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Constructing Proxies for Türkiye's Monetary Policy Stance: A Principal Component Approach

Author

Listed:
  • Murat Duran
  • Mustafa Erdem
  • Ismail Anil Talasli

Abstract

[EN]In this study, two proxy indicators are constructed to reflect the monetary stance of the Central Bank of the Republic of Türkiye (CBRT), using market-based data. These indicators also consider the effects of macroprudential regulations and unconventional tools that influence the transmission of policy rates into market interest rates. The study uses a dataset of 24 financial indicators comprising bond returns, money market and deposit rates, interest rate spreads and data related to the loan market. With the help of these indicators, the factors that summarize the monetary and financial conditions are obtained. These factors are mapped to the Weighted Average Funding Cost (WAFC), which reflects the cost of liquidity provided by the CBRT. As a result, two alternative indicators that reflect the monetary policy stance are developed. The first indicator utilizes all the dataset and presents a broader perspective by incorporating market expectations. The second indicator relies only on short-term variables. Therefore, it mostly reflects the current monetary policy and market conditions. Both indicators are more aligned with the WAFC between the forecast period of 2005- 2017. However, in the following years, some divergences were observed between these indicators and the WAFC. These divergences provide valuable information for understanding the effects of market expectations, regulatory measures and changing financial conditions on monetary policy. This method provides a powerful and flexible tool for analyzing the real impact of monetary policy during periods when the headline policy rate is insufficient to reflect the monetary stance. [TR] Bu calismada, Turkiye Cumhuriyet Merkez Bankasi’nin para politikasinin durusunu yansitmak uzere piyasa verileri kullanilarak iki faiz gostergesi (proxy) olusturulmustur. Bu gostergeler, politika faizinin piyasa faizlerine aktarimini etkileyen makro ihtiyati duzenlemeler ve geleneksel olmayan araclarin etkisini de dikkate almaktadir. Calismada, tahvil getirileri, para piyasasi ve mevduat faizleri, faiz farklari ve kredi piyasasina iliskin verilerden olusan 24 finansal gosterge kullanilmistir. Bu gostergeler yardimiyla, parasal ve finansal kosullari ozetleyen faktorler elde edilmistir. Bu faktorler, TCMB'nin sagladigi likiditenin ortalama maliyetini yansitan Agirlikli Ortalama Fonlama Maliyeti (AOFM) ile iliskilendirilmistir. Boylece, para politikasi durusunu yansitan alternatif iki gosterge gelistirilmistir. Gostergelerden ilki, tum verileri kullanmakta ve piyasa beklentilerini kapsayan daha genis bir bakis acisi sunmaktadir. Ikinci gosterge ise sadece kisa vadeli verilere dayanmaktadir. Bu nedenle, mevcut para politikasi uygulamalarini ve piyasa kosullarini yansitmaktadir. Her iki gosterge de tahmin donemi olan 2005–2017 yillari arasinda AOFM ile daha yuksek uyum gostermektedir. Ancak sonraki yillarda bu gostergeler ile AOFM arasinda bazi ayrismalar gozlenmektedir. Bu ayrismalar, piyasa beklentilerinin, duzenleyici tedbirlerin ve degisen finansal kosullarin para politikasina olan etkilerini anlamak acisindan degerli bilgiler sunmaktadir. Bu yontem, manset politika faizinin parasal durusu yansitmakta yetersiz kaldigi donemlerde para politikasinin gercek etkisini analiz etmek icin guclu ve esnek bir arac saglamaktadir.

Suggested Citation

  • Murat Duran & Mustafa Erdem & Ismail Anil Talasli, 2026. "Constructing Proxies for Türkiye's Monetary Policy Stance: A Principal Component Approach," CBT Research Notes in Economics 2602, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    • Handle: RePEc:tcb:econot:2602
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    References listed on IDEAS

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