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Eurasian Academy Of Sciences Social Sciences JournalYl:2016 Say: 10 Alan: statistik-Saysal Yntemler-Ekonometri

Mehmet ZCAN
ASMETRK TAYLOR PARA KURALI: TRKYE RNE
 
Bu almada iktisat literatrnde nemli bir yer tutan klasik Taylor Para Kural (TPK) asimetrik olarak Eik Regresyon Modelleri erevesinde modellenmi ve incelenmitir. Buna gre almada, TPK modeli yksek enflasyon dk enflasyon ve yksek kt a dk kt a olarak rejimlere ayrlm ve bylece ksa vadeli faiz oranlar ile enflasyon ve kt a arasndaki ilikilerin farkl rejimlerde nasl ekillendii incelenmitir. Analiz sonucunda elde edilen asimetrik TPK modeli tahmini Trkiye ekonomisi verileri iin incelenen dorusal model tahminlerine gre daha iyi sonular sunmutur. Bulgular, ksa vadeli faiz oranlarnn yksek enflasyon ve dk kt a rejimlerinde enflasyonda meydana gelen deiimlere daha duyarl olduunu gstermitir. Ayrca Trkiye ekonomisi yksek enflasyon rejimini tecrbe ederken kt ann ksa vadeli faiz oranlar zerindeki etkisi en yksek seviyeye kmaktadr. Her ne kadar Trkiye Cumhuriyet Merkez Bankas gnmzde faiz ile ekonomiye mdahale etmiyorsa da TPK seenei yksek enflasyon ve / veya kt a rejimleri tecrbe edilirken dikkate alnmaldr.

Anahtar Kelimeler: Taylor Para Kural, Eik Regresyon Modeli, Enflasyon, Ksa Vadeli Faiz Oranlar


ASYMMETRIC TAYLOR MONETARY RULE: THE CASE of TURKEY
 
In this study, Taylor Monetary Rule (TMR), that has a significant place in economics literature, is analyzed and modeled in the framework of Threshold Regression Models. The TMR Model is studied under regimes of high inflation low inflation / high output gap low output gap and thus the ways in which relations occur between short term rates of interest, and inflation and output gap is analyzed. The Asymmetric TMR Model projection obtained from the analysis has yielded more accurate results than the linear model projections that were applied to Turkey's economic data. The findings have shown that short term interest rates are more sensitive to the inflation change during high inflation and low output gap regimes. Moreover while Turkey's economy is experiencing high inflation regimes, the effect of output gap on short term interest rates is maximized.

Keywords: Taylor Monetary Rule, Threshold Regression Model, Inflation, Short Term Interest Rates


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