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YENİ BİR PARA POLİTİKASI ARACI OLARAK FAİZ KORİDORU: TÜRKİYE’DE PARA POLİTİKASI KURULU FAİZ KARARLARININ ENFLASYON ÜZERİNDEKİ ETKİSİ

Year 2015, Volume: 7 Issue: 13, 449 - 478, 01.07.2015
https://doi.org/10.14784/jfrs.02508

Abstract

Çalışmada, makroekonomik ve finansal değişkenlerde görülen belirsizliklerin ortadan kaldırılması ve sermaye hareketlerinin bu değişkenler üzerindeki etkisinin en alt düzeye indirilmesini amaçlayan faiz koridoru uygulaması incelenmiştir. 2010 yılı itibariyle Türkiye’de etkin olarak kullanılmaya başlayan faiz koridoru sistemi ile enflasyon arasındaki ilişki Ocak 2003- Aralık 2014 dönemi aylık verileri kullanılarak, Carrion-i Silvestre (2009) çoklu yapısal kırılmalı birim kök testi ve Maki (2012) çoklu yapısal kırılmalı eşbütünleşme analizi uygulanarak araştırılmıştır. Elde edilen bulgulara göre; Para Politikası Kurulu’nun (PPK) Türkiye Cumhuriyet Merkez Bankası (TCMB) ödünç alma ve verme faiz oranları ile ilgili kararlarının enflasyon üzerinde etkili olduğu ve enflasyonun belirleyicisi bir para politikası aracı olduğu sonucuna ulaşılmıştır. Hata düzeltme modelinde, uzun dönemde birlikte hareket eden seriler arasında kısa dönemde meydana gelen sapmaların ortadan kalktığı ve serilerin tekrar uzun dönemde denge değerlerine yakınsadığı ve bu durumun yapılan uzun dönem analizlerin güvenilirliğine kanıt oluşturduğu gözlemlenmiştir.

