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Year 2020, Volume: 4 Issue: 1, 203 - 215, 31.01.2020
https://doi.org/10.25295/fsecon.2020.01.011

Abstract

References

  • Andries, N., Billon, S. (2016). “Retail bank interest rate pass-through in the euro area: An empirical survey”, Economic Systems, 40, 170-194.
  • Aristei, D., Gallo, M. (2014). “Interest rate pass-through in the Euro area during thefinancial crisis: A multivariate regime-switching approach”, Journal of Policy Modelling, (36), 273-295.
  • Aziakpono, M.J. (2013). “Interest Rate Pass-through and Monetary Policy Regimes in South Africa”, AERC Research Paper, (no. 259), 1-67.
  • Bennouna, H. (2019). “Interest rate pass-through in Morocco: Evidence from bank-level survey data”, Economic Modelling, (80), 142-157.
  • Belke, A., Beckmann, J. and Verheyen, F. (2013). “Interest rate pass-through in the EMU – New evidence from nonlinear cointegration techniques for fully harmonized data”, Journal of International Money and Finance, (37), 1-24.
  • Binici, M., Kara, H. and Özlü, P. (2016). “Unconventional Interest Rate Corridor and the Monetary Transmission: Evidence from Turkey”, TCMB Working Paper, (16/8), 1-36.
  • Breitenlechner, M., Scharler, J. and Sindermann, F. (2016). “Banks’ external financing costs and the bank lending channel:Results from a SVAR analysis “, Journal of Financial Stability, (26), 228-246.
  • Dickey, D.A., Fuller, W.A. (1981).” Likelihood Ratio Statistics for Autoregressive Time Series With A Unit Root”, Econometrica, 49(4), 1057-1072.
  • Disyatat, P. (2011). “The Bank Lending Channel Revisited”, Journal of Money, Credit and Banking, 43(4),
  • Gunji, H. Yuan, Y. (2010). “Bank profitability and the bank lending channel: Evidence from China”, Journal of Asian Economics, (21), 129-141.
  • Holton, S., D’Acri, C.R. (2018). “Interest rate pass-through since the euro area crisis”, Journal of Banking and Finance, (96), 277-291.
  • Illes, A., Lombardi, M. (2013). “Interest rate pass-through since the financial crisis”, BIS Quarterly Review, (September), 57-66.
  • Illes, A., Lombardi, M. And Mizen, P. (2015). “Why did bank lending rates diverge from policy rates after the financial crisis?”, BIS Working Papers, (486), 1-31.
  • Johansen, S., Juselius, K. (1990). “Maximum Likelihood Estimation and Inference on Cointegration - With Applications to The Demand for Money”, Oxford Bulletin of Economics and Statistics, 52(2), 169-210.
  • Karagiannis, S., Panagopoulos, Y. and Vlamis, P. (2010). “Interest rate pass-through in Europe and the US: Monetary policy after the financial crisis”, Journal of Policy Modelling, (32), 323-338.
  • Kwapil, C., Scharler, J. (2013). “Expected monetary policy and the dynamics of bank lending rates”, International Review of Economics and Finance”, (27), 542-551.
  • Mello, L., Pisu, M. (2010). “The bank lending channel of monetary transmission in Brazil: A VECM approach”, Quarterly Review of Economics and Finance, (50), 50-60.
  • Muhammad, H.M. (2011). “Impact of monetary policy on lending and deposit rates in Pakistan: Panel data analysis”, MPRA no. 33301.
  • Stanislawska, E. (2015). “Interest Rate Pass-Through in Poland: Evidence from Individual Bank Data”, Eastern European Economics, 53(1), 3-24.
  • Uslu, N.Ç., Karahan, P. (2016). “Para Politikasının Kredi Faiz Oranlarına Geçişkenliği Üzerine Dinamik Bir Analiz: Türkiye Örneği”, Yönetim ve Ekonomi, 23(3), 671-690.

The Behaviour of Interest Rates in Turkey

Year 2020, Volume: 4 Issue: 1, 203 - 215, 31.01.2020
https://doi.org/10.25295/fsecon.2020.01.011

Abstract

Short term interest rates are one of the most influential monetary policy tools for contemporary central banks. More often they are used to prompt the monetary transmission mechanism either to avoid recessions or to control the rising prices via affecting the market interest rates. The main aim of this study is to investigate the relationships among short term and other types of market interest rates in Turkey. Monthly data on short term interest rates set by the Turkish Central Bank, benchmark market interest rates on Turkish 2 year Treasury Bonds and bank lending and bank deposit rates are used in this study covering the period between 2012(M06) and 2019(M09). The relationships between the variables are investigated by adopting co-integration and error correction models. The results revealed that there is a strong significant co-movement between short term and other market interest rates. As the findings of error correction models revelaed a percent change in short term rates are accompanied by a 0.86 percent change in lending and 0.76 percent change in deposit rates.

