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Farkli Belirsizlik Duzeylerinde Faiz Oraninin Makroekonomik Degiskenlere Etkileri : Turkiye Uzerine Etkilesimli Vektor Otoregresif Modeli Uygulamasi

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  • Afsin Sahin
  • Volkan Ulke

Abstract

In this paper, the effectiveness of tight monetary policy on the macroeconomic variables has been analyzed by applying an interactive autoregressive model under different inflation uncertainty levels using the monthly Turkish data spanning 1991: 01 – 2014: 01. Empirical results indicate that an increase in the interest rate decreases the exchange rate, price level and income level. In addition, when we apply the low inflation uncertainty as an interaction term, it is observed that the effectiveness of an increase in the interest rate on the macroeconomic variables becomes more obvious. As a result, it is shown that the tight monetary policy is more efficient when the long- term average inflation rate becomes more stable and short-term volatility decreases.

Suggested Citation

  • Afsin Sahin & Volkan Ulke, 2015. "Farkli Belirsizlik Duzeylerinde Faiz Oraninin Makroekonomik Degiskenlere Etkileri : Turkiye Uzerine Etkilesimli Vektor Otoregresif Modeli Uygulamasi," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 15(1), pages 65-93.
    • Handle: RePEc:tcb:cebare:v:15:y:2015:i:1:p:65-93
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    More about this item

    Keywords

    Interest rate; Inflation uncertainty; IVAR model;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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