLMESİNE YÖNELİK BİR ÇALIŞMA

Murat AYDINAY, Ünsal YETİM

KIRGIZİSTANDA PARASAL AKTARIM MEKANİZMASI: EKONOMETRİK ANALİZ

Akmaral MAZHİTOVA, Barış GÖK

KURAL BAZLI MUHASEBEDEN İLKE BAZLI MUHASEBEYE GEÇİŞİN İŞLETMELER AÇISINDAN STRATEJİK ÖNEMİ VE MUHASEBECİLERİN GÖRÜŞLERİ

Emin YÜREKLİ, Türker SUSMUŞ