Measuring the impact of monetary policy on asset prices in Turkey |
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| Affiliation: | a Research and Monetary Policy Department, Central Bank of the Republic of Turkey, 06100, Turkeyb Department of Economics, Bilkent University, 06800, Turkey |
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| Abstract: | Little is known about the impact of monetary policy on asset prices in emerging markets. This study applies the heteroscedasticity-based GMM for financial markets in Turkey. The results suggest that event study estimates are biased for some asset returns. |
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| Keywords: | E43 E44 E52 |
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