TÜRKİYE’DE DÖVİZ KURU KANALI: 2002-2008 DÖNEMİ

Bu çalışmada son iki IMF anlaşmasının geçerli olduğu dönemde döviz kuru kanalının işleyişi incelenmektedir. Bu amaçla, ilk olarak bir politika şoku içinde döviz kuru ağırlığı tahmin edilmiş, ardından ele alınan dönem içerisinde bir yapısal farklılık olup olmadığı test edilmiştir. Elde ettiğimiz bulgulara dayanarak, bir politika şoku içerisinde döviz kurunun ağırlığının, tüm dönem için sabit olmadığı, 2002-2004 döneminde yaklaşık olarak 0.30, 2004-2006 döneminde yaklaşık olarak 0.18 ve 2006-2008 döneminde ise yaklaşık olarak 0.10 olduğu söylenebilir. Ayrıca, VAR modelinin parametrelerin ele alınan dönem boyunca istikrarlı olmadığı ve 2006 yılı öncesi ve sonrası dönemlerin yapısal olarak farklılık gösterdiği belirlenmiştir. Geçiş etkisinin, 2002-2004 döneminde yüksek, 2004-2006 döneminde ise göreceli olarak daha düşük olduğu, 2006-2008 dönemindeyse oldukça azaldığı, bunlara ek olarak, tanımlama probleminin çözülmüş olmasına rağmen, mali baskınlığın etkisiyle 2002–2006 döneminde kapsanmamış faiz oranı paritesinin beklendiği şekilde çalışmadığı, döviz kuru paradoksuna yol açtığı, 2006 sonrası dönemde ise döviz kuru paradoksunun ortadan kalktığı gözlemlenmiştir.

Anahtar Kelimeler:

Tanımlama Problemi, Ayrık Örneklem Chow Testi, Mali Baskınlık, Geçiş Etkisi, VAR Analizi

EXCHANGE RATE CHANNEL IN TURKEY: 2002-2008 PERIOD

In this study, the functioning of the exchange rate channel is analyzed within the term that the last two IMF agreements were valid. For this purpose, the weight of the exchange rate within a policy shock is estimated in the first place and after that it is tested whether there is a structural difference during the term analyzed. Based on the findings gained, it can be stated that the weight of the exchange rate within a policy shock is not stable for the whole term; it is approximately equal to 0.30 for the 2002-2004 term, 0.18 for the 20062008 term and 0.10 for the 2006-2008 term. In addition, it is detected that the parameters of the VAR model are not stable during the term analyzed and there is a structural differences between pre and post 2006 era. Moreover, it is observed that the exchange rate pass through is high within the 2002-2004 term whereas relatively lower within the 2004-2006 term and distinctly low in the 2006-2008 term; besides, in spite of the fact that the identification problem has been solved, the uncovered interest rate parity didn’t work as expected with the effect of fiscal domination and caused exchange rate puzzle and that the exchange rate puzzle is suppressed in the post 2006 term

Keywords:

Identification Problem, Sample Split Chow Test, Fiscal Dominance, Exchange Rate Pass Through, VAR Analysis,

