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Non-linear structure of the Turkish interest rate transmission mechanism
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index.pdf
Date
2012
Author
Bozok, İhsan
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This paper empirically analyses the interest rate transmission mechanism from money market rate to lending rate by utilizing the bank-level data in the distinction of cash, automobile, housing and corporate loans in Turkey. The main objective is to reveal the possible asymmetries of the adjustment process as well as the extent of the pass through. Empirical results indicate that mark-up value is the minimum for corporate rates on average, followed by housing, automobile and cash rates, respectively. Additionally, while large banks follow small mark-up pricing, small banks follow large mark-up pricing for corporate loans. Furthermore, a complete pass through is detected in 75 percent of the corporate loans, whereas the rates of banks that completely react to money market changes are 58 percent for cash and housing loans and 50 percent for automobile loans. We also find evidence that cash loans having high mark-up values do not adjust completely to variations in money market rate. Based on TAR and MTAR models of Enders and Siklos (2001), substantial asymmetries exist for all lending types. In general, adjustment towards the long-run equilibrium is faster when the disequilibrium or change in disequilibrium is above the threshold (upward rigidity).
Subject Keywords
Interest rates
,
Money market
,
Capital market
,
Nonlinear systems.
URI
http://etd.lib.metu.edu.tr/upload/12614685/index.pdf
https://hdl.handle.net/11511/21883
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Graduate School of Social Sciences, Thesis
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İ. Bozok, “Non-linear structure of the Turkish interest rate transmission mechanism,” M.S. - Master of Science, Middle East Technical University, 2012.
