Turkish monetary policy and components of aggregate demand: a VAR analysis with sign restrictions model |
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Authors: | M Hakan Berument Yeliz Yalcin |
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Institution: | 1. Department of Economics, Bilkent University, 06800 Ankara, Turkey;2. Department of Econometrics, Gazi University, 06500 Ankara, Turkey |
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Abstract: | This article estimates the effects of monetary policy on components of aggregate demand using quarterly data on Turkish economy from 1987–2008 by means of structural Vector Autoregression (VAR) methodology. This study adopts Uhlig's (2005) sign restrictions on the impulse responses of main macroeconomic variables to identify monetary shock. This study finds that expansionary monetary policy stimulates output through consumption and investment in the short-run. However, expansionary monetary policy is ineffective in the long-run. |
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Keywords: | monetary policy vector autoregression agnostic identification |
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