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      Multiple policy interest rates and economic performance in a multiple monetary-policy-tool environment

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      Author(s)
      Varlik, S.
      Berument, Hakan
      Date
      2017
      Source Title
      International Review of Economics and Finance
      Print ISSN
      1059-0560
      Electronic ISSN
      1873-8036
      Publisher
      Elsevier
      Volume
      52
      Pages
      107 - 126
      Language
      English
      Type
      Article
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      188
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      Abstract
      This paper assesses the individual effects on economic performance of different monetary policy interest rates for a central bank. To measure these effects, we employ an extension of existing Factor-Augmented Vector Autoregressive (FAVAR) models, such that the number of monetary policy variables can be captured with a few unobservable factors, as well as economic state variables with other unobservable factors. The empirical evidence from Turkey suggests that the four interest rates we consider as policy tools for the central bank affect economic state variables in different magnitudes. Thus, selecting different policy tools provides an environment that allows determining the effects of each tool for differentiated economic outcomes. © 2017 Elsevier Inc.
      Keywords
      FAVAR
      Monetary policy
      Multiple monetary policy tools
      Permalink
      http://hdl.handle.net/11693/37372
      Published Version (Please cite this version)
      http://dx.doi.org/10.1016/j.iref.2017.10.004
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