Estimating the neutral real interest rate for Turkey by using an unobserved componenets model / Fethi Öğünç, supervisor Assoc. Prof. Dr. İnciBatmaz.
By: Öğünç, Fethi
Contributor(s): Batmaz, İnci
Language: İngilizce Publisher: Ankara; , 2006Description: xi, 85 p.; 29 cmContent type: text Media type: unmediated Carrier type: volumeOther title: Gözlenemeyen bileşenler modeli ile nötr reel faiz oranınınTürkiye için tahminlenmesiContained works: Middle East Technical University. Department of Statistics. Thesis (Master)Subject(s): Tezler, Akademik | Dissertations, Academic | Statistics | StatisticsOnline resources: Access to full text Dissertation note: Thesis (M.S.) -- Middle East Technical University, 2006. Summary: In this study, neutral real interest rate gap and output gap are estimated jointly under two different multivariateunobserved components models with the motivation to provide empirical measures that can be used to analyze theamount of stimulus that monetary policy is passing on to the economy, and to understand historical macroeconomic developments. In the analyses, Kalman filter technique is applied to a small-scale macroeconomic model of the Turkish economy to estimate the unobserved variables for the period 1989-2005. In addition, two alternative specifications for neutral real interest rate are used in the analyses. The first model uses a random walk model forthe neutral real interest rate, whereas the second one employs more structural specification, which specifically links the neutral real rate with the trend growth rate andthe long-term course of the risk premium. Comparison of the models developed by using various performance criteriaclearly indicates the use of more structural specificationagainst random walk specification. Results suggest that though there is relatively high uncertainty surrounding the neutral real interest rate estimates to use them directly in the policy-making process, estimates appear tobe very useful for ex-post monetary policy evaluations.
| Item type | Current location | Home library | Collection | Call number | Vol info | Copy number | Status | Notes | Date due | Barcode |
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Thesis
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Merkez Kütüphane Tez Koleksiyonu / Thesis Collection | Merkez Kütüphane | Tezler | TEZ ODTU IST YL'06 OGU (Browse shelf) | 1 | 1 | Ödünç Verilemez-Tez / Not For Loan-Thesis | Tez | TZ00014 |
Keywords : Kalman filter, Random walk model, State space models, Output gap, Real interest rate gap.
Thesis (M.S.) -- Middle East Technical University, 2006.
In this study, neutral real interest rate gap and output gap are estimated jointly under two different multivariateunobserved components models with the motivation to provide empirical measures that can be used to analyze theamount of stimulus that monetary policy is passing on to the economy, and to understand historical macroeconomic developments. In the analyses, Kalman filter technique is applied to a small-scale macroeconomic model of the Turkish economy to estimate the unobserved variables for the period 1989-2005. In addition, two alternative specifications for neutral real interest rate are used in the analyses. The first model uses a random walk model forthe neutral real interest rate, whereas the second one employs more structural specification, which specifically links the neutral real rate with the trend growth rate andthe long-term course of the risk premium. Comparison of the models developed by using various performance criteriaclearly indicates the use of more structural specificationagainst random walk specification. Results suggest that though there is relatively high uncertainty surrounding the neutral real interest rate estimates to use them directly in the policy-making process, estimates appear tobe very useful for ex-post monetary policy evaluations.
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