Para Politikasi ve Döviz Kuru Dinamikleri:Türk Lirasinda Siçrama Etkisi Geçerli Mi?

Bu çalışma, para politikasındaki dışsal şokları tanımlamayı ve yapısal VAR (SVAR) modeli olarak adlandırılan yapısal kısıtlar içeren bir VAR modeli kullanarak, bu şokların Türkiye ekonomisindeki döviz kuru üzerindeki etkisini araştırmayı amaçlamaktadır. Çalışmada kullanılan ampirik model, döviz kurunun belirlenmesinde parasal yaklaşım çerçevesinde geliştirilmiştir ve Ocak 2003 ile Ekim 2019 arasındaki döneme ilişkin aylık veriler kullanılarak tahmin edilmiştir. Türkiye için yapılan geçmiş çalışmaların aksine, bu çalışma yabancı değişkenleri temsil etmek için ABD verileri yerine Avrupa Birliği verilerini kullanmaktadır. SVAR modelinin tahmini sonucu elde edilen etki-tepki ve varyans ayrıştırması fonksiyonları, analiz sürecinde Türkiye ekonomisinde güçlü ve neredeyse eşanlı bir döviz kuru sıçrama etkisinin varlığını doğrular niteliktedir.

Anahtar Kelimeler:

SVAR, Para Politikası Şokları, Döviz Kuru, Sıçrama

Monetary Policy and Exchange Rate Dynamics: Does the Turkish Lira Overshoot?

This study aims to identify exogenous shocks in monetary policy and to investigate the impact of these shocks on the exchange rate in the Turkish economy using a VAR model including structural restrictions, referred to as structural VAR (SVAR) model. The empirical model used in the study was developed based on the monetary approach to exchange rate determination and was estimated using monthly data for the period between January 2003 and October 2019. Contrary to past studies conducted for Turkey, this study uses European Union data instead of U.S. data to represent foreign variables. The impulse response functions and variance decompositions obtained as a result of the SVAR model confirm the existence of a strong and almost instant overshooting effect on the Turkish economy for the period in question.

Keywords:

SVAR, Monetary Policy Shocks, Exchange Rate, Overshooting,

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