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      Asymmetric effects of monetary policy shocks on economic performance: empirical evidence from Turkey

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      Author(s)
      Ülke, V.
      Berument, Hakan
      Date
      2016
      Source Title
      Applied Economics Letters
      Print ISSN
      1350-4851
      Electronic ISSN
      1466-4291
      Publisher
      Routledge
      Volume
      23
      Issue
      5
      Pages
      353 - 360
      Language
      English
      Type
      Article
      Item Usage Stats
      199
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      295
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      Abstract
      This study investigates the asymmetric effects of monetary policy shocks on the macroeconomic variables of exchange rate, output and inflation for an emerging economy ‒ Turkey ‒ by using monthly data between 1990 and 2014. We employ the innovative nonlinear vector autoregressive model of Kilian and Vigfusson (2011), which allows us to observe the effect of different stances (tight or loose) and different sizes (small or large) of monetary policy actions. Our empirical evidence reveals that tight monetary policy, which, in this case, is captured with a positive shock to interest rate, decreases exchange rate, output and prices, as economic theory suggests. Loose monetary policy, which is captured with a negative shock to interest rate, has the opposite effect on these variables. However, the effects of loose monetary policy are weaker than the effects of tight monetary policy because loose monetary policy shocks are less effective than tight monetary policy shocks. Moreover, as the magnitude of a shock increases, the difference between the effects of tight and loose monetary policy policies also increases. © 2015 Taylor & Francis.
      Keywords
      Asymmetry
      Monetary policy
      Nonlinear VAR models
      Economic analysis
      Empirical analysis
      Exchange rate
      Inflation
      Macroeconomics
      Numerical model
      Turkey
      Permalink
      http://hdl.handle.net/11693/36614
      Published Version (Please cite this version)
      http://dx.doi.org/10.1080/13504851.2015.1073836
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