Date of Degree


Document Type


Degree Name





Merih Uctum

Committee Members

Wim P.M. Vijverberg

Thom Thurston

Subject Categories

Finance | Macroeconomics | Public Economics


Fiscal Policy, Monetary Policy, Stock Market, Exchange Rate


This dissertation consists of three chapters.

The first chapter analyzes the stock market transmission channel of the monetary policy of the Turkish economy not only at the aggregate but also at the sectoral level in a structural vector autoregression (SVAR) framework. I adopt alternative variables as a policy instrument. When the spread is used as a policy instrument, I find that contractionary monetary policy has a significant negative effect on both output and the price level and it appreciates the Turkish Lira. In addition, tight monetary policy reduces both aggregate and sectoral market returns. Hence, the results suggest that policymakers should adopt the spread as a policy instrument since other policy instruments do not yield the expected impact on the exchange rate and asset prices.

The second chapter analyzes the impact of the aggregate, income, corporate, and social security tax revenues on both the U.S. output and the stock market return in a structural vector autoregression (SVAR) framework between 1960:Q1 and 2015:Q4. Unlike some of the other studies, I use not only aggregate but also disaggregated tax revenue variables to examine the impact of fiscal policy. Results show that an exogenous increase in aggregate tax revenue reduces both the output and the market return. In addition, an increase in income, corporate, and social security tax revenues reduces both output and the market return significantly at varying degrees.

The final chapter of the dissertation modifies the CIMR (2012) study. One of the central results of CIMR (2012) is that monetary authority follows inflation forecast targeting rule to destabilize asset markets in the New Keynesian model. They show that money authority responds to future productivity news shock in the wrong way by using inflation forecasting targeting rule. In the first part of this study, I identify the stock market booms in the United States and Japan. In the second part of this study, I examine the monetary policy by using different policy settings in a New Keynesian model. First, I analyze 'news' shock under a general Taylor rule. Second, I examine the effect of the news shock in the money supply rule framework. Finally, I consider the model under habit formation and price indexation. Results show that stock market booms are independent of the selection of monetary policy tools.

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