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TÜRKİYE’DE FAİZ ORANI GEÇİŞKENLİĞİ SÜRECİ: DOĞRUSAL VE DOĞRUSAL OLMAYAN TAHMİN TEKNİKLERİNDEN BULGULAR

Year 2021, Volume: 5 Issue: 2, 114 - 126, 31.12.2021

Burçin Çalışkan Gök Ümit Bulut

Abstract

Bu çalışma, 2011:01-2021:03 dönemine ait aylık verileri kullanarak Türkiye’de faiz oranı geçişkenliği mekanizmasını incelemektedir. Çalışma doğrusal olmama durumunu dikkate almakta ve hem doğrusal hem de doğrusal olmayan zaman serisi yöntemleri kullanmaktadır. Doğrusal eşbütünleşme testi uzun dönem faiz oranı geçişkenliği katsayısının birden küçük olduğuna işaret ederken, doğrusal olmayan eşbütünleşme testi bu katsayının birden büyük olduğuna işaret etmektedir. Teoriye ve uygulamaya yönelik çıkarımlar çalışmada tartışılmaktadır.

Keywords

faiz oranı geçişkenliği ticari kredi faiz oranları doğrusallık doğrusal olmayan yumuşak geçişli modeller

References

  • Altavilla, C., Canova, F. & Ciccarelli, M. (2019). Mending the broken link: heterogeneous bank lending rates and monetary policy pass-through. Journal of Monetary Economics, 110, 81-98.
  • Andries, N. & Billon, S. (2016). Retail bank ınterest rate pass-through in the Euro Area: an empirical survey. Economic Systems, 40, 170-194.
  • Apergis, N., Bulut, U., Ucler, G., & Ozsahin, S. (2021). The causal linkage between inflation and inflation uncertainty under structural breaks: Evidence from Turkey. The Manchester School, 89, 259-275.
  • Aydin, H. I. (2007). Interest rate pass-through in Turkey. CBRT Working Paper. 07/05.
  • Baugnet, V. & Hradisky, M. (2004). Determinants of Belgian bank lending interest rates. Economic Review, 3, 43-49.
  • Binici, M., Kara, H., & Ozlu, P. (2019) Monetary transmission with multiple policy rates: evidence from turkey. Applied Economics, 51(17), 1869-1893.
  • Blot, C. & Labondance, F. (2013). Business lending rate pass-through in the Eurozone: monetary policy transmission before and after the financial crash. Economics Bulletin, 33(2), 973-985.
  • Bulut, U. (2020). Para politikasının kredi faiz oranlarına geçişkenliği: Türkiye örneği. Bankacılar Dergisi, 114, 17-29.
  • Caglarirmak-Uslu, N. & Karahan, P. (2016). Para politikasının kredi faiz oranlarına geçişkenliği üzerine dinamik bir analiz: Türkiye örneği. Yönetim ve Ekonomi Dergisi, 23(3), 671-690.
  • CBRT (2021). Electronic data delivery system. https://evds2.tcmb.gov.tr. Date of access: June 7, 2021.
  • Cordemans, N. & de Sola Perea, M. (2011). Central bank rates, market rates and retail bank rates in the euro area in the context of the recent crisis. National Bank of Belgium Economic Review, 1, 27-52.
  • De Bondt, G. (2002). Retail bank ınterest rate pass-through: new evidence at the Euro Area level. ECB Working Paper, 136.
  • De Bondt, G. J. (2005) Interest rate pass‐through: empirical results for the Euro area. German Economic Review, 6(1), 37-78.
  • Dickey, D. A. & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057-1072.
  • Doojav, G.O. & Kalirajan, K. (2016). Interest rate pass‐through in Mongolia. The Developing Economies, 54(4), 271-291.
  • ECB (2007). Monthly bulletin, July. https://www.ecb.europa.eu/pub/pdf/mobu/mb200707en.pdf. Date of access: August 12, 2021.
  • Egert, B., Crespo-Cuaresma, J., & Reininger, T. (2007). Interest rate pass-through in Central and Eastern Europe: reborn from ashes merely to pass away? Journal of Policy Modeling, 29(2), 209-225.
  • Eichengreen, B., El-Erian, M., Fraga, A., Ito, T., Pisani-Ferry, J., Prasad, E., Rajan, R., Ramos, M., Reinhart, C., Rey, H., Rodrik, D., Rogoff, K. Shin, H. S., Velasco, A., Weder di Mauro, B., & Yu, Y. (2011). Rethinking central banking. https://www.brookings.edu/wp-content/uploads/2016/06/Rethinking-Central-Banking.pdf. Date of access: August 13, 2021.
