Türkiye’ de parasal aktarım mekanizması faiz kanalının etkinliğe ilişkin eşik var analizi
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Dosyalar
Tarih
2020
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Namık Kemal Üniversitesi
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
Bu çalı?ma, Türkiye?de parasal aktarım mekanizması faiz kanalının etkinliğini doğrusal ve doğrusal olmayan modeller kullanarak kar?ıla?tırmalı olarak analiz etmektedir. Bu amaçla çalı?mada faiz kanalının etkinliği, faiz, dayanıklı tüketim malları, sabit sermaye olu?umları, enflasyon ve çıktı deği?kenleri kullanılarak iki farklı model ile birlikte incelenmektedir. Makroekonomik deği?kenlerin durağanlık analizleri için, ADF, PP ve çift yapısal kırılmalı LM birim kök testleri kullanılmı?tır. Bulgulara göre, faiz oranlarının farkında durağan, diğer deği?kenlerin ise kırılmalar ile birlikte durağan olduğu sonucuna ula?ılmı?tır. Bu kapsamda, doğrusal VAR etki-tepki fonksiyonları ile e?ik VAR etki-tepki fonksiyonları kar?ıla?tırılmalı olarak incelenerek, sonuçların birbirinden farklı olduğuna ula?ılmı?tır.Analizde, 2006:03- 2019:06 dönemi için Türkiye?de faiz kanalının kısmen etkinliğine dair kanıtlar bulunmu?tur. Ek olarak, daraltıcı para politikası kar?ısında enflasyonda artı? olarak bilinen fiyat bulmacası bulgusuna ula?ılmı?tır.
In this study, the effectiveness of monetary transmission mechanism interest rate channel in Turkey is comparatively analyzed by using linear and nonlinear models.For this purpose, in the study, the effectiveness of the interest rate channel is examined with two different models by using interest rate, durable consumer goods, fixed capital formations, inflation rate and output variables.For stationarity analysis of macroeconomic variables, ADF, PP and LM unit root tests with two structural break were used.According to the findings, the interest rates are not stationary, while other variables are stationary with breaks. In this context, linear VAR impulse response functions and threshold VAR impulse response functions were examined comparatively and the results were found to be different from each other.In the analysis, 2006: 03-2019: 06 period for the interest rate channel in Turkey has found evidence of partial activity.In addition, the price puzzle finding, known as an increase in inflation, was achieved innovations against the contractionary monetary policy.In addition, the increase in inflation resulting from the contractionary monetary policy, known as the price puzzle in the literature, is found.
In this study, the effectiveness of monetary transmission mechanism interest rate channel in Turkey is comparatively analyzed by using linear and nonlinear models.For this purpose, in the study, the effectiveness of the interest rate channel is examined with two different models by using interest rate, durable consumer goods, fixed capital formations, inflation rate and output variables.For stationarity analysis of macroeconomic variables, ADF, PP and LM unit root tests with two structural break were used.According to the findings, the interest rates are not stationary, while other variables are stationary with breaks. In this context, linear VAR impulse response functions and threshold VAR impulse response functions were examined comparatively and the results were found to be different from each other.In the analysis, 2006: 03-2019: 06 period for the interest rate channel in Turkey has found evidence of partial activity.In addition, the price puzzle finding, known as an increase in inflation, was achieved innovations against the contractionary monetary policy.In addition, the increase in inflation resulting from the contractionary monetary policy, known as the price puzzle in the literature, is found.
Açıklama
Anahtar Kelimeler
E?ik Vektör Otoregresif Model, Etki Tepki Analizi, Fiyat Bulmacası, Faiz Kanalı, LM Yapısal Kırılmalı Birim Kök Testi, Interest Rate Channel, Impulse Response Function, The Price Puzzle, Threshold Vector Autoregression
