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      Turkish monetary policy and components of aggregate demand: a VAR analysis with sign restrictions model

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      Author
      Berument, Hakan
      Denaux, Z.
      Yalcin, Y.
      Date
      2012
      Source Title
      Applied Economics
      Print ISSN
      0003-6846
      Electronic ISSN
      1466-4283
      Publisher
      Routledge
      Volume
      44
      Issue
      36
      Pages
      4787 - 4798
      Language
      English
      Type
      Article
      Item Usage Stats
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      Abstract
      This article estimates the effects of monetary policy on components of aggregate demand using quarterly data on Turkish economy from 1987-2008 by means of structural Vector Autoregression (VAR) methodology. This study adopts Uhlig's (2005) sign restrictions on the impulse responses of main macroeconomic variables to identify monetary shock. This study finds that expansionary monetary policy stimulates output through consumption and investment in the short-run. However, expansionary monetary policy is ineffective in the long-run. © 2012 Taylor & Francis.
      Keywords
      Agnostic identification
      Monetary policy
      Vector autoregression
      Demand analysis
      Investment
      Macroeconomics
      Model test
      Monetary policy
      Policy approach
      Variance analysis
      Vector autoregression
      Turkey
      Permalink
      http://hdl.handle.net/11693/21246
      Published Version (Please cite this version)
      http://dx.doi.org/10.1080/00036846.2011.564151
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      • Department of Economics 649
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