Türkiye ekonomisi üzerine parasal taban ve enflasyon modeli

Doğuş Üniversitesi Dergisi, 2008

In this paper, a reserve money demand model is tried to be constructed for the Turkish economy. Using contemporaneous multivariate co-integration methodology for the investigation period 1987Q1-2007Q3 of the quarterly observations, we find that the real income elasticity of money demand is highly greater than unity which means that there exists an ongoing monetization process with regard to the increases in the real income in the economy. The most important alternative cost against the real money holdings seems to be the expected depreciation rate of the domestic currency against the exchange rate. Such a finding reveals the importance of currency substitution phenomenon dominated in the economy when the economic agents determine the motives of demand for monetary balances. Furthermore, a critical finding estimated in the paper is that domestic inflation has a weakly exogenous characteristic in the money demand variable space which requires no dynamic error correction model constructed on domestic inflation as a function of the excess money demand taken place under the money market disequilibrium conditions.

2008

In this paper, a reserve money demand model is tried to be constructed for the Turkish economy. Using contemporaneous multivariate co-integration methodology for the investigation period 1987Q1-2007Q3 of the quarterly observations, we find that the real income elasticity of money demand is highly greater than unity which means that there exists an ongoing monetization process with regard to the increases in the real income in the economy. The most important alternative cost against the real money holdings seems to be the expected depreciation rate of the domestic currency against the exchange rate. Such a finding reveals the importance of currency substitution phenomenon dominated in the economy when the economic agents determine the motives of demand for monetary balances. Furthermore, a critical finding estimated in the paper is that domestic inflation has a weakly exogenous characteristic in the money demand variable space which requires no dynamic error correction model constructed on domestic inflation as a function of the excess money demand taken place under the money market disequilibrium conditions.

2007

In this study we mainly dealt with money demand in broad sense for the period between 1987(I) when significant reforms related with money policy of Turkey were realised, and 1999(IV) when drastic measures were taken to cope with inflation. Moreover, interrelation between real money demand used in empirical studies for money demand equation, and income, money and treasury bond interest

Bogazici Journal, 2007

Bu çalışmada, dolaşımdaki para miktarı üzerine kurulmuş olan bir para talebi modeli elde para tutumu için uygun almaşık maliyet unsurunun Türkiye ekonomisi koşullarında belirlenebilmesi amacıyla kullanılmaktadır. Çağdaş çok değişkenli eş-bütünleşim çözümlemesi kullanılarak elde ettiğimiz bulgular para tutumu için en anlamlı almaşık maliyet unsurunun parasal döviz kuru değer kayıpları olduğunu göstermekte ve bu durum ekonomide yerleşik para ikamesi olgusunun ekonomik birimler parasal işlemleri ile ilgili kararlarını alırken taşıdığı önemi ortaya koymaktadır. Ayrıca, bulgularımız yurtiçi enflasyonist yapının zayıf dışsal bir özelliğe sahip olduğunu göstermekte ve yurtiçi enflasyonu belirleyen temel etkenlerin para talebi değişken uzayı dışında belirlendiği sonucuna ulaşılmaktadır.

This paper examines the long run and short run dynamics of M2 money demand with effective exchange rate, weighted interest rate of one month term deposits and quarterly seasonally adjusted gross domestic product. Monthly data between 1995Q4-2013Q3 has been taken to estimate linkage between M2 monetary aggregate and macroeconomics factors. The Autoregressive Distributed Lag (ARDL) approach which is accepted as an analytical cointegration techniqueis used to determine the short-run and long-run relationships. According to results we found a long-run and short-run relationship between M2 and interest rate and GDP. CUSUM and CUSUM-Q tests indicate money demand function is stable in the first test, while it's not stable in the second test even in the long-run and short-run.

2004

Abstract This paper presents estimates of the demand for money function derived from two alternative opportunity cost of holding money for the Turkish economy over the period 1988а 2000. The specification of the equilibrium relationship is problematic in that real money balances are integrated of order one while the inflation rate and the depreciation of TL against US dollar are integrated of order zero.

