MODELLING THE INTEREST RATE ASYMMETRIC PASS-THROUGH IN TURKISH LOAN MARKET: NEW EVIDENCE FROM THRESHOLD COINTEGRATION ANALYSIS

Abstract

The current study aims to examine the relationship between banks’ marginal cost (official policy rate) and retail rates in Turkish banking loan market. We tested asymmetric pass-through by using threshold autoregressive (TAR) and momentum threshold autoregressive (MTAR) and weekly data over the period of 2011:1 to 2021:36. Empirical results reveal that there is incomplete pass-through between policy rate and retail lending rates as vehicle, housing, and commercial loans. We find that while housing and commercial loan rates are rigid downward, vehicle loan rates are rigid upward. The weak and incomplete adjustment indicate that contestability in Turkish banking market has worsened during the last decades. Moreover, positive, and negative asymmetries in transmission process of Turkish banking system imply that impact of central bank decision on macroeconomic variables (such as inflation, growth etc.) is accepted to be weak in Turkey.

TÜRKİYE KREDİ PİYASASINDA FAİZ ORANI ASİMETRİK GEÇİŞİNİN MODELLENMESİ: EŞİK EŞBÜTÜNLEŞME ANALİZİNDEN YENİ KANITLAR

Abstract

Bu çalışma, bankaların marjinal maliyeti (resmi politika oranı) ile perakende oranları arasındaki ilişkiyi Türkiye bankacılık kredi piyasası kapsamında analiz etmeyi amaçlamaktadır. Asimetrik geçişkenlik eşik otoregresif (TAR) ve momentum eşik otoregresif (MTAR) modelleri kullanılarak, 2011: 1-2021: 36 dönemi haftalık verileri üzerinden test edildi. Ampirik sonuçlar, politika faiz oranı ile taşıt, konut ve ticari kredilerden oluşan perakende kredi oranları arasında tamamlanamayan geçişkenlik olduğunu ortaya koymaktadır. Konut ve ticari kredi oranlarının aşağı yönlü katı, araç kredisi oranlarının ise yukarı yönlü katı olduğu görülmüştür. Zayıf ve tamamlanamayan ayarlama, son on yılda Türk bankacılık piyasasındaki rekabet edilebilirliğin kötüleştiğini göstermektedir. Ayrıca, Türk bankacılık sisteminin aktarım sürecindeki pozitif ve negatif asimetriler, Türkiye'de merkez bankası kararlarının makroekonomik değişkenler (enflasyon, büyüme vb.) üzerindeki etkisinin zayıf olarak kabul edildiğini göstermektedir.

Keywords

• Piyasa Gücü
• Türk Bankacılığı
• Faiz Oranı
• Asimetrik Geçiş

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