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Measuring the impacts of monetary policy in Turkey: an extended structural vector autoregressive model with structural breaks

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  • Umit Bulut

    (Kirsehir Ahi Evran University)

Abstract

The goal of this paper is to measure the impacts of monetary policy shocks in Turkey using monthly data spanning the period 2011:M01–2021:M12. To that end, the paper extends the structural vector autoregressive (SVAR) methodology with structural breaks. The findings show that a positive monetary policy shock, namely an increase in interest rates, results in a decrease in consumer prices and the exchange rate. The findings also exhibit that a positive shock in the exchange rate, namely the depreciation of the TRY against foreign currencies, increases interest rates and consumer prices. The implications of these findings in terms of monetary policy in Turkey are discussed in the paper.

Suggested Citation

  • Umit Bulut, 2023. "Measuring the impacts of monetary policy in Turkey: an extended structural vector autoregressive model with structural breaks," International Journal of Economic Policy Studies, Springer, vol. 17(1), pages 117-132, February.
    • Handle: RePEc:spr:ijoeps:v:17:y:2023:i:1:d:10.1007_s42495-022-00095-4
    DOI: 10.1007/s42495-022-00095-4
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    More about this item

    Keywords

    Monetary policy; The Central Bank of the Republic of Turkey; Structural VAR analysis; Structural breaks; Control horizon; Exchange rate pass-through;
    All these keywords.

    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; State Space Models
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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