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International Journal of Economic Perspectives, vol.11, no.3, pp.2059-2071, 2017 (Scopus)
This study examines the response of the asset prices in Turkey such as stock market returns, exchange rates and
domestic interest rate to the monetary policy changes of the Federal Reserve (Fed) and the European Central Bank
(ECB) for the pre- and post-global financial crisis by employing event-study approach and standard instrument
variable approach proposed by Rigobon and Sack (2004). The time line of the study spanning between 2004 and
2013 is separated into two parts; pre-global financial crisis period (January 2004 – September 2008) and the postglobal
financial crisis period (November 2008 – December 2013) by considering the collapse of Lehman Brothers
in September 2008 which is the key event of the global financial crisis. The monetary policy measures for the precrisis
period are based on the short-term interest rates. On the other hand, the monetary policy measures for the
post-crisis period are based on longer-term interest rates, as the Fed and ECB had maintained the policy rates at
zero lower bound and implemented intensive unconventional monetary policies in the post-crisis period. The
findings suggest that the most of the asset prices in Turkey give significant responses to the monetary policy
changes of the Fed and the ECB in the post-crisis period, whereas the asset prices in Turkey do not respond
significantly to the monetary policy changes of the Fed and ECB in the pre-crisis period in general.