Interest Rate Pass-Through to Turkish Lending Rates: A Threshold Cointegration Analysis

Date

2013-01-02

Author

Yıldırım Kasap, Dilem

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

84
views

0
downloads

This paper aims to investigate the actual nature of the interest rate pass-through to Turkish cash, automobile, housing and corporate loan rates. Focusing on the possibility of nonlinearity in the adjustment of lending rates due to financial market conditions and monetary policies, we adopt the threshold autoregressive (TAR) and momentum threshold autoregressive (MTAR) models of Enders and Siklos (2001). Empirical results suggest substantial asymmetries (nonlinearities) in all lending rates. More specifically, banks adjust their lending rates faster in response to increases in negative discrepancies from the long-run equilibrium arising from an increase in the money market rate, while they act slowly following money market rate decreases. Furthermore, the degree of reluctance of banks to follow money market rate decreases appears to vary across lending rates, suggesting the existence of sectoral heterogeneities besides asymmetries.

URI

https://ebesweb.org/wp-content/uploads/2021/01/9th-EBES-Conference-Rome-Conference-Program.pdf
https://hdl.handle.net/11511/100446

Conference Name

9th EBES Conference

Collections

Department of Economics, Conference / Seminar

Suggestions

OpenMETU
Core

Interest Rate Pass-Through to Turkish Lending Rates: A Threshold Cointegration Analysis Yıldırım Kasap, Dilem (Economic Research Center Middle East Technical University, 2012-09-01) This paper aims to investigate the actual nature of the interest rate pass-through to Turkish cash, automobile, housing and corporate loan rates. Focusing on the possibility of nonlinearity in the adjustment of lending rates due to financial market conditions and monetary policies, we adopt the threshold autoregressive (TAR) and momentum threshold autoregressive (MTAR) models of Enders and Siklos (2001). Empirical results suggest substantial asymmetries (nonlinearities) in all lending rates. More specifical...
Asymmetric Interest Rate Pass-Through to Turkish Loan Rates Yıldırım Kasap, Dilem (2014-01-01) This paper aims to investigate the actual nature of the interest rate pass-through to Turkish cash, automobile, housing and corporate loan rates. Focusing on the possibility of nonlinearity in the adjustment of lending rates due to financial market conditions and monetary policies, we adopt the threshold autoregressive (TAR) and momentum threshold autoregressive (MTAR) models of Enders and Siklos (2001). Empirical results suggest substantial asymmetries (nonlinearities) in all lending rates. More specifical...
Interest Rate Smoothing and Macroeconomic Instability under Post-Capital Account Liberalization Turkey Cömert, Hasan; Olcum, Gokce Akin (2010-01-01) This paper considers the interest rate policy of the Central Bank of the Republic of Turkey (CBRT) in the post-financial liberalization and deregulation era. We find that (1) the Bank's interest rate smoothing tendency is the main determinant of its monetary policy in this period, (2) the CBRT does not seem to be responsive to the developments in real economy (output), and (3) although inflation targeting central banks are not supposed to pay attention to exchange rates, the CBRT appears to be slightly resp...
Exchange Rate Pass-Through in Turkey: An Empiricial Investigation Pekbaş, Melek Özgür; Özmen, Adalı; Department of Economics (2004) This study investigates the degree of exchange rate pass-through to prices in different sectors for Turkish economy using Johansen Cointegration procedure. The study is based on quarterly data from 1994:1 to 2003:4. In this study it is concluded that the long-run exchange rate pass-through to overall wholesale prices for Turkey is very high and nearly complete. High pass-through degrees are also valid for different sub-sectors wholesale prices like private, public, manufacturing industry and energy. Moreove...
Interest rates and monetary policy Gazioglu, S.; McCausland, W. D. (Informa UK Limited, 2009-01-01) This article conducts a thorough intertemporal analysis of nominal interest rate based monetary policy. Its main contribution is to show how such a policy can have different effects depending on the assumptions made about the saving and borrowing behaviour of firms. We consider two cases: (i) consumers are savers and firms are borrowers and (ii) both consumers and firms are borrowers (the nation as a whole is borrowing from abroad). In one case we confirm conventional wisdom, but in the other case we find t...

Citation Formats

D. Yıldırım Kasap, “Interest Rate Pass-Through to Turkish Lending Rates: A Threshold Cointegration Analysis,” presented at the 9th EBES Conference, Rome, İtalya, 2013, Accessed: 00, 2022. [Online]. Available: https://ebesweb.org/wp-content/uploads/2021/01/9th-EBES-Conference-Rome-Conference-Program.pdf.