Measuring the impacts of monetary policy in Turkey: an extended structural vector autoregressive model with structural breaks

Umit Bulut

International Journal of Economic Policy Studies, 2023, vol. 17, issue 1, No 5, 117-132

Abstract: Abstract The goal of this paper is to measure the impacts of monetary policy shocks in Turkey using monthly data spanning the period 2011:M01–2021:M12. To that end, the paper extends the structural vector autoregressive (SVAR) methodology with structural breaks. The findings show that a positive monetary policy shock, namely an increase in interest rates, results in a decrease in consumer prices and the exchange rate. The findings also exhibit that a positive shock in the exchange rate, namely the depreciation of the TRY against foreign currencies, increases interest rates and consumer prices. The implications of these findings in terms of monetary policy in Turkey are discussed in the paper.

Keywords: Monetary policy; The Central Bank of the Republic of Turkey; Structural VAR analysis; Structural breaks; Control horizon; Exchange rate pass-through (search for similar items in EconPapers)
JEL-codes: C32 E52 E58 F41 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s42495-022-00095-4 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:ijoeps:v:17:y:2023:i:1:d:10.1007_s42495-022-00095-4

Ordering information: This journal article can be ordered from
https://www.springer ... policy/journal/42495

DOI: 10.1007/s42495-022-00095-4

Access Statistics for this article

International Journal of Economic Policy Studies is currently edited by Akira Maeda

More articles in International Journal of Economic Policy Studies from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().