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Journals / Maliye Dergisi / 2020 / Sayı: 178

The Asymmetric Effects of Exchange Rate Shocks on Monetary Policy: The Case of Turkey

Döviz Kuru 􀃹oklarnn Para Politikas Üzerindeki Asimetrik Etkileri: Türkiye Örneği

Anıl AKÇAĞLAYAN
Selçuk GEMİCİOĞLU
Pages
1–18
DOI
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

The monetary policy reacts to the appreciation and depreciation of exchange rate by decreasing the interest rate in each cases and the sensitivity of policy rate to exchange rate changes is quite similar.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:The aim of this study is to investigate the asymmetric effects of exchange rate shocks on the monetary policy in Turkey for the period between 2002:01-2019:10.
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Key Findings & Data:For this purpose the forward and backward looking Taylor rule that are augmented by exchange rate are estimated by the nonlinear autoregressive distributed lag models.
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Conclusion & Impact:The monetary policy reacts to the appreciation and depreciation of exchange rate by decreasing the interest rate in each cases and the sensitivity of policy rate to exchange rate changes is quite similar.
🔬Design:Modeling & Simulation
📍Scope:2002 Verileri
⚙️Variables:Domain Parameters

Abstract

The aim of this study is to investigate the asymmetric effects of exchange rate shocks on the monetary policy in Turkey for the period between 2002:01-2019:10. For this purpose the forward and backward looking Taylor rule that are augmented by exchange rate are estimated by the nonlinear autoregressive distributed lag models. The empirical findings support that the Taylor rule augmented with exchange rate is a better representation for the interest rate reaction function of Central Bank of the Republic of Turkey. The monetary policy reacts to the appreciation and depreciation of exchange rate by decreasing the interest rate in each cases and the sensitivity of policy rate to exchange rate changes is quite similar.

Özet

Çal􀃺mann amac 2002:01-2019:10 dönemi için Türkiye’de reel efektif döviz kurundaki de􀃷i􀃺ikliklerin para politikas üzerindeki asimetrik etkilerini ara􀃺trmaktr. Bu amaçla döviz kuru eklenmi􀃺 ileri ve geri dönük Taylor kurallarnn geçerlili􀃷i, do􀃷rusal olmayan gecikmeleri da􀃷tlm􀃺 otoregresif yöntemle incelenmi􀃺tir. Çal􀃺mann bulgular, Türkiye Cumhuriyet Merkez Bankasnn faiz tepkisini açklamak için genelle􀃺tirilmi􀃺 Taylor kuralnn kullanlabilece􀃷i görü􀃺ünü desteklemektedir. Tahmin sonuçlarna göre pozitif ve negatif döviz kuru 􀃺oklarna verilen faiz tepkisi ileri ve geri dönük modellerde negatif yönde olmann yan sra politika faizinin döviz kuru de􀃷i􀃺ikliklerine duyarll􀃷 oldukça benzer bulunmu􀃺tur.

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Cite This Article

AKÇAĞLAYAN, A., GEMİCİOĞLU, S. (2020). The Asymmetric Effects of Exchange Rate Shocks on Monetary Policy: The Case of Turkey. Maliye Dergisi, Sayı: 178, 1–18. https://ajindex.com/articles/78862

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