Farkli Belirsizlik Duzeylerinde Faiz Oraninin Makroekonomik Degiskenlere Etkileri: Turkiye Uzerine Etkilesimli Vektor Otoregresif Modeli Uygulamasi

Afsin Sahin and Volkan Ülke

Central Bank Review, 2015, vol. 15, issue 1, 65-93

Abstract: In this paper, the effectiveness of tight monetary policy on the macroeconomic variables has been analyzed by applying an interactive autoregressive model under different inflation uncertainty levels using the monthly Turkish data spanning 1991: 01 – 2014: 01. Empirical results indicate that an increase in the interest rate decreases the exchange rate, price level and income level. In addition, when we apply the low inflation uncertainty as an interaction term, it is observed that the effectiveness of an increase in the interest rate on the macroeconomic variables becomes more obvious. As a result, it is shown that the tight monetary policy is more efficient when the long- term average inflation rate becomes more stable and short-term volatility decreases.

Keywords: Interest rate; Inflation uncertainty; IVAR model (search for similar items in EconPapers)
JEL-codes: C32 E31 E52 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN ... ew/2015/Volume+15-1/ (application/pdf)

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:tcb:cebare:v:15:y:2015:i:1:p:65-93

Access Statistics for this article

More articles in Central Bank Review from Research and Monetary Policy Department, Central Bank of the Republic of Turkey Contact information at EDIRC.
Bibliographic data for series maintained by () and () and () and ().