The Interest Rate Channel in Turkey: An Investigation with Kalman Filter Approach
AbstractThe 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Econjournals in its journal International Journal of Economics and Financial Issues.
Volume (Year): 3 (2013)
Issue (Month): 4 ()
Pages: 874 - 884
Contact details of provider:
Web page: http://www.econjournals.com
Kalman Filter; Markov Switching; Monetary Policy; Turkey;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Markus Demary, 2010. "The interplay between output, inflation, interest rates and house prices: international evidence," Journal of Property Research, Taylor & Francis Journals, vol. 27(1), pages 1-17, April.
- Abdulnasser Hatemi-J & Manuchehr Irandoust, 2008. "The Fisher effect: a Kalman filter approach to detecting structural change," Applied Economics Letters, Taylor & Francis Journals, vol. 15(8), pages 619-624.
- Butzen, Paul & Fuss, Catherine & Vermeulen, Philip, 2001.
"The interest rate and credit channels in Belgium: An investigation with micro-level firm data,"
10th International Conference on Panel Data, Berlin, July 5-6, 2002
A3-1, International Conferences on Panel Data.
- Paxil Butzen & Catherine Fuss & Philip Vermeulen, 2002. "The interest rate and crédit channels in Belgium: an investigation with micro-level firm data," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 45(3), pages 5-36.
- 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 18, National Bank of Belgium.
- Butzen, Paul & Fuss, Catherine & Vermeulen, Philip, 2001. "The interest rate and credit channel in Belgium: an investigation with micro-level firm data," Working Paper Series 0107, European Central Bank.
- Claus, Iris, 2011.
"Inside the black box: How important is the credit channel relative to the interest and exchange rate channels?,"
Elsevier, vol. 28(1-2), pages 1-12, January.
- Claus, Iris, 2011. "Inside the black box: How important is the credit channel relative to the interest and exchange rate channels?," Economic Modelling, Elsevier, vol. 28(1), pages 1-12.
- Goldfeld, Stephen M. & Quandt, Richard E., 1973. "A Markov model for switching regressions," Journal of Econometrics, Elsevier, vol. 1(1), pages 3-15, March.
- Peersman, Gert & Smets, Frank, 2001. "The monetary transmission mechanism in the euro area: more evidence from VAR analysis," Working Paper Series 0091, European Central Bank.
- 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, vol. 1(2), pages 658-664, December.
- Frederic S. Mishkin, 1995. "Symposium on the Monetary Transmission Mechanism," Journal of Economic Perspectives, American Economic Association, vol. 9(4), pages 3-10, Fall.
- Milton Friedman & Anna J. Schwartz, 1963. "A Monetary History of the United States, 1867-1960," NBER Books, National Bureau of Economic Research, Inc, number frie63-1, May.
- Stephanos Papadamou & Georgios Oikonomou, 2007. "The Monetary Transmission Mechanism: Evidence from Eight Economies in Transition," International Economic Journal, Taylor & Francis Journals, vol. 21(4), pages 559-576.
- Sanchita Mukherjee & Rina Bhattacharya, 2011. "Inflation Targeting and Monetary Policy Transmission Mechanisms in Emerging Market Economies," IMF Working Papers 11/229, International Monetary Fund.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ilhan Ozturk).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.