Empirical studies on the real effects of the United States monetary policy shocks (Turkey).

摘要

This dissertation presents evidence on how the US monetary policy shocks have real effects not only domestically, but also abroad. The empirical tests focus on the effects of the US monetary policy innovations on domestic market concentration in manufacturing industries and on economic activity abroad through the international monetary transmission mechanism.; The first section of the dissertation uses a vector autoregression technique to illustrate the tendency for the US manufacturing industries to become more concentrated after a contractionary monetary policy shock due to the uneven impact of capital market imperfections on small and large companies.; The remaining two sections focuses on the international monetary transmission mechanism. The second section uses data from the G-7 countries to show that an expansionary monetary policy shock in the US reduces domestic and world interest rates, depreciates the dollar, and increases the level of domestic output. The fall in the foreign interest rates and the aggregate demand spillover from the US stimulate foreign output. Thus, an expansionary monetary policy in the US not only increases output and, thereby, asset returns domestically, but also abroad.; Finally, the third section presents evidence that the impact of a monetary policy shock in a large country on a small country varies depending on whether that small economy is subject to a fixed exchange rate regime. Using Turkey to represent the small economy and the US and Germany as large economies, this section shows that the effect of an aggregate demand externality is stronger if the small economy pursues a fixed exchange rate regime. In addition, this study shows that three other factors are important in determining the extent of the international monetary transmission mechanism: the level of a country's financial development, its integration with the international financial markets and the synchronization of domestic and foreign business cycles.