Geleneksel Olmayan Para Politikası Şoklarının Hedefi Aşma (Overshooting) Etkisi: Türkiye Örneği

Kapsanmamış faiz paritesinde döviz kuru hareketlerinin iki ülke arasındaki faiz oranı farklılıklarıyla uyumlu olması beklenir. Dornbusch’a (1976) göre, genişletici para politikası şoklarından kaynaklanan bu farklılıklar döviz kurunun ani yükselişi olan “overshooting” etkisidir. Bu çalışmada, Türkiye’de kapsanmamış faiz paritesi yaklaşımında geleneksel olmayan para politikası şoklarının overshooting etkisi 2011:1-2019:5 dönemi için VAR yöntemiyle analiz edilmiştir. Elde edilen bulgular, döviz kurunun kontrol değişkeni olarak öne çıkması nedeniyle geleneksel olmayan para politikası şoklarının overshooting etkisi göstermediğine işaret eder.

Overshooting Effect of Unconventional Monetary Policy Shocks: The Case of Turkey

In uncovered interest rate parity, exchange rate movements are expected to be consistent with interest rate differences between two countries. According to Dornbusch (1976), these differences caused by expansionary monetary policy shocks are the sudden rise of the exchange rate, or overshooting effect. In this study, the overshooting effect of unconventional monetary policy shocks in the uncovered interest rate parity approach is analyzed by VAR methods for 2011:M1-2019:M5 period in Turkey. The findings indicate that unconventional monetary policy shocks do not show overshooting effect, as the exchange rate stands out as the control variable.

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