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The Interest Rate Channel in Turkey: An Investigation with Kalman Filter Approach

Author

Listed:
  • Taha Bahadir Sarac

    (Department of Economics,Faculty of Economics and Administrative Sciences, Nigde University, Turkey)

  • OkYAY Ucan

    (Department of Economics,Faculty of Economics and Administrative Sciences, Nigde University, Turkey)

Abstract

The 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.

Suggested Citation

  • Taha Bahadir Sarac & OkYAY Ucan, 2013. "The Interest Rate Channel in Turkey: An Investigation with Kalman Filter Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 3(4), pages 874-884.
    • Handle: RePEc:eco:journ1:2013-04-9
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    Cited by:

    1. Coşkun Akdeniz, 2021. "Construction of the Monetary Conditions Index with TVP-VAR Model: Empirical Evidence for Turkish Economy," Springer Books, in: Burcu Adıgüzel Mercangöz (ed.), Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics, edition 1, pages 215-228, Springer.

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    More about this item

    Keywords

    Kalman Filter; Markov Switching; Monetary Policy; Turkey;
    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
    • 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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