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dc.contributor.advisorGürkaynak, Refet S.
dc.contributor.authorDemir, İshak 
dc.date.accessioned2016-01-08T18:15:23Z
dc.date.available2016-01-08T18:15:23Z
dc.date.issued2011
dc.identifier.urihttp://hdl.handle.net/11693/15236
dc.descriptionAnkara : The Department of Economics, İhsan Doğramacı Bilkent University, 2011.en_US
dc.descriptionThesis (Master's) -- Bilkent University, 2011.en_US
dc.descriptionIncludes bibliographical references leaves 24-25.en_US
dc.description.abstractThe exchange rate is an important part of transmission mechanism in the determination of monetary policy because movements in the exchange rate has signiÖcant e§ect on the macroeconomy. Measuring the reaction of monetary policy to the movements in exchange rate has some di¢ culties due to the simultaneous response of monetary policy on the exchange rate and the possibility that both variables respond several other variables. This study will use an identiÖcation method based on the heteroscedasticity in the high-frequency data. In particular, shifts in the importance of exchange rate relative to monetary policy shocks, and the estimated changes in the covariance between the shocks that result, allow us to measure the reaction of interest rates to changes in exchange rates. This study comes up with unbiased estimates with heteroscedasticity based identiÖcation approach and results of this paper suggest that ECB systematically respond to the exchange rate movements but that quantitative e§ects are small. The empirical results indicate that a 1 point rise (fall) in the exchange rate tends to decrease (increase) the three-month interest rate by around 20 basis points. Small and negative reaction coe¢ cient implies that ECB may respond to the movements in exchange rate only to the extent warranted by their impact on the macroeconomy, since it a§ects the expected ináation and future output path.en_US
dc.description.statementofresponsibilityDemir, İshaken_US
dc.format.extentx, 27 leavesen_US
dc.language.isoEnglishen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectMonetary Policyen_US
dc.subjectExchange Ratesen_US
dc.subjectIdentiÖcation through Heteroscedasticityen_US
dc.subjectEuropean Central Banken_US
dc.subject.lccHG3851 .D46 2011en_US
dc.subject.lcshForeign exchange rates--Mathematical models.en_US
dc.subject.lcshMonetary policy.en_US
dc.subject.lcshExchange rates.en_US
dc.subject.lcshInternational monetary system.en_US
dc.subject.lcshBanks and banking, Central--European Union countries.en_US
dc.titleECB policy response to the Euroen_US
dc.typeThesisen_US
dc.departmentDepartment of Economicsen_US
dc.publisherBilkent Universityen_US
dc.description.degreeM.S.en_US


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