Research Article
Empirical Analysis of the Relationship Between Monetary Policy and Asset Prıices in the Turkish Economy
Abstract
This study aims to examine the dynamic relationship between monetary policy and asset prices in the Turkish economy. Asset price inflation refers to a situation in which the market values of financial assets rise faster than the general price level and can create significant effects on economic growth and financial stability. In particular, asset price increases driven by low interest rates may influence consumption and investment expenditures through the wealth effect, but at the same time, they may also pose risks of financial fragility.Within this scope, an empirical analysis was conducted using the Time-Varying Parameter Vector Autoregression (TVP-VAR) model for the 2011–2024 period, based on key variables such as monetary aggregates, the central bank funding rate, housing price index, exchange rate, BIST 100 index, and gold prices. The findings reveal that the effects of monetary policy shocks on asset prices have varied over time and that these effects have become more pronounced during periods of economic stagnation and uncertainty, particularly during global crises and structural disruptions. The results indicate that asset prices should be incorporated into the monetary policy framework to ensure financial stability.
References
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- Assenmacher-Wesche, K., & Gerlach, S. (2008). Interpreting euro area inflation at high and low frequencies. European Economic Review, 52(6), 964–986. https://doi.org/10.1016/j.euroecorev.2007.10.003
- Balcilar, M., Ozdemir, Z. A., & Arslanturk, Y. (2013). Financial crises and the nature of stock market interconnectedness: Evidence from global and regional networks. International Review of Financial Analysis, 30, 20–34. https://doi.org/10.1016/j.irfa.2013.05.004
- Baumeister, C., Liu, P., & Mumtaz, H. (2010). Changes in the transmission of monetary policy: Evidence from a TVP-FAVAR. Bank of Canada Working Paper No. 2010-4.
- Baur, D. G., & Lucey, B. M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financial Review, 45(2), 217–229. https://doi.org/10.1111/j.1540-6288.2010.00244.x
- Belke, A., Orth, W., & Setzer, R. (2010). Liquidity and asset prices: How strong are the linkages? Journal of Economic Policy Modeling, 32(6), 818–831. https://doi.org/10.1016/j.econmod.2010.08.004
- Benati, L., & Surico, P. (2009). VAR analysis and the Great Moderation. American Economic Review, 99(4), 1636–1652. https://doi.org/10.1257/aer.99.4.1636
- Borio, C., & Lowe, P. (2002). Asset prices, financial and monetary stability: Exploring the nexus. BIS Working Papers No. 114.
- Braun, R. A., Kapetanios, G., & Marcellino, M. (2022). Time-varying effects of monetary policy shocks on financial variables. Journal of Monetary Economics, 126, 1–20. https://doi.org/10.1016/j.jmoneco.2021.10.001
- Brooks, C. (2014). Introductory econometrics for finance (3rd ed.). Cambridge University Press.
- Caraiani, P., Havranek, T., Horvath, R., Rusnak, M., Sokolova, A., & Stanek, F. (2020). Does monetary policy affect stock prices? A meta- analysis. Journal of Economic Surveys, 34(3), 502–529. https://doi.org/10.1111/joes.12368
- Cecchetti, S. G., Lam, P. S., & Mark, N. C. (2000). Asset pricing with distorted beliefs: Are equity returns too good to be true? American
- Economic Review, 90(4), 787–805. https://doi.org/10.1257/aer.90.4.787
- Chen, N. F., Roll, R., & Ross, S. A. (1986). Economic forces and the stock market. The Journal of Business, 59(3), 383–403. https://doi.org/10.1086/296344
- Claessens, S., & Kose, M. A. (2017). Macroeconomic implications of financial imperfections: A survey. IMF Working Paper No. WP/17/275. https://www.imf.org/en/Publications/WP/Issues/2017/12/22/Macroeconomic-Implications-of-Financial-Imperfections-A-Survey-45500
- Cogley, T., & Sargent, T. J. (2005). Drift and volatilities: Monetary policies and outcomes in the post-WWII US. Review of Economic Dynamics, 8(2), 262–302. https://doi.org/10.1016/j.red.2004.10.002
- Del Negro, M., & Primiceri, G. E. (2015). Time-varying structural vector autoregressions and monetary policy: A corrigendum. Review of Economic Studies, 82(4), 1342–1345. https://doi.org/10.1093/restud/rdv020
- Demiralp, S., & Bellier, A. (2023). Monetary policy transmission in Türkiye: Evidence from cointegration analysis. Emerging Markets Finance and Trade, 59(2), 204–220. https://doi.org/10.1080/1540496X.2022.2033666
- Fama, E. F., & Schwert, G. W. (1977). Asset returns and inflation. Journal of Financial Economics, 5(2), 115–146. https://doi.org/10.1016/0304-405X(77)90014-9
- Filardo, A. J. (2001). Should monetary policy respond to asset price bubbles? Some experimental results. Federal Reserve Bank of Kansas City Working Paper No. 01-04.
