The Asymmetric Effects of Exchange Rate Shocks on Monetary Policy: The Case of Turkey

AKÇAĞLAYAN A., Gemicioglu S.

MALIYE DERGISI, sa.178, ss.1-18, 2020 (ESCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Basım Tarihi: 2020
  • Dergi Adı: MALIYE DERGISI
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), TR DİZİN (ULAKBİM)
  • Sayfa Sayıları: ss.1-18
  • Anahtar Kelimeler: Augmented Taylor Rule, NARDL, CBRT, Inflation Targeting, CENTRAL BANK, RULES, INFLATION, RESPOND, US
  • Ankara Üniversitesi Adresli: Evet

Özet

The aim of this study is to investigate the asymmetric effects of exchange rate shocks on the monetary policy in Turkey for the period between 2002:01-2019:10. For this purpose the forward and backward looking Taylor rule that are augmented by exchange rate are estimated by the nonlinear autoregressive distributed lag models. The empirical findings support that the Taylor rule augmented with exchange rate is a better representation for the interest rate reaction function of Central Bank of the Republic of Turkey. The monetary policy reacts to the appreciation and depreciation of exchange rate by decreasing the interest rate in each cases and the sensitivity of policy rate to exchange rate changes is quite similar.