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Interest Rate Pass-Through to Turkish Lending Rates: A Threshold Cointegration Analysis
Date
2013-01-02
Author
Yıldırım Kasap, Dilem
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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.
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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
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Department of Economics, Conference / Seminar
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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...
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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.
