Browsing by Subject "Monetary policy--Econometric models."

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Open Access
Econometric modelling of the monetary aggregates in Turkey
(1998) Recberoglu, Sevgi
The aim of this thesis is modelling the demand for money in Turkey with cointegration techniques. For this purpose, monetary aggregates of M l, M2, M2y, M3a, M3, and LO are tested with differing variables for the period of 1987-1997. The largest model tries to explain the money demand by means of real income, interest rates on time deposits, interest rates on treasury bills, and inflation variable. Since cointegration requires certain properties on data, in the thesis, first the time series properties of the data set are investigated. Then cointegration and weak exogeneity are tested. Due to the invalidity of weak exogeneity for many of the variables, in the next stage, for each money definition an ECM model is formulated. The results obtained from both cointegration tests investigating the long-run money demand and ECM models examining the temporal causality between reel money stock and the long-run determinants of the money demand strongly suggest the existence of a stationary long-run money demand in Turkey. Furthermore the diagnostic test results of the ECM models show that the money demand functions in Turkey have the parameter constancy property despite the financial reforms effects in the stated period, high and volatile inflation rates, and especially 1994 financial crisis.
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.