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Is There a Link Between Monetary Policy and Risk Perception in Eastern European Countries Implementing Inflation Targeting Regime?

Author

Listed:
  • Aydan Kansu

    (Istanbul University, Faculty of Economics, Department of Economics, Istanbul, Turkey)

  • Nurtac Yildirim

    (Istanbul University, Faculty of Economics, Department of Economics, Istanbul, Turkey)

  • Oguzhan Ozcelebi

    (Istanbul University, Faculty of Economics, Department of Economics, Istanbul, Turkey)

Abstract

Following the recent financial crisis of August 2007 in US, economists and policy makers hold the view that monetary policy may have an effect on real economic activity through risk taking channel' which indicates the risk behavior of economic agents and the linkages between monetary policy and perception of risk. In this study, we examine whether changes in monetary policy stance influence the risk perceptions and generates any impact on the real side of the economy in Czech Republic, Poland, Russian Federation and Turkey implementing inflation targeting. In the context of a SVAR model, we find that monetary policy does not affect risk perception reflected by stock price variability and any attempt by central banks to stimulate real economic activity through monetary policy also appears to be ineffective in these countries.

Suggested Citation

  • Aydan Kansu & Nurtac Yildirim & Oguzhan Ozcelebi, 2013. "Is There a Link Between Monetary Policy and Risk Perception in Eastern European Countries Implementing Inflation Targeting Regime?," International Journal of Economics and Financial Issues, Econjournals, vol. 3(2), pages 476-485.
    • Handle: RePEc:eco:journ1:2013-02-19
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    References listed on IDEAS

    as
    1. Delis, Manthos D. & Kouretas, Georgios P., 2011. "Interest rates and bank risk-taking," Journal of Banking & Finance, Elsevier, vol. 35(4), pages 840-855, April.
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    More about this item

    Keywords

    : Monetary policy; Interest Rates; Stock Markets; Real Economic Activity; Risk perception; SVAR model;
    All these keywords.

    JEL classification:

    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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