Turkish monetary policy and components of aggregate demand: a VAR analysis with sign restrictions model
Date
2012
Authors
Berument, Hakan
Denaux, Z.
Yalcin, Y.
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Source Title
Applied Economics
Print ISSN
0003-6846
Electronic ISSN
1466-4283
Publisher
Routledge
Volume
44
Issue
36
Pages
4787 - 4798
Language
English
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Abstract
This article estimates the effects of monetary policy on components of aggregate demand using quarterly data on Turkish economy from 1987-2008 by means of structural Vector Autoregression (VAR) methodology. This study adopts Uhlig's (2005) sign restrictions on the impulse responses of main macroeconomic variables to identify monetary shock. This study finds that expansionary monetary policy stimulates output through consumption and investment in the short-run. However, expansionary monetary policy is ineffective in the long-run. © 2012 Taylor & Francis.
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Keywords
Agnostic identification, Monetary policy, Vector autoregression, Demand analysis, Investment, Macroeconomics, Model test, Monetary policy, Policy approach, Variance analysis, Vector autoregression, Turkey