  • Enders, W. (2015). Applied econometric time series (fourth edition). USA: Wiley.
  • Engle, R. F. & Granger, C. W. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica, 55(2), 251-276.
  • Galvao, A. B. & Owyang, M. T. (2018). Financial stress regimes and the macroeconomy. Journal of Money, Credit and Banking, 50(7), 1479-1505.
  • Gambacorta, L., Illes, A., & Lombardi, M. J. (2015). Has the transmission of policy rates to lending rates changed in the wake of the global financial crisis? International Finance, 18(3), 263-280.
  • Harvey, D. I. & Leybourne, S. J. (2007). Testing for time series linearity. The Econometrics Journal, 10(1), 149-165.
  • Harvey, D. I., Leybourne, S. J., & Xiao, B. (2008). A powerful test for linearity when the order of integration is unknown. Studies in Nonlinear Dynamics & Econometrics, 12(3).
  • Jobst, C. & Kwapil, C. (2008). The interest rate pass-through in Austria–effects of the financial crisis. Monetary Policy & the Economy, 4, 54-67.
  • Kapetanios, G., Shin, Y., & Snell, A. (2003). Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics, 112(2), 359-379.
  • Kapetanios, G., Shin, Y., & Snell, A. (2006). Testing for cointegration in nonlinear smooth transition error correction models. Econometric Theory, 22(2), 279-303.
  • Karagiannis, S., Panagopoulos, Y., & Vlamis, P. (2010). Interest rate pass-through in Europe and the US: monetary policy after the financial crisis. Journal of Policy Modeling, 32(3), 323-338.
  • Kruse, R. (2011). A new unit root test against ESTAR based on a class of modified statistics. Statistical Papers, 52(1), 71-85.
  • Mishkin, F. S. (2004). The economics of money, banking, and financial markets (seventh edition). USA: The Addison-Wesley Series in Economics.
  • Morozumi, A., Bleaney, M., & Mumuni, Z. (2020). Inflation targeting in low‐income countries: Does IT work? Review of Development Economics, 24(4), 1529-1550.
  • Pesaran, M. H, & Shin, Y. (1999). An autoregressive distributed lag modelling approach to cointegration analysis. In S. Strom (Ed) Econometrics and econometric theory in the 20th century: the Ragnar Frisch centennial symposium, Cambridge: Cambridge University Press, p. 371-413.
  • Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approach to the analysis of level relationships. Journal of Applied Econometrics, 16, 289-326.
  • Phillips, P. C. & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.
  • Robertson, M. L. (2016) Securitization and financial markets: the ımplications for ınterest rate pass-through. Journal of Financial Economic Policy, 8(4), 472-498.
  • Sander, H. & Kleimeier, S. (2004). Convergence in Euro-Zone retail banking? What ınterest rate pass-through tells us about monetary policy transmission, competition and ıntegration. Journal of International Money and Finance, 23(3), 461-492.
  • Sahin, S. & Cicek, S. (2018). Interest rate pass-through in Turkey during the period of unconventional interest rate corridor. Quantitative Finance and Economics, 2(4), 837-859.
  • Stiglitz, J. E. & Weiss, A. (1981). Credit rationing in markets with ımperfect ınformation. The American Economic Review, 71(3), 393-410.
  • Terasvirta, T. (1994). Specification, estimation, and evaluation of smooth transition autoregressive models. Journal of the American Statistical Association, 89(425), 208-218.
  • Verheyen, F. (2013). Interest rate pass-through in the EMU–New evidence using the nonlinear ARDL framework. Economics Bulletin, 33(1), 729-739.
  • Yildirim, D. (2012). Interest rate pass-through to Turkish lending rates: a threshold cointegration analysis. ERC Working Papers in Economics, 12(07).
  • Yuksel, E. & Ozcan, K. M. (2013). Interest rate pass-through in Turkey and impact of global financial crisis: asymmetric threshold cointegration analysis. Journal of Business Economics and Management, 14(1), 98-113.

