Browsing by Subject "Monetary Policy"

Now showing 1 - 9 of 9

Open Access
An analytical assessment about post-great moderation central banking policies
(2012) Kızıltan, Rabia Zeynep
In this thesis, by focusing on the unconventional monetary policy measures, I have analytically assessed post-great moderation central banking policies and documented the heterogeneity in calibration and design of these policies by exposing the experiences of Japan, United States, United Kingdom and Brazil. Moreover, by estimating a structural vector autoregressive (SVAR) model, I have empirically investigated the macroeconomic effects of unconventional monetary policies. Empirical findings of this study suggest that, unconventional monetary policies have lead a temporary increase in GDP and CPI for United States and United Kingdom while its effects are slightly significant for Japan and diametrically insignificant for Brazil.
Open Access
ECB policy response to the Euro
(2011) Demir, İshak
The exchange rate is an important part of transmission mechanism in the determination of monetary policy because movements in the exchange rate has signiÖcant e§ect on the macroeconomy. Measuring the reaction of monetary policy to the movements in exchange rate has some di¢ culties due to the simultaneous response of monetary policy on the exchange rate and the possibility that both variables respond several other variables. This study will use an identiÖcation method based on the heteroscedasticity in the high-frequency data. In particular, shifts in the importance of exchange rate relative to monetary policy shocks, and the estimated changes in the covariance between the shocks that result, allow us to measure the reaction of interest rates to changes in exchange rates. This study comes up with unbiased estimates with heteroscedasticity based identiÖcation approach and results of this paper suggest that ECB systematically respond to the exchange rate movements but that quantitative e§ects are small. The empirical results indicate that a 1 point rise (fall) in the exchange rate tends to decrease (increase) the three-month interest rate by around 20 basis points. Small and negative reaction coe¢ cient implies that ECB may respond to the movements in exchange rate only to the extent warranted by their impact on the macroeconomy, since it a§ects the expected ináation and future output path.
Open Access
Endogenizing banking regulation and supervision : a dynamic equilibrium approach
(2017-08) Karakoyun, Oğuz Kaan
This thesis presents a modi ed dynamic general equilibrium model by introducing a supervisory and regulatory agent (RS) that is responsible for setting the level of bank regulation and supervision quality ( ) in order to ensure the banking sector's long term pro tability. We solve the model to examine the e ects of on the optimizing agents, which are households, rms and banks. The level of bank regulation and supervision quality a ects households, through the fraction of savings that are deposited in the banking system; rms, through the fraction of performing loans that they get from the banks; and banks, through the degree of law enforcement on the banks. Our model yields a unique equilibrium with the expected outcomes; that is to say, bank regulation and supervision quality a ects the steady state levels of capital and output positively; and a ects the steady state rates of deposit and loan interest negatively. We also examine the comparative statics of the steady state level of capital, the steady state rates of deposit and loan interest with respect to the rest of the model parameters.
Open Access
Essays on macroeconomics
(2018-09) Taş, Mustafa Anıl
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.
Open Access
Factors impacting bank net interest margin and the role of monetary policy: evidence from Turkey
(2017-01) Yılmaz, Muhammed Hasan
In this thesis, we study factors affecting net interest margin (NIM) of commercial banks in Turkey. Especially, our results highlight the relation between unconventional monetary policy shocks and bank margins. To this end, first, we conduct an identification analysis about which parameters of asymmetric interest corridor framework are important in explaining variations in NIM. Using industry-level data, we show that there exists a pass through from BIST interbank overnight repo/reverse repo market rate and weighted average cost of funding (WACF) to bank loan and deposit rates. As a result of reducedform Vector Autoregression (VAR) analysis we find the existence of a transmission mechanism from BIST rate and WACF to commercial loan rate, consumer loan rate and deposit rate. Same pass through to loan and deposit rates is also shown in individual bank level with the Panel Vector Autoregression (Panel VAR) analysis in the case of 16 commercial banks in Turkey during the period 2011Q1-2016Q1. After the identification analysis, we examine the relationship between NIM and policy rates through System Generalized Method of Moments techniques by controlling bank specific, industry related and macroeconomic factors. We find that a change in the monetary policy rate has significant and positive impact on NIM. Among bank-specific factors, equity ratio and operating expenses are found to be significantly affecting NIM during the sample period. Our empirical findings also stress the significance of lag values of NIM. Estimations conducted with standardized variables indicate that economic significance of lag values and bank specific variables are larger than that of policy.
