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PARA ARZI REAKSİYON FONKSİYONUNUN DEĞİŞKEN KATSAYILI-DEĞİŞKEN VARYANS MODELİ İLE TAHMİNİ

Bu çalışmanın amacı, Türkiye'de 1987-2000 dönemi için, para otoritesinin politikalarını uygulamaya koyma aşamasında kullandığı bir reaksiyon fonksiyonunu tahmin etmektir. Tahmin aşamasında, değişken katsayılı Markov-değişimli varyans modeli kullanılmaktadır. Tahmin sonuçları, politika enstrümanı olarak kullanılan dolaşımdaki para arzı artış oranı ile enflasyon oranındaki değişkenlik arasında istikrarsız bir ilişki olduğunu göstermektedir. Bu bulgu, reaksiyon fonksiyonu parametrelerinin zaman içinde değişmesi nedeniyle ortaya çıkan belirsizlik nedeniyle, 1987-2000 arasında yalnızca sıkı para politikaları aracılığıyla enflasyonu düşürmenin mümkün olmadığı şeklindeki öngörüyü desteklemektedir.

Anahtar Kelimeler:

: Para arzı, reaksiyon fonksiyonu, Markov-Değişimli model

Estimation Of Money Supply Reaction Function By Using Time Varying Parameter Model With Heteroskedastic Disturbances

The purpose of this study is to estimate a reaction function used by monetary authority in conducting its policies for the period of 1987-2000 in Turkey. A time varying parameter model with heteroskedastic disturbances is used in the estimation procedure. Results indicate that there had been an unstable relationship between the growth rate of currency in circulation used as policy instrument, and the volatility of inflation. This finding supports the fact why contractionary monetary policy alone had not been sufficient to reduce inflation during the sample period as a result of uncertainty, which was due to the changes in regression coefficients of the policy reaction function.

Keywords:

Money supply, reaction function, Markov-Switching model,

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