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The Macroeconomic Effects of Monetary Policy and Financial Crisis

Journal Name:

  • Çankaya University Journal of Humanities and Social Sciences

Publication Year:

  • 2010

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Abstract (2. Language): 
Vector autoregressive models have been widely used in recent years to analyze the effects of monetary policy shocks. Focusing on the US postwar data, we incorporate new measures of financial and monetary policy shocks in V A R systems to test whether both perturbations have real effects on output and on the economy as a whole. We find econometric evidences that these frictions are exogenous. The exogenous nature and real effects on the economy of shocks to monetary policy and stock market crashes shed new light on the debate relates to the role of monetary policy in the aftermath of financial crisis, and then the eventual relationship between optimal monetary policy and financial stability.
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Abstract (Original Language): 
Vektör otoregresif (VAR) modeller son yıllarda para politikası şoklarının etkilerini incelemek için yaygın bir şekilde kullanılmıştır. Makalede İkinci Dünya Savaşı sonrası Amerika Birleşik Devletleri'nin verilerine odaklanarak, finans ve para politikası şoklarını VAR sistemlerindeki yeni ölçümlerine yer veriyor ve her iki düzensizliğin çıktı ve ekonominin tümü üzerinde reel etkileri olup olmadığını test ediyoruz. Bu sürtüşmelerin dışsal olduğunu gösteren ekonometrik kanıtlar buluyoruz. Para politikası şoklarının ve borsadaki büyük düşüşlerin dışsal doğası ve ekonomi üzerindeki reel etkileri, finansal kriz sonrası para politikasının rolüne dair tartışmalara ve optimal para politikası ile finansal istikrar arasındaki ilişkiye yeni bir açıdan yaklaşmamızı sağlıyor.
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REFERENCES

References: 

cover the period 1960:01 to 2000:12. The new measure of monetary shock is monthly and covers the period 1969:01 to 1996:12 (retrieved from Romer and Romer, "A New Measure of Monetary Shocks: Derivation and Implications").
63. Frederic S. Mishkin and Eugene N . White, "U.S. Stock Market Crashes and Their Aftermath."
64. Christina D. Romer and David H. Romer, "A New Measure of Monetary Shocks"; and, Frederic S.
Mishkin and Eugene N . White, "U.S. Stock Market Crashes and Their Aftermath."
65. Eric M . Leeper, "Narrative and VAR Approaches to Monetary Policy."
THE MACROECONOMIC EFFECTS OF MONETARY POLICY AND FINANCIAL CRISIS
35
To avoid the complications introduced by the seasonal adjustment methods, the data we use here are in their non seasonally adjusted forms and we include monthly seaso¬nal dummy in our VARs.
The industrial production data, used as output series (Y), are from the Board of Go¬vernors Web site (series B50001).
Consumer price index, all urban consumers are used as our price (P), from the Bu¬reau of Labor Statistics Web site (series CUUR0000SA0).
The three-month Treasury bill rate used as short term interest rate (R3), quoted on discount basis, secondary market, average of business day, from Federal Reserve Board (Bank of St-Louis Web site), (series tbsm3m).
Ten-year U.S Treasury bond yield used as long term interest rate (R10), constant maturity, average of business day figure, from Federal Reserve Board (Bank of St-Lou-is Web site), (series tcm10y).
For Total reserves (TR), we use Board of Governors Monetary Base, Not Adjusted for Changes in Reserve Requirements, from Board of Governors of the Federal Reserve
System (series BOGUMBNS).
Producer Price Index-Commodities, crude materials is used as commodity prices (PCM), from the Bureau of Labor Statistics Web site (series WPUSOP1000).

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