THE INTEREST RATE PASS-THROUGH PROCESS IN TURKEY: EMPIRICAL EVIDENCE FROM LINEAR AND NONLINEAR ESTIMATION TECHNIQUES

Year 2021, Volume: 5 Issue: 2, 114 - 126, 31.12.2021

Burçin Çalışkan Gök Ümit Bulut

Abstract

Using monthly data that span the period 2011:01-2021:03, this paper examines the interest rate pass-through mechanism in Turkey. The paper considers nonlinearity and employs both linear and nonlinear time series methods. The linear cointegration test yields the long-run interest rate pass-through coefficient is lower than unity, whereas the nonlinear cointegration test shows this coefficient is greater than unity. Theoretical and practical implications are discussed.

Keywords

interest rate pass-through interest rates on commercial loans linearity nonlinear smooth transition models

References

  • Altavilla, C., Canova, F. & Ciccarelli, M. (2019). Mending the broken link: heterogeneous bank lending rates and monetary policy pass-through. Journal of Monetary Economics, 110, 81-98.
  • Andries, N. & Billon, S. (2016). Retail bank ınterest rate pass-through in the Euro Area: an empirical survey. Economic Systems, 40, 170-194.
  • Apergis, N., Bulut, U., Ucler, G., & Ozsahin, S. (2021). The causal linkage between inflation and inflation uncertainty under structural breaks: Evidence from Turkey. The Manchester School, 89, 259-275.
  • Aydin, H. I. (2007). Interest rate pass-through in Turkey. CBRT Working Paper. 07/05.
  • Baugnet, V. & Hradisky, M. (2004). Determinants of Belgian bank lending interest rates. Economic Review, 3, 43-49.
  • Binici, M., Kara, H., & Ozlu, P. (2019) Monetary transmission with multiple policy rates: evidence from turkey. Applied Economics, 51(17), 1869-1893.
  • Blot, C. & Labondance, F. (2013). Business lending rate pass-through in the Eurozone: monetary policy transmission before and after the financial crash. Economics Bulletin, 33(2), 973-985.
  • Bulut, U. (2020). Para politikasının kredi faiz oranlarına geçişkenliği: Türkiye örneği. Bankacılar Dergisi, 114, 17-29.
  • Caglarirmak-Uslu, N. & Karahan, P. (2016). Para politikasının kredi faiz oranlarına geçişkenliği üzerine dinamik bir analiz: Türkiye örneği. Yönetim ve Ekonomi Dergisi, 23(3), 671-690.
  • CBRT (2021). Electronic data delivery system. https://evds2.tcmb.gov.tr. Date of access: June 7, 2021.
  • Cordemans, N. & de Sola Perea, M. (2011). Central bank rates, market rates and retail bank rates in the euro area in the context of the recent crisis. National Bank of Belgium Economic Review, 1, 27-52.
  • De Bondt, G. (2002). Retail bank ınterest rate pass-through: new evidence at the Euro Area level. ECB Working Paper, 136.
  • De Bondt, G. J. (2005) Interest rate pass‐through: empirical results for the Euro area. German Economic Review, 6(1), 37-78.
  • Dickey, D. A. & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057-1072.
  • Doojav, G.O. & Kalirajan, K. (2016). Interest rate pass‐through in Mongolia. The Developing Economies, 54(4), 271-291.
  • ECB (2007). Monthly bulletin, July. https://www.ecb.europa.eu/pub/pdf/mobu/mb200707en.pdf. Date of access: August 12, 2021.
  • Egert, B., Crespo-Cuaresma, J., & Reininger, T. (2007). Interest rate pass-through in Central and Eastern Europe: reborn from ashes merely to pass away? Journal of Policy Modeling, 29(2), 209-225.
  • Eichengreen, B., El-Erian, M., Fraga, A., Ito, T., Pisani-Ferry, J., Prasad, E., Rajan, R., Ramos, M., Reinhart, C., Rey, H., Rodrik, D., Rogoff, K. Shin, H. S., Velasco, A., Weder di Mauro, B., & Yu, Y. (2011). Rethinking central banking. https://www.brookings.edu/wp-content/uploads/2016/06/Rethinking-Central-Banking.pdf. Date of access: August 13, 2021.
  • Enders, W. (2015). Applied econometric time series (fourth edition). USA: Wiley.
