Ankara : The Department of Economics, Bilkent University, 2010.Thesis (Master's) -- Bilkent University, 2010.Includes bibliographical references leaves 23-24.Measuring the impact of monetary policy on the exchange rate is complicated
due to the simultaneous response of monetary policy to the exchange
rate and the possibility that both variables respond to other omitted variables.
Ignoring these problems may lead to biased results. Given the shortcomings
of commonly-used identiÖcation techniques, this paper uses an identiÖcation
method based on the heteroscedasticity in the high-frequency data. This
methodology which aims to identify the exchange rate response to monetary
policy is based on the increase in the variance of the policy shock on monetary
policy committee meeting dates. IdentiÖcation through heteroscedasticity gives
more accurate estimates and the results of this paper provide a cross-check
for previous Öndings in the literature. The results suggest that while statistically
there exist some bias in previous estimates, qualitatively the conclusion
drawn by the previous literature, that the e§ect of monetary policy on the lira
exchange rates is small, is veriÖed.Özcan, GülserimM.S