- Galí, J. (2014). Monetary policy and rational asset price bubbles. American Economic Review, 104(3), 721–752. https://doi.org/10.1257/aer.104.3.721
- Gerlach, S., & Assenmacher, W. (2008). Financial structure and the impact of monetary policy on asset prices. CESifo Economic Studies, 54(2), 228–256. https://doi.org/10.1093/cesifo/ifn016
- Goodhart, C., & Hofmann, B. (2008). House prices, money, credit, and the macroeconomy. Oxford Review of Economic Policy, 24(1), 180–205. https://doi.org/10.1093/oxrep/grn006
- Gujarati, D. N., & Porter, D. C. (2009). Basic econometrics (5th ed.). McGraw-Hill.
- Gujarati, D. N., & Porter, D. C. (2012). Temel ekonometri (Ü. Şenesen & G. G. Şenesen, Trans., 5th ed.). Literatür Yayıncılık.
- Incekara, A., & Amanov, A. (2019). The impact of interest rate decisions on BIST100 index. Borsa Istanbul Review, 19(3), 210–220. https://doi.org/10.1016/j.bir.2019.02.002
- Karaer, M. (2024). Türkiye’de yüksek enflasyon dönemlerinin vergi sistemi üzerine etkisi. International Journal of Social and Humanities Sciences Research, 11(114), 2609–2619.
- Lei, W., Mei, D., & Zhang, M. (2024). Global spillovers of China's monetary policy. China & World Economy, 32(3), 1–30. https://doi.org/10.1111/cwe.12495
- Lyons, R. C. (2018). Housing prices and credit conditions in Ireland. Journal of Housing Economics, 41, 25–39. https://doi.org/10.1016/j.jhe.2018.02.001
- Mishkin, F. S. (2001). The transmission mechanism and the role of asset prices in monetary policy. In Aspects of the transmission mechanism of monetary policy (pp. 131–156). Sveriges Riksbank.
- Nakajima, J. (2011). Monetary policy transmission under zero interest rates: An extended time-varying parameter vector autoregression approach. BE Journal of Macroeconomics, 11(1). https://doi.org/10.2202/1935-1690.2144
- Neuenkirch, M., & Tillmann, P. (2014). Inflation targeting and asset prices: How robust is the empirical evidence? Journal of Macroeconomics, 40, 186–198. https://doi.org/10.1016/j.jmacro.2014.01.003
- Nocera, A., & Ramo, G. D. (2017). House price dynamics and monetary policy in the euro area. International Economics, 149, 13–28. https://doi.org/10.1016/j.inteco.2016.12.003
- Paul, P. (2020). The time-varying effect of monetary policy on asset prices. Review of Economics and Statistics, 102(4), 725–740. https://doi.org/10.1162/rest_a_00849
- Posen, A. S. (2006). Why central banks should not burst bubbles. International Finance, 9(1), 109–124. https://doi.org/10.1111/j.1468-2362.2006.00158.x
- Primiceri, G. E. (2005). Time-varying structural vector autoregressions and monetary policy. The Review of Economic Studies, 72(3), 821–852. https://doi.org/10.1111/j.1467-937X.2005.00353.x
- Schuknecht, L. (2010). Fiscal activism in booms, busts, and beyond. Bank of Italy Occasional Paper.
- Shioiji, E. (2015). The effects of exchange rate shocks on domestic prices in Japan: Evidence from time-varying VAR. Japan and the World Economy, 36, 32–44. https://doi.org/10.1016/j.japwor.2015.07.001
- Wadhwani, S. (2008). Should monetary policy respond to asset price bubbles? Revisiting the debate. National Institute Economic Review, 206(1), 25–34. https://doi.org/10.1177/0027950108096586
- Wang, Y. (2017). Unanticipated interest rate cuts and asset price responses: Evidence from China. Economic Modelling, 64, 317–325. https://doi.org/10.1016/j.econmod.2017.03.001
- Wooldridge, J. M. (2013). Introductory econometrics: A modern approach (5th ed.). South-Western Cengage Learning.
