Özet:

This paper investigates the impact of global markets on key macroeconomic indicators in Türkiye over the period 2005-2019. In the empirical analysis, we use a Factor-Augmented Vector Autoregressive (FAVAR) approach to exploit the large information capacity of the large dataset. While standard VARs rarely use more than six to eight variables to conserve the degree of freedom, we use 125 macroeconomic variables including economic activity, money supply, interest rate, exchange rate, price level and their sub-items in the FAVAR model. Thus, it is aimed to provide a comprehensive and consistent picture of the impact of global markets on the Turkish economy. This paper examines the effects of the 'effective federal funds rate' shock, which is used as the policy rate by the United States Federal Reserve (FED) as a proxy for global markets, on the Turkish economy. The empirical findings show that the FED's tight monetary policy -positive effective federal funds rate shock- increases Turkey's industrial production index, short and long-term deposit interest rates, money supply (M2) and consumer inflation, while decreasing the real effective exchange rate. Our findings are expected to provide policymakers with insights on identifying the vulnerabilities of the Turkish economy in the face of global market changes and implementing effective policies.

Anahtar Kelimeler: