Turkish Monetary Policy and Components of Aggregate Demand: A VAR Analysis with Sign Restrictions Model

Posted: 30 Jul 2018

See all articles by Hakan Berument

Hakan Berument

Bilkent University - Department of Economics

Zulal S. Denaux

Valdosta State University - Department of Marketing and Economics

Yeliz Yalcin

Gazi University

Date Written: 2012

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.

Keywords: monetary policy, vector autoregression, agnostic identification

JEL Classification: C32, E52, E20

Suggested Citation

Berument, Hakan and Denaux, Zulal S. and Yalcin, Yeliz, Turkish Monetary Policy and Components of Aggregate Demand: A VAR Analysis with Sign Restrictions Model (2012). Applied Economics, Vol. 44, No. 36, 2012, Available at SSRN: https://ssrn.com/abstract=3210638

Hakan Berument (Contact Author)

Bilkent University - Department of Economics ( email )

06533 Ankara
Turkey

Zulal S. Denaux

Valdosta State University - Department of Marketing and Economics ( email )

1500 N Patterson Street
Valdosta, GA 31698
United States
(229) 219-1217 (Phone)
(229) 245-2248 (Fax)

Yeliz Yalcin

Gazi University ( email )

Teknikokullar Ankara, 06500
Turkey

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