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Enflasyon Hedeflemesi Sürecinde Para Talebi İstikrarının ARDL Modeli Yaklaşımı İle Analizi: Türkiye ve Endonezya Örneği

The Stability Analysis of The Money Demand with ARDL Model Approach in Inflation Targeting Process: The Cases of Turkey and Indonesia

Journal Name:

  • Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi

Publication Year:

  • 2015

Key Words:

Keywords (Original Language):

Author NameUniversity of AuthorFaculty of Author
Abstract (2. Language): 
This paper examines the relationship between the money demand and determinants of the money demand during the inflation targeting in Turkey and Indonesia. The research uses data from 2002:Q1-2013:Q2 time period for Turkey and 1991:Q1-2013:Q2 term for Indonesia. Autoregressive Distributed Lag (ARDL) Model and CUSUM Test results have shown not found a relationship between income level, interest rate and inflation with money demand for both short-run and long-run in Turkey. In contrast, the research has found a significant and stable relationship between income level, interest rate and inflation just for long-run in Indonesia. This finding shows that there is not a structural break to change the direction of stability. In this context, the findings are also important to show that we cannot make a generalization regarding the stability of money demand for the time period in which inflation targetting regime was implemented.
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Abstract (Original Language): 
Bu çalışmada, enflasyon hedeflemesi sürecinde Türkiye ve Endonezya'da para talebi ile para talebinin belirleyicileri arasındaki ilişki incelenmiştir. Çalışmada Türkiye için 2002:Q1-2013:Q2 dönemi, Endonezya için 1999:Q1-2013:Q1 dönemi esas alınmıştır. Otoregresif Dağılımlı Gecikme (ARDL) Modeli ve CUSUM Testi sonuçları, hem kısa hem de uzun dönemde Türkiye'de para talebi ile gelir düzeyi, faiz oranı ve enflasyon arasında bir ilişki bulunmadığını göstermiştir. Buna karşılık Endonezya'da sadece uzun dönemde para talebi ile gelir düzeyi, faiz oranı ve enflasyon arasında anlamlı ve istikrarlı bir ilişki bulunmuş, bu istikrarın yönünü değiştirecek yapısal bir kırılmanın olmadığı sonucuna ulaşılmıştır. Bu kapsamda elde edilen bulgular, enflasyon hedeflemesi rejiminin uygulandığı döneme ilişkin para talebinin istikrarına yönelik bir genellemede bulunulamayacağını göstermesi açısından önemlidir.
FULL TEXT (PDF): 
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  • Turkish

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