The Effects of Monetary Policy Shocks: An Evidence From Asymmetric Impulse Response Functions

The purpose of this study is to examine whether monetary policy shocks have asymmetric effects on production, stock market, exchange rates and inflation rates over the period from 1990:01- 2013:08 for Turkey. In this context, we use asymmetric impact response functions which was developed by Hatemi-J (2014) and based on Granger and Yoo (2002)’s study. According to obtained results, the positive shocks to interest rate (contractionary monetary policy) effect exchange rates positively and have no significant effect on production, inflation rates and stock prices. In the case of negative shocks (expansionary monetary policy) case; while real output increases, shocks to interest rate have negative effect on inflation rates, exchange rates and stock prices. According to empirical results, monetary policy shocks in Turkey when separated into positive and negative components, effects on real production and other macroeconomic variables are different. However, contrary to expectations, when contractionary monetary policy does not affect production, expansionary monetary policy affects to production positively.