000			02860 a2200421 4500
999			_c65139 _d34776
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003			TR-AnTOB
005			20240923154757.0
008			121003s2006 tu 000 0
040			_aMETU _dTR-AnTOB _cTR-AnTOB
041	0		_aeng
099			_aTEZ ODTU IST YL'06 OGU
100	1		_aÖğünç, Fethi _937100
245	1	0	_aEstimating the neutral real interest rate for Turkey by using an unobserved componenets model / _cFethi Öğünç, supervisor Assoc. Prof. Dr. İnciBatmaz.
246			_aGözlenemeyen bileşenler modeli ile nötr reel faiz oranınınTürkiye için tahminlenmesi.
260			_aAnkara; _b, _c2006.
300			_axi, 85 p.; _c29 cm
336			_2rdacontent _atext _btxt
337			_2rdamedia _aunmediated _bn
338			_2rdacarrier _avolume _bnc
500			_aKeywords : Kalman filter, Random walk model, State space models, Output gap, Real interest rate gap.
502			_aThesis (M.S.) -- Middle East Technical University, 2006.
504			_aIncludes bibliographical references.
520			_aIn 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.
538			_aSystem requirements: World Wide Web.
650	0	0	_932546 _aTezler, Akademik
650	0	0	_aDissertations, Academic _932543
653			_aStatistics.
653			_aStatistics.
700	1		_aBatmaz, İnci _937101
710	2	2	_aOrta Doğu Teknik Üniversitesi (Ankara, Turkey). _bİstatistik Bölümü _937102
740			_aE-thesis. M.S. Statistics.
856			_uhttp://etd.lib.metu.edu.tr/upload/12607426/index.pdf _3Access to full text
901			_aTZ00014
902			_aSA
942			_cTEZ _2z