Show/Hide Menu
Hide/Show Apps
Logout
Türkçe
Türkçe
Search
Search
Login
Login
OpenMETU
OpenMETU
About
About
Open Science Policy
Open Science Policy
Open Access Guideline
Open Access Guideline
Postgraduate Thesis Guideline
Postgraduate Thesis Guideline
Communities & Collections
Communities & Collections
Help
Help
Frequently Asked Questions
Frequently Asked Questions
Guides
Guides
Thesis submission
Thesis submission
MS without thesis term project submission
MS without thesis term project submission
Publication submission with DOI
Publication submission with DOI
Publication submission
Publication submission
Supporting Information
Supporting Information
General Information
General Information
Copyright, Embargo and License
Copyright, Embargo and License
Contact us
Contact us
A Comparative study for nonlinear structure of the interest rate pass through
Download
index.pdf
Date
2012
Author
Değer, Osman
Metadata
Show full item record
Item Usage Stats
245
views
88
downloads
Cite This
This study investigates the interest rate pass through from the money market rate to the lending rate by utilizing monthly data of fifteen countries, grouped as high income, upper middle income and lower middle income, over the period 1999:01-2011:09. Taking the linear cointegration test of Engle-Granger as benchmark, we employ threshold cointegration tests of Enders and Siklos (2001) in order to account for the possible nonlinearities in the pass-through process. Empirical results reveal that the pass through process is complete in three countries; Republic of Korea, Latvia and Malaysia and the adjustment of the lending rate is symmetric in two countries; Armenia and Republic of Korea. Moreover, it is observed that the adjustment of the lending rate is upward sticky in six countries; Bolivia, Philippines, Malaysia, Dominican Republic, Thailand and Croatia, whereas it is downward sticky in seven countries; Ukraine, Sri Lanka, Latvia, Peru, Kuwait, Hong Kong and Czech Republic. Furthermore, our estimation results suggest that heterogeneities in the pass-through mechanism across countries can be mainly explained by income level, inflation, market power, financial sector development and market volatility.
Subject Keywords
Interest rates
,
Money market
,
Capital market
URI
http://etd.lib.metu.edu.tr/upload/12614789/index.pdf
https://hdl.handle.net/11511/21890
Collections
Graduate School of Social Sciences, Thesis
Suggestions
OpenMETU
Core
Non-linear structure of the Turkish interest rate transmission mechanism
Bozok, İhsan; Yıldırım Kasap, Dilem; Department of Economics (2012)
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. Additio...
A threshold cointegration analysis of interest rate pass-through to UK mortgage rates
Becker, Ralf; Osborn, Denise R.; Yıldırım Kasap, Dilem (2012-11-01)
This paper empirically analyses the interest rate transmission mechanism in the United Kingdom by exploring the pass-through of the official rate to the money market rate and of the market rate to the mortgage rate. Potential asymmetries, due to financial market conditions and monetary policy, lead to the use of a nonlinear threshold error-correction model, with hypothesis tests based on nonstandard bootstrap procedures that take into account the discrete nature of changes in the official rate. The empirica...
The Assessment of macroeconomic variability and monetary transmission mechanisms in Turkey with VAR esrimates
Baştan, Emine Meltem; Gaygısız Lajunen, Esma; Department of Economics (2012)
This thesis investigates the nature of macroeconomic changes by focussing on the monetary policy changes in Turkey between 1990Q1-2011Q4 and assesses the variability of the economy via impulse response functions obtained from VAR analyses. The period of the analyses is characterized with changes of the definitions of monetary aggregates in 2002 and 2007. In order to have consistent monetary series, the new and old series are constructed according to new and old definitions and then analyses are carried out ...
A NEW ROBUST OPTIMIZATION TOOL APPLIED ON FINANCIAL DATA
Ozmen, A.; Weber, Gerhard Wilhelm; Karimov, A. (2013-07-01)
Recent financial crises, with an increased volatility and, hence, uncertainty factors, have introduced a high "noise" into the data taken from the financial sectors and overall from any data related to the financial markets, so that the known statistical models do not give trustworthy results. As we know the solutions of the optimization problem can show a remarkable sensitivity to perturbations, coming from the data, in the parameters of the problem. To overcome this kind of difficulties, the model identif...
Term structure of government bond yields : a macro-finance approach
Artam, Halil; Yıldırak, Şahap Kasırga; Department of Financial Mathematics (2006)
Interactions between macroeconomic fundamentals and term structure of interest rates be stronger according to the way of changes in structure of worldwide economy. Combined macro-finance analysis determines the joint dynamics of term structure of interest rates and macroeconomic fundamentals. This thesis provides analysis of two existing macro-finance models and an original one. Parameter estimations for these three macro-finance term structure models are done for monthly Turkish data by use of an efficient...
Citation Formats
IEEE
ACM
APA
CHICAGO
MLA
BibTeX
O. Değer, “A Comparative study for nonlinear structure of the interest rate pass through,” M.S. - Master of Science, Middle East Technical University, 2012.
