Possible effects of domestic and foreign factors on monetary policy implementation in Turkey: a DSGE-VAR approach

Figures & data

Table 1. Major economic indicators of Turkey.

Years	GDP Growth (%)	Annual consumer price inflation (%)	PSBR/GDP (%)	Current Account Deficit/GDP (%)
1999	−3.4	64.9	12	−0.4
2000	6.8	54.9	9	−3.7
2001	−5.7	54.4	12	2.0
2002	6.2	45.0	10	−0.3
2003	5.3	25.3	7	−2.5
2004	9.4	10.6	4	−3.6
2005	8.4	10.1	0	−4.4
2006	6.9	9.6	−2	−6.0
2007	4.7	8.8	0	−5.8
2008	0.7	10.4	2	−5.4
2009	−4.8	6.3	5	−1.9
2010	9.2	8.6	2	−6.1
2011	8.8	6.5	0	−9.6
2012	2.1	8.9	1	−6.2
2013	4.0	7.5	1	−7.9

Source: CBRT and Federal Reserve Bank of St. Louis databases. Author calculation.

Figure 1. Original response of (r_t) to ɛ_z,t.

Source: Authors’ calculation.

Figure 2. Original response of (r_t) to .

Source: Authors’ calculation.

Figure 3. Original response of (r_t) to .

Source: Authors’ calculation.

Figure 4. Original response of (r_t) to ɛ_q,t.

Source: Authors’ calculation.

Table 2. Forecast error variance decomposition results of r_t (models 1 and 2).

		Shocks
Forecast horizon		ɛr,t	ɛz,t			ɛq,t
1	Model 1	0.61	0.34	0.03	0.01	0.01
	Model 2	0.57	0.00	0.33	0.09	0.01
5	Model 1	0.55	0.35	0.06	0.02	0.02
	Model 2	0.18	0.02	0.66	0.14	0.00
10	Model 1	0.50	0.30	0.10	0.05	0.05
	Model 2	0.13	0.00	0.76	0.11	0.00
15	Model 1	0.47	0.29	0.12	0.05	0.07
	Model 2	0.13	0.00	0.77	0.10	0.00
20	Model 1	0.44	0.23	0.18	0.07	0.08
	Model 2	0.28	0.06	0.60	0.03	0.03
25	Model 1	0.42	0.16	0.22	0.10	0.10
	Model 2	0.09	0.00	0.82	0.09	0.00
30	Model 1	0.39	0.12	0.24	0.13	0.12
	Model 2	0.09	0.00	0.82	0.09	0.00
35	Model 1	0.37	0.08	0.25	0.16	0.14
	Model 2	0.09	0.00	0.82	0.09	0.00
40	Model 1	0.33	0.05	0.28	0.19	0.15
	Model 2	0.09	0.00	0.82	0.09	0.00

Source: Author calculation.