Monetary policy implications of short-term capital flows in Turkey
Autor: | Tolga Dağlaroğlu, Baki Demirel, Syed F. Mahmud |
---|---|
Jazyk: | angličtina |
Rok vydání: | 2018 |
Předmět: |
Macroeconomics
050208 finance Financial stability Inflation targeting 05 social sciences Geography Planning and Development Monetary policy Development Monetary hegemony Taylor rule Credit channel 0502 economics and business Financial crisis Economics Vector autoregression model 050207 economics Price of stability Emerging markets Short-term capital flows |
Zdroj: | Empirica |
Popis: | The advent of global financial crisis in 2008, unleashed volatile short term capital flows to the emerging markets. This has forced many central banks in the developing world to adopt innovative policy measures to address concerns related to financial instability caused by the volatile nature of capital flows. In 2010 Turkish Central Bank included financial stability in addition to price stability as one of primary goals of its monetary policy. Several macro-prudential measures had been taken and ‘corridor system’ of setting the short-term policy rates had been introduced. In this paper, we have estimated an extended Taylor rule, using error correction model, to examine the impact of global financial factors in impacting the setting up of the policy rate in the pre and post 2010 periods in Turkey. It has been found that in the post-2010 period, global financial factors and monetary policy stance of the core economy, USA, have become major factor(s) in shaping up the monetary policy. Particularly our results of variance decomposition show that global financial indicators such as, VIX and EMBI have taken prominence in the setting of the short-term policy rate. This has not only made the domestic monetary more dependent on external factors but has also made pro-cyclical in nature. © 2017 Springer Science+Business Media, LLC |
Databáze: | OpenAIRE |
Externí odkaz: |