PDF

___

Aktaş, Z., Kaya, N., & Özlale, Ü. (2005). The price puzzle in emerging markets: evidence from the Turkish economy using “Model Based” risk premium derived from domestic fundamentals. The Central Bank of the Republic of Turkey Research Department Working Paper, 05/02.
Barran, F., Coudert, V., & Mojon, B. (1996). The transmission of monetary policy in European countries. CEPII, Document de travail, 1996-03.
Başçı, E., Özel, Ö., & Sarıkaya, Ç. (2007). The monetary transmission mechanism in Turkey: new developments. The Central Bank of the Republic of Turkey Research and Monetary Policy Department Working Paper, 07/04.
Bjİrnland, H. C. (2008). Monetary policy and exchange rate interactions in a small open economy. The Scandinavian Journal of Economics, 110(1), 197-221.
Bjİrnland, H. C. (2009). Monetary policy and exchange rate overshooting: Dornbusch was right after all. Journal of International Economics, 79(1), 64-77.
Blanchard, O. (2004). Fiscal dominance and inflation targeting: Lessons from Brazil. NBER Working Paper, 10389. Retrieved 16 October, 2010, from, http://www.nber.org/papers/w10389
Boivin, J., Kiley, M. T., & Mishkin, F. S. (2010). How has the monetary transmission mechanism evolved over time. NBER Working Paper, 15879. Retrieved 12 October, 2010, from, http://www.nber.org/papers/w15879
Boughrara, A. (2009). Monetary transmission mechanisms in Morocco and Tunusia. Economic Research Forum Working Paper Series, 460.
Büyükakın, F., Cengiz, V., & Türk, A. (2009). Parasal aktarım mekanizması: Türkiye’de döviz kuru kanalının VAR Analizi. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 24(1), 171-198.
Candelon B., & Lütkepohl, H. (2001). On the reliability of chow-type tests for parameter constancy in multivariate dynamic models. Economics Letters, 73(2), 155-160.
Christiano, L. J., Eichenbaum, M., & Evans, C. L. (1996). The effects of monetary policy shocks: evidence from the flow of funds. The Review of Economics and Statistics, 78, 16-740.
Cushman, O. D., & Zha, T. (1997). Identifying monetary policy in a small open economy under flexible exchange rates. Journal of Monetary Economics, 39, 433-448.
De Bondt, G. J. (1997). Monetary transmission in six EU-Countries: An introduction and overview. Research Memorandum WO&E, nr, 527/9742. Retrieved 5 May, 2010. http://ideas.repec.org/p/dnb/wormem/527.html
Diebold F. X., & Chen C. (1996). Testing structural stability with endogenous breakpoint: A size comparison of analytic and bootstrap procedures. Journal of Econometrics, 70(1) 221-241.
Erdoğan, S., & Yıldırım, D. Ç. (2008). Türkiye’de döviz kuru kanalının işleyişi: VAR modeli ile bir analiz. İ.Ü.Siyasal Bilgiler Fakültesi Dergisi, 39, 95-108.
Ersel, H., & Özatay, F. (2008). Fiscal dominance and inflation targeting: Lessons from Turkey. Emerging Markets Finance & Trade, 44(6), 38-51.
Grilli, V., & Roubini, N. (1995). Liquidity and exchange rates: Puzzling evidence from the G-7 countries. Yale University, CT Working paper.
Gujarati, D. N. (2006). Temel Ekonometri, (Çev. U. Senesen ve G. Gunluk Senesen). İstanbul: Literatur Yayıncılık.
Kara, H., Küçük, H., Özlale, Ü., Tuğer, B., Yavuz, D., & Yücel, M. E. (2005). Exchange rate pass-through in Turkey: Has it changed and to what extend? The Central Bank of the Republic of Turkey Research Department Working Paper, 05/04.
Kara, H., & Öğünç, F. (2005). Exchange rate pass-throuhg in Turkey: It is slow but is it really low?, The Central Bank of the Republic of Turkey Research Department Working Paper, 05/10.
Kara, H., & Öğünç, F. (2008). Inflation targeting and exchange rate pass-through: The Turkish experience. Emerging Markets Finance & Trade, 44(6), 52-66.
Kim, S., & Nouriel, R. (2000). Exchange rate anomalies in the industrial countries: A solution with a structural VAR approach. Journal of Monetary Economics, 45(3), 561-586.
Leigh, D., & Rossi, M. (2002). Exchange rate pass-through in Turkey. IMF Working Paper, http://www.imf.org/external/pubs/ft/wp/2002/wp02204.pdf Retrieved 06 Novewmber, 2010, from
Loayza, N., & Schmidt-Hebbel, K. (2002). Monetary policy functions and transmission mechanisms: http://bcentral.cl/estudios/banca-central/pdf/v4/001_020Gallego.pdf Retrieved: 03 November, 2009, from
Mishkin, F. S. (1995). Symposium on the monetary transmission mechanism. The Journal of Economic Perspectives, 9(4), 3-10.
Mishkin, F. S. (1996). The channels of monetary transmission: Lessons for monetary policy. NBER Working Paper, 5464. Retrieved 16 October, 2009, from, http://www.nber.org/papers/w5464
Mishkin, F. S. (2001). The transmission mechanism and the role of asset prices in monetary policy. NBER Working Paper, 8617. Retrieved 23 October, 2009, from, http://www.nber.org/papers/w8617
Mohanty, M. S., & Turner, P. (2008). Monetary policy transmission in emerging market economies: What is new? Transmission mechanisms for monetary policy in emerging market economies. Bank for International Settlements BIS Papers, 35.
Nagayasu, J. (2007). Empirical analysis of the exchange rate channel in Japan. Journal of International Money and Finance, 26, 887-904.
Özatay, F. (2011). Parasal iktisat kuram ve politika, Ankara: Efil Yayınevi.
Sekmen, F. (2012), Para teorisi. Ankara: Seçkin Yayınevi.
Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48(1), 1-48.
Sims, C. A., & Zha, T. (1995). Does monetary policy generate recessions? Yale University Working paper.
Smets, F. (1996). Measuring monetary policy in the G7 countries: Interest rates versus exchange rates. Mimeo.
Smets, F. (1997). Measuring monetary policy shocks in France, Germany and Italy: The role of the exchange rate. Bank for International Settlements Working Papers, 42.
Smets, F., & Wouters, R. (1999). The exchange rate and the monetary transmission mechanism in Germany. De Economist, 147(4), 489-521.
TCMB (2003), Para politikası raporu: 2003 Nisan.
TCMB (2004a), Para politikası raporu: 2004-I.
TCMB (2004b), Para politikası raporu: 2004-IV.
TCMB (2006), Enflasyon raporu: 2006-I.
Weber A., Gerke R., & Worms, A. (2010). Changes in euro area monetary transmission?, Applied Financial Economics, 21(3), 1-15.
Woodford, M. (2001). Fiscal requirements for price stability. NBER Working Paper 8072. Retrieved 18 March, 2010, from, http://www.nber.org/papers/w8072.pdf
Volkan, A., Saatçioğlu, C., & Korap, L. (2007). Impact of exchange rate changes on domestic inflation: the Turkish experience. Turkish Economic Association Discussion http://www.tek.org.tr/dosyalar/VOLKAN-SAATCI-KORAP.pdf Retrieved Paper 2007/6. 09 October, 2010, from