ENFLASYONİST KOŞULLARDA TÜRKİYE EKONOMİSİNE İLİŞKİN PARA ARZI TAHMİNİ

Para arzı artışı, faiz oranları ve harcama/gelir büyüklükleri arasındaki ilişkiyi anlamak, merkez bankaları ve politika yapıcılar için önemli bir konudur. Para politikasının isabeti ve etkinliği parasal büyüklüklerdeki değişmeler ile mevcut ve gelecekteki harcama/gelir ve enflasyonun hareketlerinin doğru yorumlanmasına bağlıdır. Para politikalarının temel amacı enflasyonu kontrol etmek olan merkez bankası, para ve kredi arzının büyüme oranını etkileyerek, ekonomideki mal ve hizmetlere yapılan toplam harcamalara müdahale edebilmektedir. Bu çalışmada, Merkez Bankası açısından hem bir ara hedef hem de bir bilgi değişkeni olan para arzı toplamlarından reel M2 serisinin ex-post öngörüsü ve ayrıca Reel M2 ile Sanayi Üretimi arasındaki ilişki incelenmiştir. Bu çerçevede, zaman serisi analizi ile bazı öngörü modelleri oluşturularak söz konusu modellerden elde edilen sonuçlar tartışılmıştır. MA(1) ve ARMA(0,0) kullanarak RM2’nin öngörülmesi makul sonuçlar vermiştir. Ayrıca, çeşitli VAR modelleri kullanılarak sanayi üretimi (dlY) ve reel para arzı (dlrM2) birlikte belirlenmiştir. En iyi VAR modeli, içsel değişkenler olan dlY ve dlrM2’in gecikmeli değerlerini içermektedir. Granger Nedensellik Testi, RM2'nin Y'ye neden olmadığını ancak Y’nin RM2'ye neden olduğunu göstermektedir. Bu sonuç, Merkez Bankasının ekonomik aktivite seviyesine bakarak para arzının büyüklüğünü belirlediğini göstermektedir. Örneğin yaz aylarında ekonomi daha yoğun faaliyet içermektedir (turizm, ihracat, ithalat) ve Merkez Bankası ekonomik aktiviteye göre para arzını artırmaktadır.

Anahtar Kelimeler:

Para Arzı, Merkez Bankası, Para Politikası, ARMA, VAR

Forecasting Money Supply Growth in Turkey under Inflationary Conditions

Understanding the relationship between money supply growth, interest rates and spending/income volumes is an important issue for central banks and policy makers. The accuracy and effectiveness of monetary policy depends on the correct interpretation of changes in monetary aggregates, current and future expenditure/income and inflation movements. The central bank, whose main objective of monetary policies is to control inflation, can intervene in the total expenditures on goods and services in the economy by affecting the growth rate of money and credit supply. In this study, the ex-post prediction of the real M2 series and also the relationship between Real M2 and Industrial Production are examined. In this framework, some forecast models were formed and and discussed. Estimating RM2 using MA(1) and ARMA(0,0) yield reasonable results. In addition, industrial production (dlY) and real money supply (dlrM2) were determined together using various VAR models. The best VAR model includes the lagged values of the endogenous variables dlY and dlrM2. The Granger Causality Test shows that RM2 does not cause Y, but Y does cause RM2. This result shows that the Central Bank determines the size of the money supply by looking at the level of economic activity.

Keywords:

Money Supply, Central Bank, Monetary Policy, ARMA, VAR,

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