Construction of the monetary conditions index with TVP-VAR Model: Empirical evidence for Turkish economy

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dc.authorscopusid57200762540
dc.contributor.authorAkdeniz, Coşkun
dc.date.accessioned2023-05-06T17:22:07Z
dc.date.available2023-05-06T17:22:07Z
dc.date.issued2021
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü
dc.description.abstractAs 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.
dc.identifier.doi10.1007/978-3-030-54108-8_9
dc.identifier.endpage228
dc.identifier.isbn9783030541088
dc.identifier.isbn9783030541071
dc.identifier.scopus2-s2.0-85146479367
dc.identifier.startpage215
dc.identifier.urihttps://doi.org/10.1007/978-3-030-54108-8_9
dc.identifier.urihttps://hdl.handle.net/20.500.11776/12034
dc.indekslendigikaynakScopus
dc.institutionauthorAkdeniz, Coşkun
dc.language.isoen
dc.publisherSpringer
dc.relation.ispartofHandbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics
dc.relation.publicationcategoryKitap Bölümü - Uluslararasıen_US
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectMonetary conditions index
dc.subjectTurkish economy
dc.subjectTVP-VAR
dc.titleConstruction of the monetary conditions index with TVP-VAR Model: Empirical evidence for Turkish economy
dc.typeBook Chapter

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