Open Access
Measuring the impact of monetary policy on the lira exchange rates
(2010) Özcan, Gülserim
Measuring the impact of monetary policy on the exchange rate is complicated due to the simultaneous response of monetary policy to the exchange rate and the possibility that both variables respond to other omitted variables. Ignoring these problems may lead to biased results. Given the shortcomings of commonly-used identiÖcation techniques, this paper uses an identiÖcation method based on the heteroscedasticity in the high-frequency data. This methodology which aims to identify the exchange rate response to monetary policy is based on the increase in the variance of the policy shock on monetary policy committee meeting dates. IdentiÖcation through heteroscedasticity gives more accurate estimates and the results of this paper provide a cross-check for previous Öndings in the literature. The results suggest that while statistically there exist some bias in previous estimates, qualitatively the conclusion drawn by the previous literature, that the e§ect of monetary policy on the lira exchange rates is small, is veriÖed.
Open Access
Optimizing foreign exchange reserves: Protection against external shocks in Ghana
(Frontiers Media S.A., 2022-11-02) Abdul-Rahaman, Abdul-Rashid; Hongxing, Yao; Alhassan Alolo Akeji, Abdul-Rasheed; Ayamba, Emmanuel Caesar; Bernard Pea-Assounga, Jean Baptiste; Alhassan, Mohammed Kamil
Using Least Square Residual Minimization techniques, this paper develops an optimal reserve model, known as the OPREM model, which is essential in optimizing the costs of reserve holding. The paper also sets-out to test and compare the relative predictions of economic trends of the OPREM model as well as the predictions of alternative models in literature. Establishing the predictive accuracy of economic trends of these models are crucial for the gradual and cost-effective accumulation of reserves. The research concludes that, the decision to optimize the cost of reserves under a stable currency environment is reliant on the gold impact factor and not on inflation or interest rates. We also found on further analysis of the OPREM that the OPREM model is better positioned to eliminate the procyclicality and perverse rush in reserve build-ups experienced in developing and emerging countries by effectively setting the reserve stock against economic trends. The research fixes the optimal reserves around a benchmark of 0.7–1.2 of previous year's optimal value. However, in the absence of past optimal values, a benchmark between 2 and 6 times of average inflows for short-term analysis or analysis with small data observations. However, for long-term analysis or analysis with large data frequency (i.e., exceeding 13 data observations), the reserve stock should be fixed on a benchmark of 2–9 times of the average inflows. Copyright © 2022 Abdul-Rahaman, Hongxing, Alhassan Alolo Akeji, Ayamba, Bernard Pea-Assounga and Alhassan.
Open Access
Two essays on dynamic macroeconomics
(2001) Taşçı, Hakan
First chapter of this research assesses the stability of the money-income relationship for seven OECD countries by using the data from 1960’s to 2000’s. The short run relationships between monetary policy and output have strong evidences. When the sample was split into two sub samples: pre and post 1980, the empirical evidence presented in this research shows that even if the inferences gathered across countries are not always parallel, the inferences gathered from the VAR specification across the samples for each country are mostly parallel. In this article secondly, by using the 1990 input-output table, the inflationary effects of crude oil prices are investigated for Turkey. Under fixed nominal wages, profits, interest and rent earnings, the effect of increasing prices of oil on inflation is limited. However, when wages and the other three factors of income (profit, interest and rent) are adjusted to the general price level that includes the oil price increases, then the inflationary effect of oil prices becomes significant. Hence, indexation could have very severe effects on an economy when oil prices increase.
Open Access
Two essays on macroeconomics
(2003) Doğan, Burak
The empirical evidence suggests that openness decreases the effect of monetary policy on output; however the effect on prices is not statistically significant. In the first chapter of this research these predictions are tested over the open economy of Turkey for quarterly data from 1987:1 to 2001:1. This chapter assesses how the openness affects the effectiveness of monetary policy on output and prices. The purpose of the second chapter is to assess if expansionary and contractionary government spending shocks have an asymmetric effect for Turkish economy. There might be asymmetry for the effect of fiscal policy on economic outcome due to stickiness of prices, perception of changes (permanent versus transitory) and nearness to full employment. This chapter assesses this asymmetry for Turkey by using quarterly data from 1987:I to 2001:I. The empirical evidence reported here reveals that private consumption and investment decrease in the face of expansionary government spending shocks; however, they either do not change or decrease very little under contractionary government spending shocks.