Re-measuring the natural interest rate for the Turkish economy: Does using the new GDP series matter?

Us, Vuslat

Re-measuring the natural interest rate for the Turkish economy: Does using the new GDP series matter?

Vuslat US (TC Merkez Bankası Araştırma ve Para Politikaları Genel Müdürlüğü, Ankara, Türkiye)

ODTÜ Gelişme Dergisi

21 4

Yıl: 2018 Cilt: 45 Sayı: 1 Sayfa Aralığı: 83 - 116 Metin Dili: İngilizce İndeks Tarihi: 27-05-2019

Re-measuring the natural interest rate for the Turkish economy: Does using the new GDP series matter?

Öz:

The Turkish Statistical Institute announced a new GDP series in Turkey at end-2016, which produced a remarkable upward revision in real GDP growth during the 2009-2015 period. The divergence between the old and the new series also pointed to a higher potential output, bringing the possibility that the deviation of output from its potential, i.e. the output gap has changed in the meantime. This necessitated the re-estimation of some indicators, the measurement of which is based on GDP, potential output and the output gap. Natural interest rate is one such important indicator that is used to assess the monetary policy stance, yet it is unobservable. Hence, this paper measures the natural interest rate for the Turkish economy using the new GDP series by applying extended Kalman filter to an unobserved components model in a state-space form. In order to determine how natural interest rate is affected by the GDP revision, natural interest rate is also estimated by using the old GDP series. The estimation results of the state-space model show that the revision in GDP series is reflected on the natural interest rate. Accordingly, a difference has been observed in the natural interest rate estimate as of 2009, and this difference is even more apparent in 2015. The results also imply that the recent monetary policy conduct is consistent with the economic fundamentals. In the meantime, other estimated series are plausible and capture the significant turning points of the economy, while the time-varying parameters are also reasonable. In sum, findings confirm the significance of using natural interest rate as a benchmark in the conduct of monetary policy. Yet, the imprecision of the natural interest rate estimate due to its unobservable nature implies that despite being an important gauge for the monetary policy stance, major policy decisions should still not be based solely on the natural interest rate.

Anahtar Kelime:

Konular: İşletme İktisat

Türkiye ekonomisinde doğal faiz oranının yeniden hesaplanması: Yeni GSYİH serisi bir fark oluşturuyor mu?

Öz:

Türkiye İstatistik Kurumu, 2016 yılı sonunda, 2009-2015 dönemine ilişkin reel büyüme rakamlarında kayda değer bir artışa yol açan yeni GSYİH serisi açıklamıştır. Eski ve yeni GSYİH serileri arasındaki bu ayrışma sonucu potansiyel üretim rakamı da artış göstermiş ve bu durum potansiyel üretim ve gerçek üretim miktarı arasındaki fark yani çıktı açığının da artmış olabileceği olasılığını beraberinde getirmiştir. Bunun sonucunda, ölçümü GSYİH'ye, potansiyel üretime ve çıktı açığına dayalı olan bazı göstergelerin yeniden tahmin edilmesi gerekmiştir. Doğal faiz oranı da gözlemlenememekle birlikte, para politikası duruşunun değerlendirilmesinde kullanılan bu önemli göstergelerden biridir. Dolayısıyla, bu çalışmada, durum-uzay formundaki gözlenemeyen bileşenler modeline ilerletilmiş Kalman filtresi uygulanarak ve yeni GSYİH serisi kullanılarak Türkiye ekonomisindeki doğal faiz oranı ölçülmektedir. Doğal faiz oranının GSYİH'deki güncellemeden nasıl etkilendiğini belirlemek üzere, doğal faiz oranı, eski GSYİH serisi kullanılarak da tahmin edilmektedir. Durum-uzay modelinin tahmin sonuçları, GSYİH’deki güncellemenin doğal faiz oranına yansıdığını göstermektedir. Bu çerçevede, doğal faiz oranında 2009 yılından itibaren bir fark oluştuğu gözlenmekte ve bu fark 2015 yılında belirgin hale gelmektedir. Buna ek olarak, sonuçlar, son dönemde uygulanan para politikasının ekonomik temellerle uyumlu olduğunu ima etmektedir. Ayrıca, tahmin edilen diğer serilerin makul olduğu ve ekonominin önemli dönüm noktalarını yakaladığı; zamanla değişen parametrelerin de akla yatkın olduğu görülmektedir. Özetle, bulgular, para politikasının uygulanmasında doğal faiz oranının gösterge olarak kullanılmasının önemini doğrulamaktadır. Bununla birlikte, gözlemlenemeyen doğası nedeniyle doğal faiz oranı tahmininin belirsizliği, para politikası duruşunun önemli bir göstergesi olmasına rağmen doğal faiz oranının büyük politika kararlarının tek belirleyicisi olmaması gerektiğini göstermektedir.

Anahtar Kelime:

Konular: İşletme İktisat

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık

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APA	Us V (2018). Re-measuring the natural interest rate for the Turkish economy: Does using the new GDP series matter?. , 83 - 116.
Chicago	Us Vuslat Re-measuring the natural interest rate for the Turkish economy: Does using the new GDP series matter?. (2018): 83 - 116.
MLA	Us Vuslat Re-measuring the natural interest rate for the Turkish economy: Does using the new GDP series matter?. , 2018, ss.83 - 116.
AMA	Us V Re-measuring the natural interest rate for the Turkish economy: Does using the new GDP series matter?. . 2018; 83 - 116.
Vancouver	Us V Re-measuring the natural interest rate for the Turkish economy: Does using the new GDP series matter?. . 2018; 83 - 116.
IEEE	Us V "Re-measuring the natural interest rate for the Turkish economy: Does using the new GDP series matter?." , ss.83 - 116, 2018.
ISNAD	Us, Vuslat. "Re-measuring the natural interest rate for the Turkish economy: Does using the new GDP series matter?". (2018), 83-116.

APA	Us V (2018). Re-measuring the natural interest rate for the Turkish economy: Does using the new GDP series matter?. ODTÜ Gelişme Dergisi, 45(1), 83 - 116.
Chicago	Us Vuslat Re-measuring the natural interest rate for the Turkish economy: Does using the new GDP series matter?. ODTÜ Gelişme Dergisi 45, no.1 (2018): 83 - 116.
MLA	Us Vuslat Re-measuring the natural interest rate for the Turkish economy: Does using the new GDP series matter?. ODTÜ Gelişme Dergisi, vol.45, no.1, 2018, ss.83 - 116.
AMA	Us V Re-measuring the natural interest rate for the Turkish economy: Does using the new GDP series matter?. ODTÜ Gelişme Dergisi. 2018; 45(1): 83 - 116.
Vancouver	Us V Re-measuring the natural interest rate for the Turkish economy: Does using the new GDP series matter?. ODTÜ Gelişme Dergisi. 2018; 45(1): 83 - 116.
IEEE	Us V "Re-measuring the natural interest rate for the Turkish economy: Does using the new GDP series matter?." ODTÜ Gelişme Dergisi, 45, ss.83 - 116, 2018.
ISNAD	Us, Vuslat. "Re-measuring the natural interest rate for the Turkish economy: Does using the new GDP series matter?". ODTÜ Gelişme Dergisi 45/1 (2018), 83-116.