Construction of the monetary conditions index with TVP-VAR Model: Empirical evidence for Turkish economy
Küçük Resim Yok
Tarih
2021
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Springer
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
As an important indicator for the central banks that adopting inflation targeting regime, this paper aims to construct a monetary conditions index (MCI) for Turkey based on the weighted sum approach covering the period of 1986:05-2018:10. As a novelty time-varying parameter vector autoregressive (TVP-VAR) models allowing the change of index weights is used over time. The results suggest that the weights of the index components varied substantially over the analysis period and the constructed index is able to capture the crisis periods accurately. © The Authors 2021. All rights reserved.
Açıklama
Anahtar Kelimeler
Monetary conditions index, Turkish economy, TVP-VAR
Kaynak
Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics
