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.
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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
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