Browsing by Subject "Identification through heteroscedasticity"
Now showing 1 - 2 of 2
Results Per Page
Sort Options
Item Open Access Measuring the impact of monetary policy on asset prices in Turkey(2012) Duran, M.; Özcan G.; Özlü P.; Ünalmiş, D.Little is known about the impact of monetary policy on asset prices in emerging markets. This study applies the heteroscedasticity-based GMM for financial markets in Turkey. The results suggest that event study estimates are biased for some asset returns. © 2011 Elsevier B.V.Item Open Access Monetary policy responses to the exchange rate: Empirical evidence from the ECB(Elsevier, 2014) Demir, İ.The exchange rate is an important part of the transmission mechanism in the determination of monetary policy because movements in the exchange rate have significant effect on the macroeconomy. It can be difficult to measure the reaction of monetary policy to the movements of the exchange rate, due to the simultaneous response of monetary policy to the exchange rate and the possibility that both variables respond to several other variables. This study addresses these problems by using an identification method based on the heteroscedasticity in the high-frequency data. The results in this paper suggest that the ECB systematically responds to exchange rate movements but that quantitative effects are small. Such a significant but small reaction coefficient seems consistent with the hypothesis that the central banks do not target the fluctuations in the exchange rate but consider them only to the extent they impact on the expected inflation and output path. © 2014 Elsevier B.V.