A nonlinear analysis of monetary policy with dominance indices in turkey: MS-VAR approach
Küçük Resim Yok
Tarih
2017
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Institute for Economic Forecasting
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
The study focuses on analyzing the policies followed in Turkey based on inflation targeting with an application of interest rate corridor policy in which the spread between the two policy rates, namely, the borrowing and lending rates. To overcome the difficulty of two different policy rates, two indices, the PDI and the MDI are utilized to capture the response of the monetary authority within a nonlinear Taylor rule context. The empirical findings for the Turkish economy with MS-VAR and MS-Granger causality analyses suggest that while the policy interest rates are determined in the spirit of the Taylor rule, the monetary policy involuntarily affirms inflation after the application of the policy, a finding that is consistent with the FTPL theory. As a result, as the central bank tries to establish price stability and financial stability with two policy interest rates, accepting higher inflation rates could be unavoidable. The results also are in favor of bi-directional nonlinear causality which led to important policy implications. © 2017, Institute for Economic Forecasting. All rights reserved.
Açıklama
Anahtar Kelimeler
Granger causality, Inflation targeting, Markov-switching, Nonlinear econometrics, Taylor rule
Kaynak
Romanian Journal of Economic Forecasting
WoS Q Değeri
Scopus Q Değeri
Q3
Cilt
20
Sayı
4
