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Anticipated versus Unanticipated Money in Turkey

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  • Rahmi Yamak

    (Karadeniz Technical University)

  • Yakup Kucukkale

    (Ondokuz Mayis University)

Abstract

This Study investigates the validity of the policy ineffectiveness hypothesis of Rational Expectations-Natural Rate Models that only unanticipated policy changes affect real economic variables by using Turkish data over the period of 1980:I-1995:I. The procedure used to test the hypothesis is the autoregressive system introduced by McGee and Stasiak (1985). The empirical results reported in this paper imply that unanticipated monetary policy appears to play an insignificant role in improving real economic activity, and that anticipated monetary policy exerts a significant expansionary impact upon real economic activity. Such evidence for Turkey strongly rejects the policy ineffectiveness hypothesis of Rational Expectations-Natural Rate Models.

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Bibliographic Info

Paper provided by EconWPA in its series Macroeconomics with number 0211011.

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Length: 10 pages
Date of creation: 18 Nov 2002
Date of revision:
Handle: RePEc:wpa:wuwpma:0211011

Note: Type of Document - Acrobat PDF; prepared on PC; to print on A4; pages: 10 ; figures: included. pdf document submitted via ftp
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Web page: http://128.118.178.162

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Keywords: anticipated unanticipated money growth sur shock;

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  1. Robert J. Barro, 1976. "Unanticipated Money Growth and Unemployment in the United States," Working Papers 234, Queen's University, Department of Economics.
  2. Lucas, Robert E, Jr, 1973. "Some International Evidence on Output-Inflation Tradeoffs," American Economic Review, American Economic Association, vol. 63(3), pages 326-34, June.
  3. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  4. Barro, Robert J., 1978. "Unanticipated Money, Output, and the Price Level in the United States," Scholarly Articles 3450988, Harvard University Department of Economics.
  5. Sargan, John Denis & Bhargava, Alok, 1983. "Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk," Econometrica, Econometric Society, vol. 51(1), pages 153-74, January.
  6. Canarella, Giorgio & Pollard, Stephen K., 1989. "Unanticipated monetary growth, output, and the price level in Latin America: An empirical investigation," Journal of Development Economics, Elsevier, vol. 30(2), pages 345-358, April.
  7. Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche 8633, Universite de Montreal, Departement de sciences economiques.
  8. Mishkin, Frederic S, 1982. "Does Anticipated Aggregate Demand Policy Matter? Further Econometric Results," American Economic Review, American Economic Association, vol. 72(4), pages 788-802, September.
  9. Mishkin, Frederic S, 1982. "Does Anticipated Monetary Policy Matter? An Econometric Investigation," Journal of Political Economy, University of Chicago Press, vol. 90(1), pages 22-51, February.
  10. Phelps, Edmund S & Taylor, John B, 1977. "Stabilizing Powers of Monetary Policy under Rational Expectations," Journal of Political Economy, University of Chicago Press, vol. 85(1), pages 163-90, February.
  11. Wogin, Gillian, 1980. "Unemployment and monetary policy under rational expectations : Some Canadian evidence," Journal of Monetary Economics, Elsevier, vol. 6(1), pages 59-68, January.
  12. Fischer, Stanley, 1977. "Long-Term Contracts, Rational Expectations, and the Optimal Money Supply Rule," Journal of Political Economy, University of Chicago Press, vol. 85(1), pages 191-205, February.
  13. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  14. Robert J. Barro & Mark Rush, 1979. "Unanticipated Money and Economic Activity," NBER Working Papers 0339, National Bureau of Economic Research, Inc.
  15. McGee, Robert T & Stasiak, Richard T, 1985. "Does Anticipated Monetary Policy Matter? Another Look," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 17(1), pages 16-27, February.
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