- Zhu, H., Bai, M., & Wang, J. (2022). Liquidity, asset volatility, and time-varying monetary transmission. Finance Research Letters, 48, 102899. https://doi.org/10.1016/j.frl.2022.102899
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- Central Bank of the Republic of Turkey. (n.d.). Electronic Data Delivery System. https://evds2.tcmb.gov.tr/index.php?/evds/serieMarket (Accessed: June 3, 2025)
- Central Bank of the Republic of Turkey. (n.d.). Consumer price index data. https://www.tcmb.gov.tr/wps/wcm/connect/TR/TCMB+TR/Main+Menu/Istatistikler/Enflasyon+Verileri/Tuketici+Fiyatlari (Accessed: June 3, 2025)
- Turkish Statistical Institute. (n.d.). National accounts. https://data.tuik.gov.tr/Kategori/GetKategori?p=ulusal-hesaplar-113 (Accessed: June 3, 2025)
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- World Data. (n.d.). Japan inflation rates. https://www.worlddata.info/asia/japan/inflation-rates.php (Accessed: June 3, 2025)
Year 2025,
Volume: 6 Issue: 1, 281 - 298, 30.06.2025
Abstract
Bu çalışma, Türkiye ekonomisinde para politikası ile varlık fiyatları arasındaki dinamik ilişkiyi incelemeyi amaçlamaktadır. Varlık fiyat enflasyonu, finansal varlıkların piyasa değerlerinin genel fiyat seviyelerinden daha hızlı artması durumunu ifade eder ve ekonomik büyüme ile finansal istikrar üzerinde önemli etkiler yaratabilir. Özellikle düşük faiz oranlarıyla teşvik edilen varlık fiyat artışları, servet etkisi üzerinden tüketim ve yatırım harcamalarını etkileyebilmekte, ancak aynı zamanda finansal kırılganlık risklerini de beraberinde getirmektedir. Bu kapsamda, 2011–2024 dönemi için para arzı, merkez bankası fonlama oranı, konut fiyat endeksi, döviz kuru, BIST 100 ve gram altın fiyatları gibi temel değişkenler kullanılarak Zamanla Değişen Parametreli Vektör Otoregresif (Time Varying Parameter Vector Autoregression - TVP-VAR) modeliyle ampirik analiz gerçekleştirilmiştir. Elde edilen bulgular, para politikası şoklarının varlık fiyatları üzerindeki etkisinin zaman içerisinde farklılaştığını ve bu etkinin özellikle ekonomik durgunluk ve belirsizlik dönemlerinde, küresel krizler ve yapısal kırılmaların daha da belirgin hâle geldiğini göstermektedir. Sonuçlar, finansal istikrarın sağlanmasında varlık fiyatlarının para politikası çerçevesine dâhil edilmesi gerektiğini ortaya koymaktadır.
References
- Agnello, L., & Schuknecht, L. (2011). Booms and busts in housing markets: Determinants and implications. Journal of Housing Economics, 20(3), 171–190. https://doi.org/10.1016/j.jhe.2011.04.001
- Assenmacher-Wesche, K., & Gerlach, S. (2008). Interpreting euro area inflation at high and low frequencies. European Economic Review, 52(6), 964–986. https://doi.org/10.1016/j.euroecorev.2007.10.003
- Balcilar, M., Ozdemir, Z. A., & Arslanturk, Y. (2013). Financial crises and the nature of stock market interconnectedness: Evidence from global and regional networks. International Review of Financial Analysis, 30, 20–34. https://doi.org/10.1016/j.irfa.2013.05.004
- Baumeister, C., Liu, P., & Mumtaz, H. (2010). Changes in the transmission of monetary policy: Evidence from a TVP-FAVAR. Bank of Canada Working Paper No. 2010-4.
- Baur, D. G., & Lucey, B. M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financial Review, 45(2), 217–229. https://doi.org/10.1111/j.1540-6288.2010.00244.x
- Belke, A., Orth, W., & Setzer, R. (2010). Liquidity and asset prices: How strong are the linkages? Journal of Economic Policy Modeling, 32(6), 818–831. https://doi.org/10.1016/j.econmod.2010.08.004
- Benati, L., & Surico, P. (2009). VAR analysis and the Great Moderation. American Economic Review, 99(4), 1636–1652. https://doi.org/10.1257/aer.99.4.1636
- Borio, C., & Lowe, P. (2002). Asset prices, financial and monetary stability: Exploring the nexus. BIS Working Papers No. 114.