References

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  • BERNANKE, Ben. GERTLER, Mark and GILCHRIST, Simon. (February 1996). “The Financial Accelerator and the Flight to Quality”, The Review of Economics and Statistics, Vol. 78, No. 1, pp. 1-15.
  • BERNHARDSEN, Tom and KLOSTER, Arne. (2010). “Liquidity management system: Floor or corridor?”, Norges Bank, Staff Memo, No:4, pp. 1-31.
  • BINDSEIL, Ulrich and JABŁECKI, Juliusz. (June 2011). “The Optimal Width of The Central Bank Standing Facilities Corridor And Banks’ Day-To-Day Liquidity Management”, European Central Bank Working Paper Series, No 1350, pp. 1-35.
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  • CLEWS, Roger., SALMON, Chris and WEEKEN, Olaf. (2010). “The Bank’s Money Market Framework”, Bank of England, Quarterly Bulletin, 2010:Q4, pp. 292-301.
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  • KUTTNER, Kenneth N.. (2000). “Monetary Policy Surprises and Interest Rates: Evidence from the Fed Funds Futures Market”, Journal of Monetary Economics, Volume 47, Issue 3, June 2001, pp. 523–544.
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  • LEE, Junsoo and STRAZICICH, Mark C. (2003). “Minimum Lagrange Multiplier Unit Root Test With Two Structural Breaks”, The Review of Economics and Statistics, 85(4), pp.1082-1089.
  • LUMSDAİNE, Robin L. and PAPELL, David H.. (1997). “Multiple Trend Breaks and The Unit Root Hypothesis”, The Review of Economics and Statistics, Vol. 79, No 2, pp.212-218.
  • MAKI, Daiki. (2012). “Tests For Cointegration Allowing For an Unknown Number of Breaks”, Economic Modelling, Vol. 29, Issue 5, pp. 2011-2015.
  • MCCULLEY, Paul and TOLOUI, Ramin. (February 2008) “Chasing the Neutral Rate Down: Financial Conditions, Monetary Policy, and the Taylor Rule.” Global Central Bank Focus, PIMCO, http:// www.pimco.com/EN/Insights/Pages/GCBF%2002-2008.aspx (16.02.2015)
  • MISHKIN, Frederic S.. (March 2000). “Inflation Targeting In Emerging Market Countries”, NBER Working Paper Series, No. 7618, pp. 1-12.
  • Ng, Serena and PERRON, Pierre. (2001). “Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power”, Econometrica, Vol. 69, Issue 6, pp.1519-1554.
  • OKTAR, Suat ve DALYANCI, Levent. (2011). “Türkiye Ekonomisinde Para Politikası ve Enflasyon Arasındaki İlişkinin Analizi”, Marmara Üniversitesi İ.İ.B.F. Dergisi, Yıl 2011, Cilt XXXI, Sayı II, ss. 1-20.
  • ÖZATAY, Fatih. (2011). Parasal İktisat: Kuram ve Politika, İkinci Baskı, Ankara: Efil Yayınevi.
  • ÖZATAY, Fatih. (Ocak 2012). “Para Politikasında Yeni Arayışlar ve TCMB”, Türkiye Ekonomi Politikaları Araştırma Vakfı Raporu, R201202, ss. 1-17.
  • PERRON, Pierre. (1989). “The Great Crash, The Oil Price Shock, and The Unit Root Hypothesis”, Econometrica, Vol. 57, No 6, pp. 1361-1401.
  • PERRON, Pierre. (1997). “Further Evidence on Breaking Trend Functions in Macroeconomic Veriables”, Journal of Econometrics, Vol. 80, Issue 2, pp. 355-385.
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  • TCMB. (2012(b)). “Enflasyon Raporu 2012-I”, TCMB Yayınları, Ankara.
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  • TCMB. (2013(b)). “Parasal Aktarım Mekanizması”, TCMB Yayınları, Ankara.
  • TCMB. (2014(a)). “Finansal İstikrar Raporu”, TCMB Yayınları, Ankara.
  • TCMB. (Kasım 2014 (b)). “2015 Yılı Para ve Kur Politikası”, TCMB Yayınları, Sayı 19, Ankara.
  • TCMB. (2014(c)), “Enflasyon Raporu 2014-II”, TCMB Yayınları, Ankara.
  • TOKUCU, Erkan. (Temmuz 2013). “Para Politikalarının Uygulanmasında Faiz Koridoru Sistemi ve Kanada, İngiltere ve Yeni Zelanda Deneyimleri”, Finans Politik & Ekonomik Yorumlar, Cilt: 50 Sayı: 581, ss. 7-24
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  • VURAL, Umut. (Mart 2013). “Geleneksel Olmayan Para Politikalarının Yükselişi”, TCMB Uzmanlık Yeterlilik Tezi, Ankara.
  • WESTERLUND, Joakim and EDGERTON, David L. (2006). “New Improved Tests for Cointegration with Structural Breaks”, Journal of Time Series Analysis, Vol. 28, Issue 2, pp.188-224.
  • WHITESELL, William. (2006). “Interest Rate Corridors And Reserves”, Journal of Monetary Economics 53, pp. 1177–1195.
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Year 2015, Volume: 7 Issue: 13, 449 - 478, 01.07.2015
https://doi.org/10.14784/jfrs.02508

