Construction of the Monetary Conditions Index with TVP-VAR Model: Empirical Evidence for Turkish Economy

DOI10.1007/978-3-030-54108-8_9OpenAlexW3133273247MaRDI QIDQ5049433

Coşkun Akdeniz

Publication date: 11 November 2022

Published in: Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-54108-8_9

zbMATH Keywords

TVP-VARmonetary conditions indexTurkish economy

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Uses Software

• bvarsv

Cites Work

• Large time-varying parameter VARs
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Time Varying Structural Vector Autoregressions and Monetary Policy

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