The analysis of the monetary transmission mechanism using the FAVAR method in terms of monetarist approach

In this thesis, monetary transmission mechanism channels has been investigated by the VAR (Vector Autoregressive) Modeli and FAVAR (Factor Augmented Vector Autotoregressive) Model econometric methods in terms of Monetarist Approach in Turkey, Mexico and Indonesia. Data sets used are considered in this thesis the period 2002:Q1-2013:Q2 for Turkey, the period 2001:Q1-2013:Q1 for Mexico, the period 2001:Q1-2013:Q1 Indonesia. The first in thesis, there covering periods referred to above for the VAR Model application for three countries, VAR Models were estimated six variables for Turkey, five variables for Mexico and Indonesia. Afterwards the FAVAR Models were estimated for each of the three countries including nineteen variables for Turkey application, twenty two variables for Mexico application and fifteen variables for Indonesia. The findings obtained by the VAR Model method while indicating that the partial process of the monetary transmission mechanism channels in Turkey, Mexico and Indonesia, the findings obtained by the FAVAR Model method indicating works partial the monetary transmission mechanism interest channel in Indonesia.