Interest Rate Pass-Through and Monetary Transmission Mechanism in Turkey

Abstract

Bu çalışmada, Türkiye Cumhuriyet Merkez Bankası (TCMB) resmi faiz oranlarındaki değişikliklerin Türkiye'deki piyasa faiz oranlarına geçişkenliği incelenmektedir. Bu amaç doğrultusunda, mümkün olduğunca çeşitliliği fazla olan piyasa faiz oranları kullanılmıştır. Bu kapsamda Banka faizi (BR), borç verme faizi (LR), mevduat faizi (DR), para politika faizi (MMR), Hazine bonosu faizi (TBR) ve Devlet tahvili faizi ( GBY) olmak üzere altı piyasa faiz oranı analize dahil edilmiştir. Veri setimiz Ocak 2002-Mart 2021 dönemini kapsamaktadır. Daha önceki çalışmaları takiben birçok analiz seti uygulanmıştır. İlk olarak serilerin korelasyon analizini, ve sonra serilerin eşbütünleşikliği ve ardından Bayesian Vektör Otoregresyonu kullanılarak faiz oranlarının banka faiz oranına reaksiyonunu tahmin edilmektedir. Sonuçlara göre, faiz oranı arasında uzun dönemli bir ilişki olduğunu ve Banka faizi ile para piyasası oranı, mevduat oranı (DR) ve borç verme oranı gibi faiz oranlarının arasında güçlü bir korelasyon mevcuttur. Banka oranı ile depozit oranı arasında tam geçişkenlik olduğu tespit edilmiştir. Para piyasası faizi ile banka faizi arasında aşırı geçişkenlik, Hazine bonosu faizi, mevduat faizi ve banka faizi arasında güçlü geçişkenlik olduğu kanıtına varılmıştır. Devlet tahvili getirisi ile banka faizi arasında herhangi bir geçişkenliğe rastlanılmamıştır.

Keywords

• Interest Rate
• Pass-Through
• Monetary Transmission Mechanism
• Monetary Policy

Interest Rate Pass-Through and Transmission Mechanism in Turkey

Abstract

This paper studies the interest rates pass-through from changes in the official interest rate of the Central Bank of the Republic of Turkey (CBRT) to market interest rates in Turkey. In this context, we have collected six market interest rates series, such as bank rate (BR), lending rate (LR), deposit rate (DR), money market rate (MMR), Treasury bill rate (TBR) and the government bond yield (GBY). First, we conducted an analysis of the correlation of the series. Second, we examined the cointegration of the series and then used Bayesian vector autoregression to estimate the response of interest rates to the bank rate. The results show that there is a long-run relationship between the interest rates and there is a strong correlation between the bank interest rate and the third interest rates such as the money market rate, the deposit rate (DR) and the lending rate. There is a complete the pass-through between the bank rate and the landing rate. There is over pass-through between the money market rate and the bank rate and strong pass-through between the Treasury bill rate, the deposit rate and the bank rate. There is no pass-through between government bond yield and the bank rate.

Keywords

• Interest Rate
• Pass-Through
• Monetary Transmission Mechanism
• Monetary Policy

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