Durmuş Çağrı YILDIRIM, Seyfettin ERDOĞAN

Türkiye’de Döviz Kuru Kanalının İşleyişi: VAR Modeli ile Bir Analiz

Para politikası kararlarındaki değişikliklerin reel değişkenlerin yanı sıra fiyat seviyesini etkileme süreci, parasal aktarım kavramı ile ifade edilir. Faiz oranı kanalı, varlık fiyatları kanalı, döviz kuru kanalı, kredi kanalı ve beklenti kanalı başlıca aktarım kanallarıdır. Uluslararası entegrasyon ve ekonomilerin dışa açıklık derecelerinin artması döviz kuru kanalının önemini göreli olarak artırmıştır. Açık ekonomilerde para politikası kararlarındaki bir değişiklik, döviz kuru kanalı ile hem hasıla hem de fiyat seviyesini etkilemektedir.Bu çalışmada döviz kuru kanalının işleyişi Türkiye özelinde incelenmektedir. Bu amaçla 1995:1 – 2006:12 dönemine ilişkin aylık veriler VAR metodolojisi ile test edilmiştir. Elde edilen bulgulara göre, Türkiye’de döviz kuru kanalı işlemektedir.

Exchange Rate Channel in Turkey: An Analysis with VAR Model

The concept of monetary transmission mechanism refers to the process in which changes in the monetary policy decisions affect output and price level. A change in monetary policy decisions affect the economy through monetary transmission channels. The interest rate channel, the asset prices channel, the exchange rate channel, the credit channel and expectation channel are the main channels of monetary transmission. With the growing internationalisation of economies throughout the world and the increase of the degree of openness, exchange rate channel has been an important monetary transmission channel. In the open economy, a change in the domestic interest rate affecting output and price level by altering exchange rate. In this paper, exchange rate channel will be analysed in the Turkey. The datas between 1995:01 - 2000:10 and 2001:03 - 2006:12 period are tested by VAR model. According to our findings exchange rate channel operates.

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