Abstract

References

  • ALPARSLAN, Melike ve ERDÖNMEZ, Pelin A.. (2000). “Enflasyon Hedeflemesi ve Ülke Deneyimleri”, Türkiye Bankalar Birliği Bankacılar Dergisi, Bankacılık ve Araştırma Grubu, Sayı 35, 14-41.
  • BAI, JUSHAN and PERRON, Pierre. (2003). “Computation and Analysis of Multiple Structural Change Models”, Journal of Applied Econometrics. 18, pp.1-22.
  • BAŞÇI, Erdem ve KARA, Hakan. (Mayıs 2011). “Finansal İstikrar ve Para Politikası”, TCMB Çalışma Tebliği, No: 11/08, ss. 1-18.
  • BERENTSEN, Aleksander and MONNET, Cyril. (2008). “Monetary Policy in a Channel System”, Federal Reserve Bank of Philadelphia Working Paper, No. 08-7, pp. 1-42.
  • BERNANKE, Ben. GERTLER, Mark and GILCHRIST, Simon. (February 1996). “The Financial Accelerator and the Flight to Quality”, The Review of Economics and Statistics, Vol. 78, No. 1, pp. 1-15.
  • BERNHARDSEN, Tom and KLOSTER, Arne. (2010). “Liquidity management system: Floor or corridor?”, Norges Bank, Staff Memo, No:4, pp. 1-31.
  • BINDSEIL, Ulrich and JABŁECKI, Juliusz. (June 2011). “The Optimal Width of The Central Bank Standing Facilities Corridor And Banks’ Day-To-Day Liquidity Management”, European Central Bank Working Paper Series, No 1350, pp. 1-35.
  • BİNİCİ, Mahir, EROL, Hasan., KARA, Hakan., ÖZLÜ, Pınar. ve ÜNALMIŞ, Deren. (2013), “ Faiz Koridoru Bir Makro İhtiyati Araç Olabilir mi?” TCMB Ekonomi Notları, No: 2013-20, ss. 1-16.
  • CARRION-I-SILVESTRE, Joseph Lluis and SANSÓ, Andreu. (2006): “Testing The Null Of Cointegration with Structural Breaks”, Oxford Bulletin of Economics and Statistics, Vol.68 Issue 5, pp.623-646.
  • CARRION-I-SILVESTRE, Joseph Lluis. KIM, DUKPA and PERRON, Pierre. (2009). “GLS-Based Unit Root Tests with Multiple Structural Breaks Under Both the Null and the Alternative Hypotheses”, Econometric Theory. 25, pp.1754-1792.
  • CLEWS, Roger., SALMON, Chris and WEEKEN, Olaf. (2010). “The Bank’s Money Market Framework”, Bank of England, Quarterly Bulletin, 2010:Q4, pp. 292-301.
  • CURDIA, Vasco and WOODFORD, Michael. (2010). “Credit Spreads and Monetary Policy”, Journal of Money, Credit and Banking, Supplement to Vol. 42, No. 6, pp.3-35.
  • DURAN, Murat. ÖZLÜ, Pınar ve ÜNALMIŞ, Deren. (July 2010). “TCMB Faiz Kararlarının Hisse Senedi Piyasaları Üzerine Etkisi” Central Bank Review, Vol. 10(2), pp.23-32.
  • EUROPEAN CENTRAL BANK, Eurosystem, The Monetary Policy of the ECB - 2011, Third Edition, May 2011.
  • EDELBERG, Wendy and MARSHALL, David. (1996). “Monetary Policy Shocks and Long-term Interest Rates”, FEDERAL Reserve Bank Of Chicago Economic Perspectives, Chicago: pp. 2-28.
  • ELLINGSEN, Tore and SODERSTROM, Ulf. (2001). “Monetary Policy and Market Interest Rates”, The American Economic Review, Vol. 91, No. 5, pp.1594-1607.
  • GALATI, Gabriele and MOSSNER, Richhild. (2011). “Macroprudential Policy-A Literature Review” BIS Working Paper, No: 337, pp. 1-38.
  • GERTLER, Mark L. and KARADI, Peter. (2011). “A Model of Unconventional Monetary Policy”, Journal of Monetary Economics, (58), pp. 17-34.
  • GREGORY, Allan W. and HANSEN, Bruce E.. (1996). “Residual-Based Tests for Cointegration in Models with Regime Shifts”, Journal of Econometrics. Vol.70, Issue 1, pp.99-126.
