Turkish monetary policy and components of aggregate demand: A VAR analysis with sign restrictions model

Hakan Berument M., Denaux Z., Yalcin Y.

Applied Economics, cilt.44, sa.36, ss.4787-4798, 2012 (SSCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 44 Sayı: 36
  • Basım Tarihi: 2012
  • Doi Numarası: 10.1080/00036846.2011.564151
  • Dergi Adı: Applied Economics
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.4787-4798
  • Anahtar Kelimeler: Agnostic identification, Monetary policy, Vector autoregression
  • Ankara Hacı Bayram Veli Üniversitesi Adresli: Hayır

Özet

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.