- Braun, R. A., Kapetanios, G., & Marcellino, M. (2022). Time-varying effects of monetary policy shocks on financial variables. Journal of Monetary Economics, 126, 1–20. https://doi.org/10.1016/j.jmoneco.2021.10.001
- Brooks, C. (2014). Introductory econometrics for finance (3rd ed.). Cambridge University Press.
- Caraiani, P., Havranek, T., Horvath, R., Rusnak, M., Sokolova, A., & Stanek, F. (2020). Does monetary policy affect stock prices? A meta- analysis. Journal of Economic Surveys, 34(3), 502–529. https://doi.org/10.1111/joes.12368
- Cecchetti, S. G., Lam, P. S., & Mark, N. C. (2000). Asset pricing with distorted beliefs: Are equity returns too good to be true? American
- Economic Review, 90(4), 787–805. https://doi.org/10.1257/aer.90.4.787
- Chen, N. F., Roll, R., & Ross, S. A. (1986). Economic forces and the stock market. The Journal of Business, 59(3), 383–403. https://doi.org/10.1086/296344
- Claessens, S., & Kose, M. A. (2017). Macroeconomic implications of financial imperfections: A survey. IMF Working Paper No. WP/17/275. https://www.imf.org/en/Publications/WP/Issues/2017/12/22/Macroeconomic-Implications-of-Financial-Imperfections-A-Survey-45500
- Cogley, T., & Sargent, T. J. (2005). Drift and volatilities: Monetary policies and outcomes in the post-WWII US. Review of Economic Dynamics, 8(2), 262–302. https://doi.org/10.1016/j.red.2004.10.002
- Del Negro, M., & Primiceri, G. E. (2015). Time-varying structural vector autoregressions and monetary policy: A corrigendum. Review of Economic Studies, 82(4), 1342–1345. https://doi.org/10.1093/restud/rdv020
- Demiralp, S., & Bellier, A. (2023). Monetary policy transmission in Türkiye: Evidence from cointegration analysis. Emerging Markets Finance and Trade, 59(2), 204–220. https://doi.org/10.1080/1540496X.2022.2033666
- Fama, E. F., & Schwert, G. W. (1977). Asset returns and inflation. Journal of Financial Economics, 5(2), 115–146. https://doi.org/10.1016/0304-405X(77)90014-9
- Filardo, A. J. (2001). Should monetary policy respond to asset price bubbles? Some experimental results. Federal Reserve Bank of Kansas City Working Paper No. 01-04.
- Galí, J. (2014). Monetary policy and rational asset price bubbles. American Economic Review, 104(3), 721–752. https://doi.org/10.1257/aer.104.3.721
- Gerlach, S., & Assenmacher, W. (2008). Financial structure and the impact of monetary policy on asset prices. CESifo Economic Studies, 54(2), 228–256. https://doi.org/10.1093/cesifo/ifn016
- Goodhart, C., & Hofmann, B. (2008). House prices, money, credit, and the macroeconomy. Oxford Review of Economic Policy, 24(1), 180–205. https://doi.org/10.1093/oxrep/grn006
- Gujarati, D. N., & Porter, D. C. (2009). Basic econometrics (5th ed.). McGraw-Hill.
- Gujarati, D. N., & Porter, D. C. (2012). Temel ekonometri (Ü. Şenesen & G. G. Şenesen, Trans., 5th ed.). Literatür Yayıncılık.
- Incekara, A., & Amanov, A. (2019). The impact of interest rate decisions on BIST100 index. Borsa Istanbul Review, 19(3), 210–220. https://doi.org/10.1016/j.bir.2019.02.002
- Karaer, M. (2024). Türkiye’de yüksek enflasyon dönemlerinin vergi sistemi üzerine etkisi. International Journal of Social and Humanities Sciences Research, 11(114), 2609–2619.
