Mehmet NARGELEÇEKENLER, ADANUR Nejle AKLAN

Stock market uncertainty and monetary policy reaction function: Evidence from Turkey

Bu çalışmada, Türkiye Cumhuriyeti Merkez Bankası 'tun (TC MB) enflasyon hedeflemesi rejimi uyguladığı 2002 sonrası dönemde, hisse senedi piyasası belirsizliğine para politikası faizleriyle reaksiyon gösterip göstermediği tespit edilecektir. Bu çerçevede TC MB 'niıı politika faiz oranlarını fi nans al istikrarı sağlamak için kullanıp kullanmadığı ortaya konulacaktır. Çalışmada TCMB'n'ın hisse senedi belirsizliğine tepki verip vermediğini belirlemek için ileriye döniik genişletilmiş Taylor kuralı kullanılmaktadır. Tahmin edilen para politikası kuralı parametreleri istatistiksel olarak anlamlıdır. Buna göre hisse senedi piyasası belirsizliği arttığında TC MB faiz oranları düşmektedir. Fakat bu ilişkinin derecesi oldukça düşüktür. Çalışma sonuçlarına göre, TC MB politika faizlerini belirlemek için hisse senedi piyasası belirsizliğini anahtar faktör olarak kullanmamakladır.

Hisse senedi belirsizliği ve para politikası reaksiyon fonksiyonu: Türkiye örneği

In this paper we examine whether the Centra! Bank of Republic of Turkey (CBRT) compensates for enhanced stock market uncertainty by cutting the policy rates in the post-2002 period when inflation targeting regime was applied. By this way, it is demonstrated that whether CBRT considered financial stability white determining policy rates. In this paper we extend the standard Taylor rule in order to assess whether the CBRT responds to stock market uncertainty. To describe the behavior of the CBRT augmented forward-looking Taylor rule, vre used the Generalized Methods of Moments (GMM) estimator. We find that the parameters in the monetary policy rule are statistically significant. We show that, given a certain level of inflation and output, Turkish central bank rates are lower when stock market uncertainty is high and vice versa. However, the degree of this relationship is very low. According to study results, the CBRT does not use as key factor the stock market uncertainty to determine policy rates.

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