  • Engle, R. F. & Granger, C. W. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica, 55(2), 251-276.
  • Galvao, A. B. & Owyang, M. T. (2018). Financial stress regimes and the macroeconomy. Journal of Money, Credit and Banking, 50(7), 1479-1505.
  • Gambacorta, L., Illes, A., & Lombardi, M. J. (2015). Has the transmission of policy rates to lending rates changed in the wake of the global financial crisis? International Finance, 18(3), 263-280.
  • Harvey, D. I. & Leybourne, S. J. (2007). Testing for time series linearity. The Econometrics Journal, 10(1), 149-165.
  • Harvey, D. I., Leybourne, S. J., & Xiao, B. (2008). A powerful test for linearity when the order of integration is unknown. Studies in Nonlinear Dynamics & Econometrics, 12(3).
  • Jobst, C. & Kwapil, C. (2008). The interest rate pass-through in Austria–effects of the financial crisis. Monetary Policy & the Economy, 4, 54-67.
  • Kapetanios, G., Shin, Y., & Snell, A. (2003). Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics, 112(2), 359-379.
  • Kapetanios, G., Shin, Y., & Snell, A. (2006). Testing for cointegration in nonlinear smooth transition error correction models. Econometric Theory, 22(2), 279-303.
  • Karagiannis, S., Panagopoulos, Y., & Vlamis, P. (2010). Interest rate pass-through in Europe and the US: monetary policy after the financial crisis. Journal of Policy Modeling, 32(3), 323-338.
  • Kruse, R. (2011). A new unit root test against ESTAR based on a class of modified statistics. Statistical Papers, 52(1), 71-85.
  • Mishkin, F. S. (2004). The economics of money, banking, and financial markets (seventh edition). USA: The Addison-Wesley Series in Economics.
  • Morozumi, A., Bleaney, M., & Mumuni, Z. (2020). Inflation targeting in low‐income countries: Does IT work? Review of Development Economics, 24(4), 1529-1550.
  • Pesaran, M. H, & Shin, Y. (1999). An autoregressive distributed lag modelling approach to cointegration analysis. In S. Strom (Ed) Econometrics and econometric theory in the 20th century: the Ragnar Frisch centennial symposium, Cambridge: Cambridge University Press, p. 371-413.
  • Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approach to the analysis of level relationships. Journal of Applied Econometrics, 16, 289-326.
  • Phillips, P. C. & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.
  • Robertson, M. L. (2016) Securitization and financial markets: the ımplications for ınterest rate pass-through. Journal of Financial Economic Policy, 8(4), 472-498.
  • Sander, H. & Kleimeier, S. (2004). Convergence in Euro-Zone retail banking? What ınterest rate pass-through tells us about monetary policy transmission, competition and ıntegration. Journal of International Money and Finance, 23(3), 461-492.
  • Sahin, S. & Cicek, S. (2018). Interest rate pass-through in Turkey during the period of unconventional interest rate corridor. Quantitative Finance and Economics, 2(4), 837-859.
  • Stiglitz, J. E. & Weiss, A. (1981). Credit rationing in markets with ımperfect ınformation. The American Economic Review, 71(3), 393-410.
  • Terasvirta, T. (1994). Specification, estimation, and evaluation of smooth transition autoregressive models. Journal of the American Statistical Association, 89(425), 208-218.
  • Verheyen, F. (2013). Interest rate pass-through in the EMU–New evidence using the nonlinear ARDL framework. Economics Bulletin, 33(1), 729-739.
  • Yildirim, D. (2012). Interest rate pass-through to Turkish lending rates: a threshold cointegration analysis. ERC Working Papers in Economics, 12(07).
  • Yuksel, E. & Ozcan, K. M. (2013). Interest rate pass-through in Turkey and impact of global financial crisis: asymmetric threshold cointegration analysis. Journal of Business Economics and Management, 14(1), 98-113.
There are 42 citations in total.

