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Interest Rates, Exchange Rates and Macroeconomic Performance

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  • Erdoğan, Seyfettin
  • Karacan, Rıdvan
  • Alpaslan, Barış
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    Abstract

    In recent years, there has been a renewed interest in the fact that a change in exchange rates has an impact on main economic indicators and therefore on macroeconomic performance. The aim of this paper is to study the implications of the relationship between exchange rates and changes in short-term interest rates on macroeconomic performance in the Turkish economy. The results of this study show that monetary policy shocks may affect financial sector and real sector through exchange rates.

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    File URL: http://mpra.ub.uni-muenchen.de/50838/
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    Bibliographic Info

    Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 50838.

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    Date of creation: 13 Oct 2013
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    Handle: RePEc:pra:mprapa:50838

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    Keywords: Interest Rate; Exchange Rate; VAR Analysis;

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    1. Kim, Jung-Kwan & Ratti, Ronald A., 2006. "Economic activity, foreign exchange rate, and the interest rate during the Asian crisis," Journal of Policy Modeling, Elsevier, Elsevier, vol. 28(4), pages 387-402, May.
    2. 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.
    3. Michael R. Wickens & Roberto Motto, 2001. "Estimating shocks and impulse response functions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 16(3), pages 371-387.
    4. Guglielmo Maria Caporale & Andrea Cipollini & Panicos Demetriades, 2003. "Monetary Policy and the Exchange Rate During the Asian Crisis: Identification Through Heteroscedasticity," CEIS Research Paper 23, Tor Vergata University, CEIS.
    5. Baig, Taimur & Goldfajn, Ilan, 2002. "Monetary Policy in the Aftermath of Currency Crises: The Case of Asia," Review of International Economics, Wiley Blackwell, vol. 10(1), pages 92-112, February.
    6. Zettelmeyer, Jeromin, 2004. "The impact of monetary policy on the exchange rate: evidence from three small open economies," Journal of Monetary Economics, Elsevier, Elsevier, vol. 51(3), pages 635-652, April.
    7. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, Econometric Society, vol. 49(4), pages 1057-72, June.
    8. Dekle, Robert & Hsiao, Cheng & Wang, Siyan, 2001. " Do High Interest Rates Appreciate Exchange Rates during Crisis? The Korean Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 63(3), pages 359-80, July.
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