Research Article


DOI :10.26650/ISTJECON2019-0024   IUP :10.26650/ISTJECON2019-0024    Full Text (PDF)

The Monetary Policy Reaction Function in Turkey: Evidence from Fourier-Based Time Series Methods

Ümit Bulut

The Central Bank of the Republic of Turkey (CBRT), which adopted an inflation targeting strategy in 2006, has thus far typically missed the inflation target. Therefore, this paper focuses on the monetary policy reaction function of the CBRT to detect the economic indicators that the CBRT considers while it is adjusting short-term interest rates. Put differently, the goal of this paper is to estimate a forward-looking monetary policy reaction function for the CBRT. To that end, the paper uses monthly data over the period 2006:1-2019:5. Differing from the previous papers in the empirical literature, this paper considers recent developments in time series analysis and employs time series methods based on the Fourier approximation to capture structural breaks. These methods are capable of presenting efficient and unbiased results in the presence of both sharp and gradual breaks. The findings indicate that the CBRT considers only inflation while it is steering short-term interest rates.

JEL Classification : C22 , E43 , E58
DOI :10.26650/ISTJECON2019-0024   IUP :10.26650/ISTJECON2019-0024    Full Text (PDF)

Türkiye’de Para Politikası Tepki Fonksiyonu: Fourier Temelli Zaman Serisi Yöntemlerinden Bulgular

Ümit Bulut

2006 yılında enflasyon hedeflemesi stratejisini benimseyen Türkiye Cumhuriyet Merkez Bankası (TCMB) bu zamana kadar genellikle enflasyon hedefini kaçırmıştır. Bu nedenle, bu çalışma TCMB’nin kısa vadeli faiz oranlarını ayarlarken hangi ekonomik göstergeleri dikkate aldığını tespit etmek için TCMB’nin para politikası tepki fonksiyonuna odaklanmaktadır. Diğer bir ifadeyle, bu çalışmanın amacı TCMB için ileri bakışlı bir para politikası tepki fonksiyonu tahmin etmektir. Bu amaç doğrultusunda, çalışmada 2006:1- 2019:5 dönemine ait aylık veriler kullanılmaktadır. Literatürde yer alan önceki çalışmalardan farklı olarak, bu çalışma zaman serisi analizindeki güncel gelişmeleri dikkate alarak yapısal kırılmaları yakalamak için Fourier yaklaşımına dayalı zaman serisi yöntemleri kullanmaktadır. Bu yöntemler, hem keskin hem de aşamalı kırılmaların varlığında etkin ve sapmasız sonuçlar sunabilmektedir. Çalışmadan elde edilen bulgular, TCMB’nin kısa vadeli faiz oranlarını ayarlarken yalnızca enflasyon ile ilgilendiğine işaret etmektedir.

JEL Classification : C22 , E43 , E58

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APA

Bulut, Ü. (2019). The Monetary Policy Reaction Function in Turkey: Evidence from Fourier-Based Time Series Methods. Istanbul Journal of Economics, 69(2), 159-173. https://doi.org/10.26650/ISTJECON2019-0024


AMA

Bulut Ü. The Monetary Policy Reaction Function in Turkey: Evidence from Fourier-Based Time Series Methods. Istanbul Journal of Economics. 2019;69(2):159-173. https://doi.org/10.26650/ISTJECON2019-0024


ABNT

Bulut, Ü. The Monetary Policy Reaction Function in Turkey: Evidence from Fourier-Based Time Series Methods. Istanbul Journal of Economics, [Publisher Location], v. 69, n. 2, p. 159-173, 2019.


Chicago: Author-Date Style

Bulut, Ümit,. 2019. “The Monetary Policy Reaction Function in Turkey: Evidence from Fourier-Based Time Series Methods.” Istanbul Journal of Economics 69, no. 2: 159-173. https://doi.org/10.26650/ISTJECON2019-0024


Chicago: Humanities Style

Bulut, Ümit,. The Monetary Policy Reaction Function in Turkey: Evidence from Fourier-Based Time Series Methods.” Istanbul Journal of Economics 69, no. 2 (Apr. 2021): 159-173. https://doi.org/10.26650/ISTJECON2019-0024


Harvard: Australian Style

Bulut, Ü 2019, 'The Monetary Policy Reaction Function in Turkey: Evidence from Fourier-Based Time Series Methods', Istanbul Journal of Economics, vol. 69, no. 2, pp. 159-173, viewed 20 Apr. 2021, https://doi.org/10.26650/ISTJECON2019-0024


Harvard: Author-Date Style

Bulut, Ü. (2019) ‘The Monetary Policy Reaction Function in Turkey: Evidence from Fourier-Based Time Series Methods’, Istanbul Journal of Economics, 69(2), pp. 159-173. https://doi.org/10.26650/ISTJECON2019-0024 (20 Apr. 2021).


MLA

Bulut, Ümit,. The Monetary Policy Reaction Function in Turkey: Evidence from Fourier-Based Time Series Methods.” Istanbul Journal of Economics, vol. 69, no. 2, 2019, pp. 159-173. [Database Container], https://doi.org/10.26650/ISTJECON2019-0024


Vancouver

Bulut Ü. The Monetary Policy Reaction Function in Turkey: Evidence from Fourier-Based Time Series Methods. Istanbul Journal of Economics [Internet]. 20 Apr. 2021 [cited 20 Apr. 2021];69(2):159-173. Available from: https://doi.org/10.26650/ISTJECON2019-0024 doi: 10.26650/ISTJECON2019-0024


ISNAD

Bulut, Ümit. The Monetary Policy Reaction Function in Turkey: Evidence from Fourier-Based Time Series Methods”. Istanbul Journal of Economics 69/2 (Apr. 2021): 159-173. https://doi.org/10.26650/ISTJECON2019-0024



TIMELINE


Submitted12.11.2019
Accepted09.12.2019
Published Online31.12.2019

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