Korap, Levent (2011): A closer look at the money multipliers for the Turkish economy: Is there a stable relationship? Published in: İstanbul Üniversitesi İktisat Fakültesi Memuası , Vol. 1, No. 61 (2011): pp. 283-299.
Download (374kB) | Preview
This paper examines whether the money multiplier processes in the Turkish economy is stable and can be forecasted. Research results using quarterly frequency data for the 1987Q1 – 2009Q4 investigation period show that the processes which convert the base money supply aggregates into the final monetary aggregates are unstable and tend to decrease the effectiveness of policies pursued by the monetary authorities. Such a result do not attribute credibility to the traditional Monetarist prescriptions for the conduct of the monetary economic policies in the Turkish economy.
|Item Type:||MPRA Paper|
|Original Title:||A closer look at the money multipliers for the Turkish economy: Is there a stable relationship?|
|English Title:||A CLOSER LOOK AT THE MONEY MULTIPLIERS FOR THE TURKISH ECONOMY: IS THERE A STABLE RELATIONSHIP?|
|Keywords:||Money Multipliers ; Turkish Economy ;|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E51 - Money Supply ; Credit ; Money Multipliers
|Depositing User:||Levent Korap|
|Date Deposited:||20 Aug 2012 23:29|
|Last Modified:||14 Oct 2016 10:01|
Begg, D., Fischer, S. and Dornbusch, R. (1994), Economics, Fourth Ed., 1994.
Dickey, D.A. and Fuller, W.A. (1979), “Distribution of the Estimators for Autoregressive Time Series with A Unit Root”, Journal of American Statistical Association, 74/366, 427-431.
Dickey, D.A., Jansen, D.W. and Thornton, D.L. (1991), “A Primer on Cointegration with an Application to Money and Income”, Federal Reserve Bank of St. Louis Review, March/April, 58-78.
Engle, R.F. and Granger, C.W.J. (1987), “Cointegration and Error Correction: Representation, Estimation and Testing”, Econometrica, 55/2, 251-276.
Friedman, M. (1968), “The Role of Monetary Policy”, The American Economic Review, 58/1, 1-17.
Gonzalo, J. (1994), “Five Alternative Methods of Estimating Long - Run Equilibrium Relationships”, Journal of Econometrics, 60, 203-233.
Gökbudak, N. (1995), “Money Multiplier and Monetary Control”, CBRT Research Department Working Paper , No. 9505, October.
Johansen, S. (1995), Likelihood-based Inference in Cointegrated Vector Autoregressive Models, Oxford: Oxford University Press.
Johansen, S. and Juselius, K. (1990), “Maximum Likelihood Estimation and Inference on Cointegration-with applications to the demand for money”, Oxford Bulletin of Economics and Statistics, 52, 169-210.
Keyder, N. (1998), Para, Teori, Politika, Uygulama, Geliştirilmiş 6. Baskı, Ankara: Beta Dağıtım.
MacKinnon, J.G. (1996), “Numerical Distribution Functions for Unit Root and Cointegration Tests”, Journal of Applied Econometrics, 11, 601-618.
MacKinnon, J.G., Haug, A.A. and Michelis, L.(1999), “Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration”, Journal of Applied Econometrics, 14, 563-577.
Osterwald-Lenum, M. (1992), “A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics”, Oxford Bulletin of Economics and Statistics, 54, 461-472.
Paya, M. (1998), Para Teorisi ve Para Politikası, İstanbul: Filiz Kitabevi.
Perron, P. (1989), “The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis”, Econometrica, 57, 1361-1401.
Phillips, P.C.B. and Perron, P. (1988), “Testing for a Unit Root in Time Series Regression”, Biometrika, 75, 335-346.
Şahinbeyoğlu, G. (1995), “The Stability of Money Multiplier: A Test for Cointegration”, CBRT Research Department Working Paper, No: 9603, December.
Zivot, E. and Andrews, D.W.K. (1992), “Further Evidence of Great Crash, the Oil Price Shock and the Unit Root Hypothesis”, Journal of Business and Economic Statistics, 10, 251-270.