  • HATEMİ-J, Abdulnasser. (2008). “Tests For Cointegration with Two Unknown Regime Shifts with an Application to Financial Market Integration”, Empirical Economics. 35: pp.497-505.
  • KAHN, George A.. (2010). “Monetary Policy under a Corridor Operating Framework”, Federal Reserve Bank Of Kansas City Economic Review, Fourth Quarter, Vol. 95, Issue 4, pp. 5-34.
  • KARA, A. Hakan. (2012). “Küresel Kriz Sonrası Para Politikası”, TCMB Çalışma Tebliği, No:12/17, TCMB Yayını, Ankara.
  • KEISTER, Tood, MARTIN, Antoine and MCANDREWS, James. (September 2008). “Divorcing Money From Monetary Policy”, Federal Reserve Bank of New York, Economic Policy Review, Vol. 14, No. 2, pp.41-56.
  • KRAN, Lars-Christian, ve Øwre, Grete. (2001). “Norges Bank’s System For Managing İnterest Rates”, Norges Bank Economic Bulletin, No.2, pp. 65-70.
  • KUTTNER, Kenneth N.. (2000). “Monetary Policy Surprises and Interest Rates: Evidence from the Fed Funds Futures Market”, Journal of Monetary Economics, Volume 47, Issue 3, June 2001, pp. 523–544.
  • KÜÇÜK, Hande. ÖZLÜ, Pınar. TALASLI, Anıl. ÜNALMIŞ, Deren ve YÜKSEL Canan. (2013). “Likidite Yönetimi ve BIST Faiz Farkı” TCMB Ekonomi Notları, Sayı: 2013-25, ss.1-12.
  • LEE, Junsoo and STRAZICICH, Mark C. (2003). “Minimum Lagrange Multiplier Unit Root Test With Two Structural Breaks”, The Review of Economics and Statistics, 85(4), pp.1082-1089.
  • LUMSDAİNE, Robin L. and PAPELL, David H.. (1997). “Multiple Trend Breaks and The Unit Root Hypothesis”, The Review of Economics and Statistics, Vol. 79, No 2, pp.212-218.
  • MAKI, Daiki. (2012). “Tests For Cointegration Allowing For an Unknown Number of Breaks”, Economic Modelling, Vol. 29, Issue 5, pp. 2011-2015.
  • MCCULLEY, Paul and TOLOUI, Ramin. (February 2008) “Chasing the Neutral Rate Down: Financial Conditions, Monetary Policy, and the Taylor Rule.” Global Central Bank Focus, PIMCO, http:// www.pimco.com/EN/Insights/Pages/GCBF%2002-2008.aspx (16.02.2015)
  • MISHKIN, Frederic S.. (March 2000). “Inflation Targeting In Emerging Market Countries”, NBER Working Paper Series, No. 7618, pp. 1-12.
  • Ng, Serena and PERRON, Pierre. (2001). “Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power”, Econometrica, Vol. 69, Issue 6, pp.1519-1554.
  • OKTAR, Suat ve DALYANCI, Levent. (2011). “Türkiye Ekonomisinde Para Politikası ve Enflasyon Arasındaki İlişkinin Analizi”, Marmara Üniversitesi İ.İ.B.F. Dergisi, Yıl 2011, Cilt XXXI, Sayı II, ss. 1-20.
  • ÖZATAY, Fatih. (2011). Parasal İktisat: Kuram ve Politika, İkinci Baskı, Ankara: Efil Yayınevi.
  • ÖZATAY, Fatih. (Ocak 2012). “Para Politikasında Yeni Arayışlar ve TCMB”, Türkiye Ekonomi Politikaları Araştırma Vakfı Raporu, R201202, ss. 1-17.
  • PERRON, Pierre. (1989). “The Great Crash, The Oil Price Shock, and The Unit Root Hypothesis”, Econometrica, Vol. 57, No 6, pp. 1361-1401.
  • PERRON, Pierre. (1997). “Further Evidence on Breaking Trend Functions in Macroeconomic Veriables”, Journal of Econometrics, Vol. 80, Issue 2, pp. 355-385.
  • TCMB. (2006). “Enflasyon Hedeflemesi Rejimi”, TCMB Yayınları, Ankara.
  • TCMB. (2010). “Para Politikası Çıkış Stratejisi”, TCMB Yayınları, Ankara.
  • TCMB. (2012(a)). “Bülten”, TCMB Yayınları, Sayı:26, Ankara.
  • TCMB. (2012(b)). “Enflasyon Raporu 2012-I”, TCMB Yayınları, Ankara.
  • TCMB. (2013(a)). “Enflasyon Raporu 2013-IV”, TCMB Yayınları, Ankara.
