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Para Talebinin Belirleyenleri ve İstikrarı Üzerine Bir Uygulama: Türkiye Örneği

An Analysis on Determinants and Stability of Money Demand: The Case of Turkey

Journal Name:

  • Celal Bayar Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi

Publication Year:

  • 2013

Key Words:

Keywords (Original Language):

Author NameUniversity of AuthorFaculty of Author
Abstract (2. Language): 
In this study, the stability of money demand is investigated using monthly data for the period 2005:12- 2012:10. First, the presence of a long-run equilibrium relationship among M2 monetary aggregate, real income, interest rate, and exchange rate is examined through Johansen cointegration test. After that, stability of money demand is analyzed using CUSUM and CUSUMSQ tests. The results are in support of a long-run relationship among variables of interest. However, stability of money demand function is rejected. Thus, it is not efficient for Central Bank of Turkey to apply a monetary policy based on M2 monetary aggregate.
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Abstract (Original Language): 
Bu çalışmada Türkiye’de para talebinin istikrarlı olup olmadığı 2005:12- 2012:10 dönemi için aylık veriler kullanılarak sorgulanmaktadır. Bu amaç doğrultusunda ilk olarak Johansen eşbütünleşme testi kullanılarak M2 reel parasal büyüklüğü ile reel gelir, faiz oranı ve döviz kuru arasında uzun dönemli bir ilişkinin varlığı sınanmaktadır. Daha sonra para talebi fonksiyonun istikrarlı olup olmadığı CUSUM ve CUSUMSQ testleri ile analiz edilmektedir. Elde edilen bulgular, reel gelir, faiz oranı ve döviz kurunun teoride beklenildiği gibi para talebi ile ilişkili olduğu ancak, değişkenlerin katsayılarının kararlı olmadıkları yönündedir. Dolayısıyla Merkez Bankasının M2 parasal büyüklüğünü referans alan bir para politikası uygulamasının etkin olmayacağı söylenebilecektir.
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  • Turkish

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REFERENCES

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