References

  • Andries, N., Billon, S. (2016). “Retail bank interest rate pass-through in the euro area: An empirical survey”, Economic Systems, 40, 170-194.
  • Aristei, D., Gallo, M. (2014). “Interest rate pass-through in the Euro area during thefinancial crisis: A multivariate regime-switching approach”, Journal of Policy Modelling, (36), 273-295.
  • Aziakpono, M.J. (2013). “Interest Rate Pass-through and Monetary Policy Regimes in South Africa”, AERC Research Paper, (no. 259), 1-67.
  • Bennouna, H. (2019). “Interest rate pass-through in Morocco: Evidence from bank-level survey data”, Economic Modelling, (80), 142-157.
  • Belke, A., Beckmann, J. and Verheyen, F. (2013). “Interest rate pass-through in the EMU – New evidence from nonlinear cointegration techniques for fully harmonized data”, Journal of International Money and Finance, (37), 1-24.
  • Binici, M., Kara, H. and Özlü, P. (2016). “Unconventional Interest Rate Corridor and the Monetary Transmission: Evidence from Turkey”, TCMB Working Paper, (16/8), 1-36.
  • Breitenlechner, M., Scharler, J. and Sindermann, F. (2016). “Banks’ external financing costs and the bank lending channel:Results from a SVAR analysis “, Journal of Financial Stability, (26), 228-246.
  • Dickey, D.A., Fuller, W.A. (1981).” Likelihood Ratio Statistics for Autoregressive Time Series With A Unit Root”, Econometrica, 49(4), 1057-1072.
  • Disyatat, P. (2011). “The Bank Lending Channel Revisited”, Journal of Money, Credit and Banking, 43(4),
  • Gunji, H. Yuan, Y. (2010). “Bank profitability and the bank lending channel: Evidence from China”, Journal of Asian Economics, (21), 129-141.
  • Holton, S., D’Acri, C.R. (2018). “Interest rate pass-through since the euro area crisis”, Journal of Banking and Finance, (96), 277-291.
  • Illes, A., Lombardi, M. (2013). “Interest rate pass-through since the financial crisis”, BIS Quarterly Review, (September), 57-66.
  • Illes, A., Lombardi, M. And Mizen, P. (2015). “Why did bank lending rates diverge from policy rates after the financial crisis?”, BIS Working Papers, (486), 1-31.
  • Johansen, S., Juselius, K. (1990). “Maximum Likelihood Estimation and Inference on Cointegration - With Applications to The Demand for Money”, Oxford Bulletin of Economics and Statistics, 52(2), 169-210.
  • Karagiannis, S., Panagopoulos, Y. and Vlamis, P. (2010). “Interest rate pass-through in Europe and the US: Monetary policy after the financial crisis”, Journal of Policy Modelling, (32), 323-338.
  • Kwapil, C., Scharler, J. (2013). “Expected monetary policy and the dynamics of bank lending rates”, International Review of Economics and Finance”, (27), 542-551.
  • Mello, L., Pisu, M. (2010). “The bank lending channel of monetary transmission in Brazil: A VECM approach”, Quarterly Review of Economics and Finance, (50), 50-60.
  • Muhammad, H.M. (2011). “Impact of monetary policy on lending and deposit rates in Pakistan: Panel data analysis”, MPRA no. 33301.
  • Stanislawska, E. (2015). “Interest Rate Pass-Through in Poland: Evidence from Individual Bank Data”, Eastern European Economics, 53(1), 3-24.
  • Uslu, N.Ç., Karahan, P. (2016). “Para Politikasının Kredi Faiz Oranlarına Geçişkenliği Üzerine Dinamik Bir Analiz: Türkiye Örneği”, Yönetim ve Ekonomi, 23(3), 671-690.
There are 20 citations in total.

Details

Primary Language English
Subjects Business Administration
Journal Section Articles
Authors

Onur Sunal 0000-0002-3972-4060

Publication Date January 31, 2020
Published in Issue Year 2020 Volume: 4 Issue: 1

Cite

APA Sunal, O. (2020). The Behaviour of Interest Rates in Turkey. Fiscaoeconomia, 4(1), 203-215. https://doi.org/10.25295/fsecon.2020.01.011

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