The Time - Varying Natural Rate of Interest and Its Fundamental Determinants: Time Series Evidence from Turkey
Yükleniyor...
Tarih
2016
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
In this study, by estimating the natural rate of interest, its relationship with key macroeconomic variables is analyzed using the time series data obtained from Turkey. As a first step, together with the natural rate of interest, the potential levels of output, prices and foreign exchange rate are estimated by using the Kalman Filter algorithm and then the related gap levels of each variable representing the deviations from their potentials are determined. As a second step of the study, theeffects of output, price and exchange rate gaps on the interest rate gap are analyzed by using cointegration and error correction methodologies and the causality relationship among variables are examined. The main conclusion of the current study is that there is significant causality relationship between the interest rate gap, output, price and exchange rate gaps.
Açıklama
Anahtar Kelimeler
Natural Rate of Interest, Kalman Filter, Error Correction Model
Kaynak
Business and Economic Research, Macrothink Institute
WoS Q Değeri
Scopus Q Değeri
Cilt
6
Sayı
2
