Para politikasının lira döviz kurlarına etkisinin ölçülmesi

Measuring the impact of monetary policy on the exchange rate is compli-cated due to the simultaneous response of monetary policy to the exchangerate and the possibility that both variables respond to other omitted vari-ables. Ignoring these problems may lead to biased results. Given the shortcom-ings of commonly-used identi…cation techniques, this paper uses an identi…ca-tion method based on the heteroscedasticity in the high-frequency data. Thismethodology which aims to identify the exchange rate response to monetarypolicy is based on the increase in the variance of the policy shock on monetarypolicy committee meeting dates. Identi…cation through heteroscedasticity givesmore accurate estimates and the results of this paper provide a cross-checkfor previous …ndings in the literature. The results suggest that while statisti-cally there exist some bias in previous estimates, qualitatively the conclusiondrawn by the previous literature, that the e¤ect of monetary policy on the liraexchange rates is small, is veri…ed.