MACROPRUDENTIAL POLICIES FOR SMALL OPEN ECONOMIES

Download

thesis_october_2022_final_nihai.pdf

Date

2022-10

Author

Karaşahin, Ramazan

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

146
views

181
downloads

Recent global financial crisis has made it crystal clear that solely price stability is not enough for macroeconomic stability. A new consensus underlining financial stability as a prerequisite for macroeconomic stability emerged. However, there is not agreement neither on the exact definition of financial stability nor on the appropriate tools to reach financial stability. Macroprudential policies are widely employed by policy makers for financial stability purposes following the global crisis, in particular in emerging market economies, despite the scarcity of both theoretical and empirical work on these policies and their efficacy. We contribute to this field by giving a special emphasis to Turkish experience. We document the macroprudential policies applied in Turkey with their policy intentions. We also develop a theoretical small open economy model to study the impacts of macroprudential policy shocks. Our results show that loosen- ing loan-to-value shocks and capital adequacy shocks trigger credit and deposit growth, output, and inflation. Nevertheless, the responses differ with respect to targeted sectors. Our empirical analysis on Turkish data reveal that change in consumer lending spreads increases whereas inflation and industrial production decline after a reserve requirement hike. Similar to theoretical model results, real credit growth improves following an increase in the average loan-to-value cap. Industrial production growth and inflation also rise after a loosening loan- to-value shock.

Subject Keywords

DSGE, VAR, open economy, macroprudential, financial frictions

URI

https://hdl.handle.net/11511/99782

Collections

Graduate School of Social Sciences, Thesis

Suggestions

OpenMETU
Core

Memorandum on a new financial architecture and new regulations Mittnik, Stefan; Nell, Edward; Platen, Eckhart; Semmler, Willi; Chappe, Raphaele (Orta Doğu Teknik Üniversitesi (Ankara, Turkey), 2009-6-1) The financial crisis is global and is deeply rooted in a decade-long misuse of the financial market for rent-seeking. The financial industry has largely abandoned its role as a service industry, supposedly charging reasonable fees for the services of spreading risk and allocating capital and credit. Instead it provides a market for corporate control –mergers and acquisitions– and a casino for betting on or hedging practically any kind of risk –the derivatives market–.
Asset-backed stable numeraire approach for sustainable valuation Aydin, Nadi Serhan; Rainer, Martin (2020-05-01) Interest rates underpin almost every instrument/transaction in conventional financial markets. Valuation of the instruments in relation to interest rates remains meaningful only ifcashcan be attributed a worth of its own (which is generally assumed to accumulate over time). The relevant concepts such as the stochastic short rate and the conventional numeraire (i.e. the money market account) not only become restrictive when one attempts to build more realistic models in quantitative finance, but also - as we...
Monetary policy trilemma, inflation targeting and global financial crisis Gulsen, Eda; Özmen, Erdal (Wiley, 2020-04-01) We empirically investigate the validity of the monetary policy trilemma postulation for emerging market (EME) and advanced (AE) economies under different exchange rate and monetary policy regimes before and after the recent global financial crisis (GFC). Consistent with the dilemma proposition, domestic interest rates are determined by global financial conditions and the FED rate even under floating exchange rate regimes (ERR) in the long-run. The impact of the FED rates is higher in EME than AE and EME are...
RMARS: Robustification of multivariate adaptive regression spline under polyhedral uncertainty Ozmen, Ayse; Weber, Gerhard Wilhelm (Elsevier BV, 2014-03-15) Since, with increased volatility and further uncertainties, financial crises translated a high "noise" within data from financial markets and economies into the related models, recent years' events in the financial world have led to radically untrustworthy representations of the future. Hence, robustification started to attract more attention in finance. The presence of noise and data uncertainty raises critical problems to be dealt with on the theoretical and computational side. For immunizing against para...
Causal relationship between construction investment policy and economic growth in Turkey Ozkan, Filiz; Ozkan, Omer; Gunduz, Murat (Elsevier BV, 2012-02-01) The construction industry in countries experiencing severe economic crisis has vital importance to get out of stagnation because of its direct relations with 200 different sectors. In this study, the relationship between the construction growth data (infrastructure, building and residential (public), building and residential (private) investment) and gross domestic product (GDP) is examined for Turkey. To this end, Engle-Granger cointegration, error correction model (ECM) and Granger causality tests were ap...

Citation Formats

R. Karaşahin, “MACROPRUDENTIAL POLICIES FOR SMALL OPEN ECONOMIES,” Ph.D. - Doctoral Program, Middle East Technical University, 2022.