Measuring the impact of monetary policy on asset prices in Turkey

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Measuring the impact of monetary policy on asset prices in Turkey.pdf (188.19 KB)

Date

2012

Authors

Duran, M.
Özcan G.
Özlü P.
Ünalmiş, D.

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Abstract

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.

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Economics Letters

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Keywords

Asset prices, Emerging market, Identification through heteroscedasticity, Monetary policy

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http://hdl.handle.net/11693/21649

Published Version (Please cite this version)

http://dx.doi.org/10.1016/j.econlet.2011.08.024

Collections

Scholarly Publications - Economics

Language

English

Type

Article