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

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  • M. Hakan Berument
  • Zulal Denaux
  • Yeliz Yalcin

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.

Suggested Citation

  • M. Hakan Berument & Zulal Denaux & Yeliz Yalcin, 2012. "Turkish monetary policy and components of aggregate demand: a VAR analysis with sign restrictions model," Applied Economics, Taylor & Francis Journals, vol. 44(36), pages 4787-4798, December.
    • Handle: RePEc:taf:applec:v:44:y:2012:i:36:p:4787-4798
    DOI: 10.1080/00036846.2011.564151
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    Cited by:

    1. Emek Karaca & Mustafa Tugan, 2017. "Aggregate Dynamics after a Shock to Monetary Policy in Developing Countries," International Journal of Central Banking, International Journal of Central Banking, vol. 13(1), pages 261-296, February.
    2. James Peery Cover & Eric Olson, 2013. "Using Romer and Romer's new measure of monetary policy shocks to identify the AD and AS shocks," Applied Economics, Taylor & Francis Journals, vol. 45(19), pages 2838-2846, July.

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