Are CBRT’s Monetary Policy Statements Affected by ECB and FED Statements?

Abstract

This paper aims to examine whether CBRT's monetary policy statements are affected by ECB and FED monetary policy statements. The sentiment analysis is performed to build the balance sentiment indicators (BSI) for CBRT, ECB, and FED from 2008 January to 2020 August using by their monetary policy statements. Individual and group properties of monthly BSI's are examined by unit root tests and the Bounds cointegration tests. The short and long-run effects of ECB and FED sentiments on CBRT's sentiments are investigated by ARDL and UECM models. The analysis is applied over the full sample period and two sub-samples which they represent the periods before and after 2013 May. That date is an important for Turkey in terms of the effects of the Fed stimulus program as well as relations with the IMF. The results imply that the CBRT, ECB, and FED's BSI's have statistically significant cointegration relationship over the full sample period and the period after 2013 June. Particularly after June 2013, the CBRT's statements are positively related with the ECB's and FED's statements in the long run however CBRT's statements are negatively affected by FED's statements in the short-run.