Journal of Economic Studies, 2003

This paper investigates the empirical relationship between money, real income, interest rates, inflation and expected exchange rate, and examines the constancy of this relationship, especially in the light of financial reform, deregulation of financial markets and financial crises in Turkey. The estimation results show that expected exchange rate is statistically significant in the money demand function, indicating existence of currency substitution in Turkey. The dynamics of money demand is important, the inflation and income effects are much smaller in the short-run than long-run. The results also reveal that the demand for money in Turkey is stable, despite the economic reforms and financial crises.

2005

In this paper, we try to examine the Turkish M2Y broad money demand and its determinants for the period 1987.1-2004.2 with quarterly data. For this purpose, we first specify the construction of a money demand model, and give a literature review of international evidence for empirical studies carried out. By using modern econometric techniques, then, we construct an empirical broad money demand model for Turkish economy, and compare the estimated results with the findings of some other empirical money demand studies carried out on Turkish economy. The main findings of our study indicate that the broad money demand is insensitive to real income, and we attribute this case to the highly unstable growth performance of the economy and the rapid financial innovation process which decreases the correlation between monetary and income agregates. Money demand function indicates instabilities within estimation period, probably because of domestic economic crises conditions and political uncertanties. Also, the main determinant of our money demand model is estimated as inflationary expectations.

2008

In this paper, a reserve money demand model is constructed for the Turkish economy. Base on the contemporaneous multivariate co-integration estimation methodology, our findings indicate that the main alternative costs to hold reserve money ...

Social Sciences Studies Journal, 2020

The main purpose of this study is to develop a currency demand model by investigating the existence of a long-term and stable relationship between currency demand and macroeconomic variables such as gross domestic product, interest rates, nominal exchange rate and nominal exchange rate volatility. In this regard, currency demand econometric models are examined from theoretical and emprical perspectives, unit root and cointegration tests are launched under multiple structural breaks and the existence of a long-run stable relationship between currency demand and the variables affecting currency demand is analyzed through dynamic least squares method. Additionally, an error correction model is developed to obtain short-run model estimates. The outcome of the study reveales empirical findings of a long-run stable relationship between real currency demand and gross domestic product, interest rates, nominal exchange rate and nominal exchange rate volatility. Evidence suggests that, in the long-run, there is a positive relationship between real currency demand and gross domestic product whereas there exists a negative relationship between real currency demand and deposit interest rates, nominal exchange rate, and exchange rate volatility. ÖZET Bu çalışmanın temel amacı, banknot talebini etkileyen gayri safi yurtiçi hasıla, faiz oranları, döviz kuru ve döviz kuru oynaklığı gibi değişkenler ile banknot talebi arasında uzun dönemli ve istikrarlı bir ilişkinin bulunup bulunmadığının araştırılarak banknot talebine ilişkin bir modelin oluşturulmasıdır. Bu doğrultuda para talebi modelleri teorik ve amprik çerçevede incelenmiş, çoklu yapısal kırılmalar altında birim kök ve eşbütünleşme testleri yapılmış ve dinamik en küçük kareler yöntemi kullanılarak banknot talebi ile banknot talebini etkileyen değişkenler arasında uzun dönemli bir ilişkinin bulunup bulunmadığı analiz edilmeye çalışılmıştır. Ayrıca, hata düzeltme modeli oluşturularak kısa dönem model tahminleri elde edilmiştir. Çalışma sonucunda, reel banknot talebi ile gayri safi yurtiçi hasıla, faiz oranı, nominal döviz kuru ve nominal döviz kuru oynaklığı arasında uzun dönemli ve istikrarlı bir ilişki bulunduğuna yönelik amprik bulgular elde edilmiştir. Uzun dönemde reel banknot talebi ile reel milli gelir arasında pozitif bir ilişki; reel banknot talebi ile mevduat faiz oranı, nominal döviz kuru ve nominal döviz kuru oynaklığı arasında ise negatif bir ilişki bulunmaktadır.