SavedAdd your journal

Journals / Sosyal Bilimler Araştırma Dergisi / 2019 / Cilt: 8 - Sayı: 3

Determinants of the Short-Run Interest Rate in Turkey: A Taylor Rule Approach

Dilek SÜREKÇİ YAMAÇLI
Pages
249–257
Publication Date
2019-09-01
DOI
—
🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.
DergiPark Record ↗
✨

AI Summary & Key Takeaways

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

This result indicates that a sudden change in the short run interest rate was not made by the CBRT this period.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This study is investigated the determinants of the short run interest rate and validity of the Taylor Rule, using Two-Stage Least Squares (TSLS), Method of the Generalizied Moments (GMM) and Relative Sensitivity Analyses (RSA) for 2002-2016 periods.
📊
Key Findings & Data:Results of the TSLS and GMM analyses are show that there are positive relationship between the interest rate, capacity utilization rate, exchange rate and inflation gap.
💡
Conclusion & Impact:This result indicates that a sudden change in the short run interest rate was not made by the CBRT this period.
🔬Design:Research Article
📍Scope:2002-2016 Verileri
⚙️Variables:Taylor Rule · Short-Run Interest Rate · TSLS

Abstract

This study is investigated the determinants of the short run interest rate and validity of the Taylor Rule, using Two-Stage Least Squares (TSLS), Method of the Generalizied Moments (GMM) and Relative Sensitivity Analyses (RSA) for 2002-2016 periods. Results of the TSLS and GMM analyses are show that there are positive relationship between the interest rate, capacity utilization rate, exchange rate and inflation gap. According to the RSA results, there are stronger relations between short run interest rate, capacity utilization rate and exchange rate than output gap. In this context, these two variables can be effective indicators for predict to the short run interest rates in Turkey. Beside, according to TSLS and GMM results, interest rate smoothing parameter is meaningful and positive effect on the nominal interest rate. This result indicates that a sudden change in the short run interest rate was not made by the CBRT this period.

Özet

This study is investigated the determinants of the short run interest rate and validity of the Taylor Rule, using Two-Stage Least Squares (TSLS), Method of the Generalizied Moments (GMM) and Relative Sensitivity Analyses (RSA) for 2002-2016 periods. Results of the TSLS and GMM analyses are show that there are positive relationship between the interest rate, capacity utilization rate, exchange rate and inflation gap. According to the RSA results, there are stronger relations between short run interest rate, capacity utilization rate and exchange rate than output gap. In this context, these two variables can be effective indicators for predict to the short run interest rates in Turkey. Beside, according to TSLS and GMM results, interest rate smoothing parameter is meaningful and positive effect on the nominal interest rate. This result indicates that a sudden change in the short run interest rate was not made by the CBRT this period.

🔖

Cite This Article

YAMAÇLI, D. S. (2019). Determinants of the Short-Run Interest Rate in Turkey: A Taylor Rule Approach. Sosyal Bilimler Araştırma Dergisi, Cilt: 8 - Sayı: 3, 249–257. https://ajindex.com/articles/801675

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (15)

  1. REFERENCES Aklan, N. A., & Nargeleçekenler, M. (2008). Tay¬lor Rule in Practice: Evidence From Turkey. Internatio¬nal Advanced Economic Resources, 14(2), 156-166.
  2. Arellano, M., & Bond, S. (1991). Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations. The Review of Economic Studies, 58(2), 277-297.
  3. Ardor, H. M. & Varlık, S. (2014). İleriye Dönük Yeni Keynesyen Para Politikası Reaksiyon Fonksiyonunun Tahmini: Taylor Kuralı’nın, Mccallum Kuralı’nın, Taylor- Mccallum Melez Kuralı’nın Türkiye Ekonomisinde Geçerliliği. Ekonomik Yaklaşım, 24(89), 45-71.
  4. Bal, H.,Tanrıöver, H., & Erdoğan, E. (2016). Taylor Kuralı Kapsamında Merkez Bankası Politika Faiz Oranlarının Belirlenmesi: Stokastik Trend Yaklaşımı. International Journal of Academic Value Studies, 2(7), 95-106.
  5. Ball, L. (1999). Policy rules for open economies. In: Taylor J. Ed., Monetary Policy Rules. The University of Chicago Press,
  6. Chicago. Basmann, R L. (1957). A Generalized Classical Method of Linear Estimation of Coefficients in a Structural Equation. Econometrica, 25, 77-83.
  7. Batini, N., Harrison, R. & Stephen, M. P. (2001). Monetary Policy Rules for an Open Economy. Journal of Economic Dynamics&Control, 27, 2059-2094.
  8. Borgonovo, E., & Peccati, L. (2004). Sensitivity Analysis in Investment Project Evaluation. International Journal of Production Economics, 90(1), 17-25.
  9. Borgonovo, E., and Peccati, L (2006). Uncertainity and Global Sensitivity Analysis in the Evaluation of Investment Projects, Int. J. of Production Economics, 104(1), 62-73.
  10. Brouwer, G. D., & Gilbert, J. (2005). Monetary Policy Reaction Functions in Australia. The Economic Record, 81(253), 124-134.
  11. Clarida, R., Gali, J., & Gerdler, M. (1999). Monetary Policy Rules in Practice: Some International Evidence, European Economic Rewiev, 42, 1033-1067.
  12. Cote, D., Kuszczak, J., Lam, J. P., Liu, Y., & St-Amant, P. (2002). The Performance and Robustness of Simple Monetary Policy Rules in Models of The Canadian Economy Bank of Canada Technical Reports, 92, 1-36.
  13. Demirbaş, E., & Kaya, V. (2012). Testing the Validity of Taylor Principle for Turkey from a Different Perspective. AİBÜ Sosyal Bilimler Enstitüsü Dergisi, 12, 81-110. DOI: http://dx.doi.org/10.11616/AbantSbe.291
  14. Erdal, F., & Güloğlu, B. (2005). Modelling Real Exchange Rate Behaviour with the Taylor Rule: An Em¬pirical Analysis, Proc. The International Conference on Policy Modeling EcoMod, İstanbul, 1-12.
  15. Greene, W. H. (2002). Econometric Anal