MONETARY POLICY SHOCKS AND EMPIRICAL ANOMALIES IN TURKEY

This paper empirically investigates the effects of monetary policy shocks of a small open economy Turkey using a VAR approach. Orthogonal restrictions are formed based on the traditional closed economy VAR literature so that output and prices do not respond contemporaneously to monetary policy shocks. Additionally, simultaneous interaction between exchange rate and domestic interest rate is not allowed. A non-recursive structural identification scheme is also conducted for comparison and introduces two new assumptions: i) “simultaneity” between interest rates and real exchange rates ii) “information delays” that do not allow the monetary policy to react to output changes instantane-ously. Both identification specifications are extended in different ways to check the robustness of the results. The orthogonalized and structural impulse-responses indicate that qualitative inferences about the effects of monetary policy in Turkey are not different across identification methods; a recursive identification scheme or a non-recursive one, and both present exchange rate and price puzzles.

TÜRKİYE’DEKİ PARA POLİTİKASI ŞOKLARI VE AMPİRİK ANOMALİLER

Bu çalıĢma para politikası Ģoklarının Türkiye ekonomisi üzerindeki etkilerini VAR yaklaĢımı ile ana-liz etmektedir. ÇalıĢmada kullanılan ortogonal kısıtlamalar, geleneksel kapalı ekonomi VAR literatü-rüne dayanarak oluĢturulmuĢ olup, çıktı ve fiyat düzeyi para politikası Ģoklarına eĢ zamanlı olarak cevap vermemektedir. Ek olarak, döviz kurları ve ulusal faiz oranları arasında karĢılıklı etkileĢime de izin verilmemektedir. KarĢılaĢtırma yapabilmek amacıyla yinelemeli olmayan yapısal kısıtlamalarda çalıĢmada kullanılmıĢ olup iki yeni varsayım ortaya koyulmuĢtur. Bunlardan ilki döviz kuru ve faizler arasında eĢzamanlılık olduğunu öne sürmektedir. Ġkincisi ise para politikasının çıktı değiĢmelerine karĢı eĢ zamanlı olarak tepki veremediğini ifade eden “bilgi gecikmeleri” varsayımıdır. Her iki kısıt-lama yapısında da sonuçların tutarlılığını kontrol etmek için farklı analizler yapılmıĢtır. Ortogonal ve yapısal etki-tepki analizleri, uygulanan para politikalarının etkilerinin, ortogonal ve yapısal kısıtlama yöntemlerine göre farklılık göstermediğini ifade etmekte ve Türkiye‟de hem fiyat hem de döviz kuru bulmacalarına rastlandığını ortaya koymaktadır.

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