Asymmetric Interest Rate Pass-Through to Turkish Loan Rates

Date

2014-01-01

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

226
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.

Subject Keywords

Threshold cointegration analysis, Zone Retail Banking, Federal-Funds Rate, Error-correction, Monetary transmission, Mortgage rates, Adjustment, Competition

URI

https://hdl.handle.net/11511/35419

Journal

IKTISAT ISLETME VE FINANS

DOI

https://doi.org/10.3848/iif.2014.334.3936

Collections

Department of Economics, Article

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...
Interest Rate Pass-Through to Turkish Lending Rates: A Threshold Cointegration Analysis Yıldırım Kasap, Dilem (2013-01-02) 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 spec...
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...
Decoupling between the Federal Funds Rate and Long-term Interest Rates: Decreasing Effectiveness of Monetary Policy in the US Cömert, Hasan (2012-10-01) Cömert investigates the relationship between overnight interest rates and the long-term rates in the US from 1983q1 to 2007q3. He presents evidence supporting the argument that there was a gradual decoupling between the Fed interest rate and long-term interest rates even before the recent crisis. In other words, the Fed was gradually losing its control over long-term interest rates. As opposed to many economists’ claims, the period after 2001 was a continuation of a process which has surfaced since the end ...
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...

Citation Formats

D. Yıldırım Kasap, “Asymmetric Interest Rate Pass-Through to Turkish Loan Rates,” IKTISAT ISLETME VE FINANS, pp. 9–28, 2014, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/35419.