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The Interest Rate Channel in Turkey: An Investigation with Kalman Filter Approach

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  • Taha Bahadir Sarac

    (Department of Economics,Faculty of Economics and Administrative Sciences, Nigde University, Turkey)

  • OkYAY Ucan

    (Department of Economics,Faculty of Economics and Administrative Sciences, Nigde University, Turkey)

Abstract

The monetary authority affects the aggregate demand and investment expenditure via controlling short run interest rates. It is important to satisfy the price stability together with working interest rate channel. This study aims to investigate the validity of interest rate channel in Turkey since the inflation targeting period starting with the year 2002. The sample period covers quarterly data from 1990:1 to 2011:3. It is stated that after the 2002 efficiency of interest rate channel increases.

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Bibliographic Info

Article provided by Econjournals in its journal International Journal of Economics and Financial Issues.

Volume (Year): 3 (2013)
Issue (Month): 4 ()
Pages: 874 - 884

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Handle: RePEc:eco:journ1:2013-04-9

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Related research

Keywords: Kalman Filter; Markov Switching; Monetary Policy; Turkey;

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References

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  1. Paul Butzen & Catherine Fuss & Philip Vermeulen, 2001. "The interest rate and credit channels in Belgium: an investigation with micro-level firm data," Working Paper Research, National Bank of Belgium 18, National Bank of Belgium.
  2. Apostoaie Constantin Marius & Roman Angela, 2010. "The Particularities Of The Monetary Policy Transmission Mechanism In Romania," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 658-664, December.
  3. Stephanos Papadamou & Georgios Oikonomou, 2007. "The Monetary Transmission Mechanism: Evidence from Eight Economies in Transition," International Economic Journal, Taylor & Francis Journals, Taylor & Francis Journals, vol. 21(4), pages 559-576.
  4. Milton Friedman & Anna J. Schwartz, 1963. "A Monetary History of the United States, 1867-1960," NBER Books, National Bureau of Economic Research, Inc, National Bureau of Economic Research, Inc, number frie63-1.
  5. Claus, Iris, 2011. "Inside the black box: How important is the credit channel relative to the interest and exchange rate channels?," Economic Modelling, Elsevier, Elsevier, vol. 28(1-2), pages 1-12, January.
  6. Goldfeld, Stephen M. & Quandt, Richard E., 1973. "A Markov model for switching regressions," Journal of Econometrics, Elsevier, Elsevier, vol. 1(1), pages 3-15, March.
  7. Abdulnasser Hatemi-J & Manuchehr Irandoust, 2008. "The Fisher effect: a Kalman filter approach to detecting structural change," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 15(8), pages 619-624.
  8. Markus Demary, 2010. "The interplay between output, inflation, interest rates and house prices: international evidence," Journal of Property Research, Taylor & Francis Journals, Taylor & Francis Journals, vol. 27(1), pages 1-17, April.
  9. Peersman, Gert & Smets, Frank, 2001. "The monetary transmission mechanism in the euro area: more evidence from VAR analysis," Working Paper Series, European Central Bank 0091, European Central Bank.
  10. Sanchita Mukherjee & Rina Bhattacharya, 2011. "Inflation Targeting and Monetary Policy Transmission Mechanisms in Emerging Market Economies," IMF Working Papers, International Monetary Fund 11/229, International Monetary Fund.
  11. Frederic S. Mishkin, 1995. "Symposium on the Monetary Transmission Mechanism," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 9(4), pages 3-10, Fall.
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