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Interest Rate Pass-Through to Turkish Lending Rates: A Threshold Cointegration Analysis
Date
2013-08-06
Author
Yıldırım Kasap, Dilem
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https://aeefi.com/wp-content/uploads/2018/11/14.pdf
https://hdl.handle.net/11511/99265
Conference Name
XIV Conference on International Economics
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Department of Economics, Conference / Seminar
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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...
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...
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Interest and Exchange Rate Sensitivity and the Stock Returns of Turkish Commercial Banks
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D. Yıldırım Kasap, “Interest Rate Pass-Through to Turkish Lending Rates: A Threshold Cointegration Analysis,” presented at the XIV Conference on International Economics, Palma, İspanya, 2013, Accessed: 00, 2022. [Online]. Available: https://aeefi.com/wp-content/uploads/2018/11/14.pdf.
