Identifying the Liquidity Effects of Monetary Policy Shocks for a Small Open Economy: Turkey

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BERUMENT M. H., Togay S., ŞAHİN A.

OPEN ECONOMIES REVIEW, cilt.22, sa.4, ss.649-667, 2011 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 22 Sayı: 4
  • Basım Tarihi: 2011
  • Doi Numarası: 10.1007/s11079-009-9164-2
  • Dergi Adı: OPEN ECONOMIES REVIEW
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.649-667
  • Anahtar Kelimeler: Liquidity effect, Open economy version of NBR, Small and open economies, VAR models, REAL EXCHANGE-RATE, AGNOSTIC IDENTIFICATION, MONEY, OUTPUT, INCOME, TRANSMISSION, COUNTRIES, PRICES
  • Ankara Hacı Bayram Veli Üniversitesi Adresli: Evet

Özet

This paper proposes a new liquidity measure for a small open economy. The new measure includes the net liquidity provided to the system by a central bank after accounting for the central bank's involvement in the foreign exchange market. Empirical evidence gathered from Turkey suggests that a positive innovation in liquidity increases output temporarily and that its effect on prices, exchange rate and money are permanently higher.