- Lei, W., Mei, D., & Zhang, M. (2024). Global spillovers of China's monetary policy. China & World Economy, 32(3), 1–30. https://doi.org/10.1111/cwe.12495
- Lyons, R. C. (2018). Housing prices and credit conditions in Ireland. Journal of Housing Economics, 41, 25–39. https://doi.org/10.1016/j.jhe.2018.02.001
- Mishkin, F. S. (2001). The transmission mechanism and the role of asset prices in monetary policy. In Aspects of the transmission mechanism of monetary policy (pp. 131–156). Sveriges Riksbank.
- Nakajima, J. (2011). Monetary policy transmission under zero interest rates: An extended time-varying parameter vector autoregression approach. BE Journal of Macroeconomics, 11(1). https://doi.org/10.2202/1935-1690.2144
- Neuenkirch, M., & Tillmann, P. (2014). Inflation targeting and asset prices: How robust is the empirical evidence? Journal of Macroeconomics, 40, 186–198. https://doi.org/10.1016/j.jmacro.2014.01.003
- Nocera, A., & Ramo, G. D. (2017). House price dynamics and monetary policy in the euro area. International Economics, 149, 13–28. https://doi.org/10.1016/j.inteco.2016.12.003
- Paul, P. (2020). The time-varying effect of monetary policy on asset prices. Review of Economics and Statistics, 102(4), 725–740. https://doi.org/10.1162/rest_a_00849
- Posen, A. S. (2006). Why central banks should not burst bubbles. International Finance, 9(1), 109–124. https://doi.org/10.1111/j.1468-2362.2006.00158.x
- Primiceri, G. E. (2005). Time-varying structural vector autoregressions and monetary policy. The Review of Economic Studies, 72(3), 821–852. https://doi.org/10.1111/j.1467-937X.2005.00353.x
- Schuknecht, L. (2010). Fiscal activism in booms, busts, and beyond. Bank of Italy Occasional Paper.
- Shioiji, E. (2015). The effects of exchange rate shocks on domestic prices in Japan: Evidence from time-varying VAR. Japan and the World Economy, 36, 32–44. https://doi.org/10.1016/j.japwor.2015.07.001
- Wadhwani, S. (2008). Should monetary policy respond to asset price bubbles? Revisiting the debate. National Institute Economic Review, 206(1), 25–34. https://doi.org/10.1177/0027950108096586
- Wang, Y. (2017). Unanticipated interest rate cuts and asset price responses: Evidence from China. Economic Modelling, 64, 317–325. https://doi.org/10.1016/j.econmod.2017.03.001
- Wooldridge, J. M. (2013). Introductory econometrics: A modern approach (5th ed.). South-Western Cengage Learning.
- Zhu, H., Bai, M., & Wang, J. (2022). Liquidity, asset volatility, and time-varying monetary transmission. Finance Research Letters, 48, 102899. https://doi.org/10.1016/j.frl.2022.102899
- Web Sources Turkish Statistical Institute. (n.d.). Inflation and prices. https://data.tuik.gov.tr/Kategori/GetKategori?p=enflasyon-ve- fiyat-106 (Accessed: June 3, 2025)
- Central Bank of the Republic of Turkey. (n.d.). Electronic Data Delivery System. https://evds2.tcmb.gov.tr/index.php?/evds/serieMarket (Accessed: June 3, 2025)
- Central Bank of the Republic of Turkey. (n.d.). Consumer price index data. https://www.tcmb.gov.tr/wps/wcm/connect/TR/TCMB+TR/Main+Menu/Istatistikler/Enflasyon+Verileri/Tuketici+Fiyatlari (Accessed: June 3, 2025)
- Turkish Statistical Institute. (n.d.). National accounts. https://data.tuik.gov.tr/Kategori/GetKategori?p=ulusal-hesaplar-113 (Accessed: June 3, 2025)
- Investing.com. (n.d.). USD/TRY historical data. https://tr.investing.com/currencies/usd-try-historical-data (Accessed: June 3, 2025)
- World Data. (n.d.). Japan inflation rates. https://www.worlddata.info/asia/japan/inflation-rates.php (Accessed: June 3, 2025)
There are 48 citations in total.
Details
| Primary Language | English |
|---|---|
| Subjects | Economic Models and Forecasting, Inflation |
| Journal Section | Research Articles |
| Authors | |
| Early Pub Date | July 1, 2025 |
| Publication Date | June 30, 2025 |
| Submission Date | May 31, 2025 |
| Acceptance Date | June 30, 2025 |
| Published in Issue | Year 2025 Volume: 6 Issue: 1 |