Three essays on applied macroeconomics

This thesis consists of three independent studies on applied macroeconomics. The first study aimed at exploring the effectiveness of negative interest rate policy on exerting its effect on various indicators in Sweden. The study covers the period between 2010:01 and 2019:04. The first study employs Factor Augmented Vector Autoregression methodology and introduces the scenario specification to offer a comprehensive and reasonable picture of the effect of monetary policy on the economic performance of the Swedish economy. The empirical findings suggest that the monetary policy changes are effective both on exerting its effect into lending and market rates and triggering economic activity in negative policy rate setting. The second study constructs a model to explore the potential nonlinear and nonparametric relations between outstanding bank loans and bank-specific characteristics, macroeconomic indicators, and global factors. The study analyzes the performance of these factors in predicting bank lending in Turkey over the 2002Q4 to 2019Q2 period. This research, unlike previous studies, utilizes numerous machine learning methods and benefits from the potential advantages of those techniques. The empirical findings suggest favorable evidence for some nonlinearities on drivers of bank lending and confirms that bank-specific characteristics and macroeconomic indicators tend to be more important variables influencing the bank lending behavior. Finally, the third study analyzes the impacts of the motor fuel subsidy program on domestic prices, the burden of the subsidy system on the government budget, and the real economic impacts on the output gap in the Turkish economy. The study employs Factor Augmented Vector Autoregression methodology and covers the period throughout 2015-2019. The study concludes that the subsidy program is a practical tool to eliminate the inflationary impacts of oil price changes. Also, the burden of the subsidy program seems not to create a challenge for the government to sustain budget deficit. Keywords: bank lending, factor augmented vector autoregression, fuel price subsidy, machine learning, negative interest rate