An interest-rate-spread-based measure of Turkish monetary policy
APPLIED ECONOMICS, cilt.46, sa.15, ss.1804-1813, 2014 (SSCI, Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 46 Sayı: 15
- Basım Tarihi: 2014
- Doi Numarası: 10.1080/00036846.2014.884703
- Dergi Adı: APPLIED ECONOMICS
- Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
- Sayfa Sayıları: ss.1804-1813
- Açık Arşiv Koleksiyonu: AVESİS Açık Erişim Koleksiyonu
- Ankara Yıldırım Beyazıt Üniversitesi Adresli: Evet
Özet
A coherent method to measure the effectiveness of a monetary policy improves the monetary authority's management capacity and renders the possibility of applying sound policies prior to and during a crisis. The trend in employing complicated and ambiguity-bearing unconventional monetary tools in the aftermath of the 2008 crisis has increased the value of such a method. The aim of this article is to introduce a coherent and consistent monetary policy evaluation method for Turkey. Accordingly, we suggest that innovations in the spread between overnight interest rates and Treasury auction interest rates are informative for exchange rate, output, and prices. Empirical evidence for this identification reveals that positive innovation in spread (implying a tight monetary policy measure) decreases output temporarily, permanently decreases prices, and appreciates local currency. This result is also robust to alternative specifications.