  • TCMB. (2013(b)). “Parasal Aktarım Mekanizması”, TCMB Yayınları, Ankara.
  • TCMB. (2014(a)). “Finansal İstikrar Raporu”, TCMB Yayınları, Ankara.
  • TCMB. (Kasım 2014 (b)). “2015 Yılı Para ve Kur Politikası”, TCMB Yayınları, Sayı 19, Ankara.
  • TCMB. (2014(c)), “Enflasyon Raporu 2014-II”, TCMB Yayınları, Ankara.
  • TOKUCU, Erkan. (Temmuz 2013). “Para Politikalarının Uygulanmasında Faiz Koridoru Sistemi ve Kanada, İngiltere ve Yeni Zelanda Deneyimleri”, Finans Politik & Ekonomik Yorumlar, Cilt: 50 Sayı: 581, ss. 7-24
  • TUCKER, Paul. (2004). “Managing The Central Bank’s Balance Sheet: Where Monetary Policy Meets Financial Stability”, Bank of England Quarterly Bulletin: Autumn 2004, pp. 359-382.
  • VURAL, Umut. (Mart 2013). “Geleneksel Olmayan Para Politikalarının Yükselişi”, TCMB Uzmanlık Yeterlilik Tezi, Ankara.
  • WESTERLUND, Joakim and EDGERTON, David L. (2006). “New Improved Tests for Cointegration with Structural Breaks”, Journal of Time Series Analysis, Vol. 28, Issue 2, pp.188-224.
  • WHITESELL, William. (2006). “Interest Rate Corridors And Reserves”, Journal of Monetary Economics 53, pp. 1177–1195.
  • YÜCEMEMİŞ, Başak Tanınmış. (2011). Finansal İstikrarda Para Politikalarının Rolü. İstanbul: Derin Yayınları.
  • ZIVOT, Eric and ANDREWS, Donald W. K.. (1992). “Further Evidence on the Great Crash, the Oil-Price Shock and the Unit-Root Hypothesis”, Journal of Business & Economic Statistics, 10(3): 251- 270.
  • TCMB, Para Politikası, Merkez Bankası Faiz Oranları, http://www.tcmb.gov.tr/wps/wcm/connect/
  • TCMB+TR/TCMB+TR/Main+Menu/Para+Politikasi/Merkez+Bankasi+Faiz+Oranlari, (16.01.2015).
  • European Central Bank, Statistics Bulletin, Euro Area Statistics Online, 2015, http://sdw.ecb.europa.eu/ reports.do?node=1000004045, (03/03/2015).
  • European Central Bank, Statistics, Monetary Operations, Key Interest Rates, https://www.ecb.europa.eu/ stats/monetary/rates/html/index.en.html, (03/03/2015).
  • Bank of England, Statistical Interactive Database, http://www.bankofengland.co.uk/boeapps/iadb/ simplesearch.asp?Travel=NIx, (04.03.2015).
  • Norges Bank, Statistics, Interest Rates, http://www.norges-bank.no/en/Statistics/Interest-rates/, (04/03/2015).
  • Bank of England (BoE). (2014). The Red Book: The Bank of England’s Sterling Monetary Framework, http:// www.bankofengland.co.uk/markets/Documents/money/publications/redbook.pdf (11.03.2015).
  • Bank of England (BoE). (June 2012). The Red Book: The Framework for the Bank of England’s Operations in the Sterling Money Markets, http://www.bankofengland.co.uk/markets/Documents/money/ publications/redbookjune2012.pdf, (11.03.2015).
  • TCMB. (18 Mayıs 2010). “Para Politikası Kurulu Kararı”, http://www.tcmb.gov.tr/wps/wcm/connect/
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There are 68 citations in total.

Details

Journal Section Makaleler
Authors

Başak Tanınmış Yücememiş

Ufuk Alkan

Canan Dağıdır

Publication Date July 1, 2015
Submission Date March 1, 2015
Published in Issue Year 2015 Volume: 7 Issue: 13

Cite

APA Tanınmış Yücememiş, B., Alkan, U., & Dağıdır, C. (2015). YENİ BİR PARA POLİTİKASI ARACI OLARAK FAİZ KORİDORU: TÜRKİYE’DE PARA POLİTİKASI KURULU FAİZ KARARLARININ ENFLASYON ÜZERİNDEKİ ETKİSİ. Finansal Araştırmalar Ve Çalışmalar Dergisi, 7(13), 449-478. https://doi.org/10.14784/jfrs.02508