An Examination of the Effect of Macroprudential Monetary Policy Tools on Macroeconomic Variables in Turkey using VAR Analysis

The purpose of this study is to analyze the impact of the Central Bank of the Republic of Turkey (CBRT) on macroeconomic monetary policy after the 2008 financial crisis. The study attempted to investigate the dynamic relationship between the policy instruments of the CBRT and the macroeconomic indicators selected in Turkey, using a dataset covering the period from January 2010 to June 2016 and a monthly dataset for VAR analysis. Using the Augmented Dickey–Fuller (ADF) unit root test, the individual time series properties of the series,“Granger causality,” “variance decomposition,” and “effect–response functions” are aimed to determine the interactions of the series. According to the results of the implementation, the CBRT’s CPI inflation indicator for price stability and the Capital Movements and Total Credits for Financial Stability indicators were found to be weak against the model’s monetary policy tools. Again, these variables are the most extrinsic variables of the model, responding most to self-induced shocks. Furthermore, a change in the reserve requirement of the tools has been shown to have a significant effect on inflation, even partially.