Details

Primary Language English
Subjects Economics
Journal Section Articles
Authors

Burçin Çalışkan Gök This is me 0000-0002-2031-7107

Ümit Bulut 0000-0002-8964-0332

Publication Date December 31, 2021
Published in Issue Year 2021 Volume: 5 Issue: 2

Cite

APA Çalışkan Gök, B., & Bulut, Ü. (2021). THE INTEREST RATE PASS-THROUGH PROCESS IN TURKEY: EMPIRICAL EVIDENCE FROM LINEAR AND NONLINEAR ESTIMATION TECHNIQUES. Ahi Evran Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 5(2), 114-126.
AMA Çalışkan Gök B, Bulut Ü. THE INTEREST RATE PASS-THROUGH PROCESS IN TURKEY: EMPIRICAL EVIDENCE FROM LINEAR AND NONLINEAR ESTIMATION TECHNIQUES. the PEAJ. December 2021;5(2):114-126.
Chicago Çalışkan Gök, Burçin, and Ümit Bulut. “THE INTEREST RATE PASS-THROUGH PROCESS IN TURKEY: EMPIRICAL EVIDENCE FROM LINEAR AND NONLINEAR ESTIMATION TECHNIQUES”. Ahi Evran Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi 5, no. 2 (December 2021): 114-26.
EndNote Çalışkan Gök B, Bulut Ü (December 1, 2021) THE INTEREST RATE PASS-THROUGH PROCESS IN TURKEY: EMPIRICAL EVIDENCE FROM LINEAR AND NONLINEAR ESTIMATION TECHNIQUES. Ahi Evran Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 5 2 114–126.
IEEE B. Çalışkan Gök and Ü. Bulut, “THE INTEREST RATE PASS-THROUGH PROCESS IN TURKEY: EMPIRICAL EVIDENCE FROM LINEAR AND NONLINEAR ESTIMATION TECHNIQUES”, the PEAJ, vol. 5, no. 2, pp. 114–126, 2021.
ISNAD Çalışkan Gök, Burçin - Bulut, Ümit. “THE INTEREST RATE PASS-THROUGH PROCESS IN TURKEY: EMPIRICAL EVIDENCE FROM LINEAR AND NONLINEAR ESTIMATION TECHNIQUES”. Ahi Evran Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 5/2 (December 2021), 114-126.
JAMA Çalışkan Gök B, Bulut Ü. THE INTEREST RATE PASS-THROUGH PROCESS IN TURKEY: EMPIRICAL EVIDENCE FROM LINEAR AND NONLINEAR ESTIMATION TECHNIQUES. the PEAJ. 2021;5:114–126.
MLA Çalışkan Gök, Burçin and Ümit Bulut. “THE INTEREST RATE PASS-THROUGH PROCESS IN TURKEY: EMPIRICAL EVIDENCE FROM LINEAR AND NONLINEAR ESTIMATION TECHNIQUES”. Ahi Evran Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, vol. 5, no. 2, 2021, pp. 114-26.
Vancouver Çalışkan Gök B, Bulut Ü. THE INTEREST RATE PASS-THROUGH PROCESS IN TURKEY: EMPIRICAL EVIDENCE FROM LINEAR AND NONLINEAR ESTIMATION TECHNIQUES. the PEAJ. 2021;5(2):114-26.
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