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An Indicator of Monetary Conditions for Turkey

Author

Listed:
  • Ayşe Özden BİRKAN

    (Yasar University)

Abstract

In this study, a Monetary Conditions Index (MCI) for Turkey is constructed for the 2003-2008 period, using a VAR methodology. The MCI weights are estimated on the basis of generalized accumulated responses of the inflation rate to one standard deviation shock to the real short term interest rate and the real rate of appreciation. The responses of output and inflation to interest rate and exchange rate shocks exhibit patterns which point to the structural peculiarities of the Turkish economy. The monetary conditions reflected by the resulting index are consistent with the path of inflation and CBT remarks on the issue.

Suggested Citation

  • Ayşe Özden BİRKAN, 2010. "An Indicator of Monetary Conditions for Turkey," Ekonomik Yaklasim, Ekonomik Yaklasim Association, vol. 21(74), pages 23-38.
    • Handle: RePEc:eyd:eyjrnl:v:21:y:2010:i:74:p:23-38
    DOI: 10.5455/ey.10699
    Note: [Turkish Title] Türkiye İçin Bir Parasal Koşullar Göstergesi [Turkish Abstract] Bu çalışmada Türkiye için 2003-2008 dönemi verileri ve vektör otoregresyon (VAR) yaklaşımı kullanılarak bir parasal koşullar endeksi geliştirilmektedir. Endeksin ağırlıkları, enflasyon oranının kısa dönemli reel faiz ve Türk Lirasının reel değer kazanma oranında gerçekleşen bir standart sapmalık şoklara verdiği genelleştirilmiş birikimli tepkiler esas alınarak oluşturulmuştur. Üretim ve enflasyonun faiz ve döviz kuruna gelen şoklara verdiği tepki Türkiye ekonomisinin ilginç yapısal özelliklerini ortaya koymaktadır. Oluşturulan endeksin yansıttığı parasal koşullar enflasyonun sözü edilen dönemdeki hareketi ve açıklanan para politikasıyla tutarlıdır. [Turkish Keywords] Parasal Koşullar, Tükiye, VAR
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