Essays on macroeconomics
Author
Taş, Mustafa Anıl
Advisor
Gürkaynak, Refet Soykan
Date
2018-09Publisher
Bilkent University
Language
English
Type
ThesisItem Usage Stats
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Abstract
This dissertation consists of three essays on macroeconomics. The first essay
models the term structure of interest rates in an international framework from
a macro-finance perspective. Other essays focus on the Turkish economy. The
second essay measures the potential growth rate of the Turkish economy. Finally,
the third essay examines the stance of monetary policy in Turkey in the post-2001
period.
In the first chapter, I develop a two-country ane
term structure model that
accounts for the interactions between the macroeconomic and financial variables
of each country. The model features a structural preference side and reduced form
macroeconomic dynamics. The economies are connected through covered interest
parity. Using this framework, I provide an empirical application of the model
using data from the United States and the United Kingdom. I quantify the extent
to which economic dynamics in one country explain the other’s nominal term
structure. I find that the variation in the bond yields in each country is explained
mostly by domestic factors. The cross-country effects are more prominent in
pricing of the U.S. bonds.
In the second chapter, I estimate the potential growth rate of the Turkish
economy using a bivariate filter. I define the potential growth as the output
growth rate at which selected macroeconomic imbalance indicators do not diverge
from their targets. This definition of the potential growth implies results that are
substantially different than those suggested by the Hodrick-Prescott filter. I find
that these imbalance indicators would not have deteriorated, had Turkey grown
at much lower rates particularly after the Great Recession. I also find that for
the last five years, Turkey’s potential growth rate is 3 percentage points below
the trend growth rate on average. Finally, the results of this study are consistent
with the growth target published in the recently announced economic plan of
Turkey.
The third chapter is a joint work with Refet Gürkaynak, Zeynep Kantur and
Se¸cil Yıldırım-Karaman. In this chapter, we present an accessible narrative of
the Turkish economy since its great 2001 crisis. We broadly survey economic
developments and pay particular attention to monetary policy. The data suggests
that the Central Bank of Turkey was a strong inflation targeter early in this period
but began to pay less attention to inflation after 2009. Loss of the strong nominal
anchor is visible in the break we estimate in Taylor-type rules as well as in asset
prices. We also argue that recent discrete jumps in Turkish asset prices, especially
the exchange value of the lira, are due more to domestic factors. In the post-2009
period the Central Bank was able to stabilize expectations and asset prices when
it chose to do so, but this was the exception rather than the rule.