H. Levent KORAP

434

MULTIRANK COINTEGRATION ANALYSIS OF TURKISH M1 MONEY DEMAND (1987Q1-2006Q3)

Çalışmamızda Türkiye Ekonomisi koşullarında dar kapsamlı M1 para talebi çok değişkenli eşbütünleşim çözümlemesi kullanılarak incelenmeye çalışılmıştır. Elde edilen tahmin sonuçları iktisat kuramı doğrultusunda oluşturulacak bir para talebi vektörünün deng e eşbütünleşim uzayında tanımlanabileceğini göstermektedir. Ancak 1994 kriz sonrası ve 2000 istikrar programı sonrası tahmin edilen yapısal kırılma ve katsayı istikrarsızlıkları tahmin edilen modelin bütün bir inceleme dönemini temsil edip edemeyeceği ile ilgili olarak bazı kuşkuların oluşmasına yol açmıştır. Ayrıca, uzun dönem değişken uzayı içerisinde tahmin edilen ikinci bir vektör de yurtiçi enflasyona karşı duyarlılık gösteren aşırı toplam talep olgusu ile ilişkilendirilmiştir.
Anahtar Kelimeler:

Para Talebi, Derneşik Talep, Türkiye Ekonomisi, Eşbütünleşim, Tanımlama, Süper Dışsallık, Yapısal Kırılmalar, İktisat Politikası

MULTIRANK COINTEGRATION ANALYSIS OF TURKISH M1 MONEY DEMAND (1987Q1-2006Q3)

In our paper, we employ multivariate cointegration analysis to the Turkish M1 narrow money demand. The ex-post estimation results reveal that it is possible to identify a moneydemand vector in the cointegrating space as a priori hypothesized through economics theory. But some structural break points and parameter instabilities coincided with post-1994economic crisis period and 2000-stabilization program cast some doubt upon whether the estimated model can represent all the period under investigation. Besides, a second potentialvector found in the long-run variable space has been decomposed to reconcile it with excess aggregate demand reacting to the domestic inflation.  
Keywords:

Money Demand, Aggregate Demand, Turkish Economy, Cointegration, Identification, Super Exogeneity, Structural Breaks, Economic Policy,

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Ekoist: Journal of Econometrics and Statistics-Cover
  • Yayın Aralığı: Yılda 2 Sayı
  • Yayıncı: İstanbul Üniversitesi
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MULTIRANK COINTEGRATION ANALYSIS OF TURKISH M1 MONEY DEMAND (1987Q1-2006Q3)

H. Levent KORAP