Interest rate channel in Turkey: MS-VAR application

In this thesis, the functioning of Turkey's economy the interest rate channel of the monetary transmission mechanism, straight off a multivariate model Markov Switching Vector Autoregressive Model (MS-VAR) 2007:01 – 2018:12 for the period was analyzed using monthly data. The aim of this study is to examine the process of the interest rate channel VAR model with MS-VAR model compares the results of the impulse-response analysis. According to the results of impulse-responses of the results obtained from the VAR model, the interest rate channel for Turkey's economy while effective on the real economy, inflation rate effect it does not fully reflect the functioning of the interest rate channel in accordance with the theory. According to the MS-VAR impulse-response analysis results obtained from the model of the interest rate channel in Turkey, it has concluded that both on the real economy functions appropriately and statistically significantly to economic theory on inflation. Moreover, according to the MS-VAR model, which is estimated as two regimes, policy interest rate is more effective on economic variables in periods of high economic uncertainties.