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Dergiler / Bogazici Journal: Review of Social, Economic and Administrative Studies / 2019 / Cilt: 33 - Sayı: 2

Time-Varying Taylor Rule Estimation for Turkey with Flexible Least Square Method

Esnek En Küçük Kareler Metodu ile Türkiye için Zaman İçinde Değişen Taylor Kuralı Kestirimi

Barış SOYBİLGEN
Burak Alparslan EROĞLU
Sayfa
122–139
DOI
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

By analyzing the period between 2006 and 2019, we clearly show that the monetary policy function of the CBRT changes over time, and using a time-invariant monetary policy rule model would yield misleading results.

📌 3 Maddede Bu Makale

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Amaç & Hipotez:In this study, we estimate a time-varying Taylor rule for evaluating the policy reaction function of the Central Bank of the Republic of Turkey (CBRT).
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Temel Bulgular & Veri:Even though the Turkish economy has been continuously evolving in the last 15 years, previous studies that analyze the monetary policy rule of the CBRT mainly use time-invariant monetary policy functions.
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Sonuç & Katkı:By analyzing the period between 2006 and 2019, we clearly show that the monetary policy function of the CBRT changes over time, and using a time-invariant monetary policy rule model would yield misleading results.
🔬Tür:Modelleme & Sayısal Simülasyon
📍Kapsam:2006 Verileri
⚙️Değişkenler:Alan Parametreleri

Özet

In this study, we estimate a time-varying Taylor rule for evaluating the policy reaction function of the Central Bank of the Republic of Turkey (CBRT). Even though the Turkish economy has been continuously evolving in the last 15 years, previous studies that analyze the monetary policy rule of the CBRT mainly use time-invariant monetary policy functions. We propose a flexible two-stage least square regression to deal with both instability and endogeneity problems in the monetary policy functions. By analyzing the period between 2006 and 2019, we clearly show that the monetary policy function of the CBRT changes over time, and using a time-invariant monetary policy rule model would yield misleading results.

Abstract

Bu çalışmada, Türkiye Cumhuriyet Merkez Bankası’nın (TCMB) politika fonksiyonunu zamanla değişen bir Taylor kuralı kullanarak değerlendirdik. Türkiye ekonomisi son 15 yılda sürekli değişmesine rağmen, önceki çalışmalar TCMB’nin para politikasını analiz etmek için zamanla değişmeyen para politikası fonksiyonları kullandıkları görülmektedir. Bu çalışmada para politikası fonksiyonlarındaki kararsızlık ve içsellik problemlerini çözen iki aşamalı esnek en küçük kareler regresyonu geliştirdik. Bu yöntemle 2006 ve 2019 yılları arasındaki periyodu incelediğimizde, TCMB’nin para politika fonksiyonun zaman içerisinde değiştiğini ve zamanla değişmeyen para politikası kuralı modellerinin doğru olmayan sonuçlar verebileceğini açıkça gösterdik.

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Bu Makaleye Atıf Yap

SOYBİLGEN, B., EROĞLU, B. A. (2019). Time-Varying Taylor Rule Estimation for Turkey with Flexible Least Square Method. Bogazici Journal: Review of Social, Economic and Administrative Studies, Cilt: 33 - Sayı: 2, 122–139. https://ajindex.com/articles/352196

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Kaynakça (14)

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