The Efficiency of The Interest Channel in The Context of Monetary Policy in Developed Countries

Abstract

In recent years, the consequences of globalization and global developments in an area or around the world have harmed monetary transmission channels, creating an axis shift and diminishing the efficiency of monetary policy instruments. There is significant evidence about the influence of foreign monetary policy transfer on the excess supply of credit, according to studies on the subject. As a result, dynamically unbundling different monetary policy channels or comparing the outcomes of various policies is regarded as a crucial observation. The efficiency of the interest rate channel of the monetary transmission mechanism is explored in this study using annual data from the IMF and World Bank databases for the countries included in the MSCI emerging markets index for the years 1995 to 2021. In the study, panel unit root tests, panel cointegration tests with structural breaks, and panel causality tests developed by Kónya (2006) were applied to the variables determined to contain cross-sectional dependence. Within the framework of the panel VAR model established in line with the results obtained from these tests, the efficiency of the interest channel was investigated with the impulse-response functions and variance decomposition methods. While interest rate shocks have no statistically significant impact on loans, they do have a beneficial impact on inflation in the first two years and a negative impact in the subsequent years (up to the 6th year). In conclusion, the findings of this analysis suggest that, while shock rises in interest rates have a modest influence on the gross domestic product, they do promote, albeit slightly, the drop in the inflation rate.

Keywords

• Monetary Policy Transmission Channels
• Interest Rates
• Monetary Policy
• Central Banks and Policies

Gelişmiş Ülkelerde Faiz Kanalının Para Politikası Etkinliği

Abstract

Küreselleşme ve küresel gelişmelerin bir bölgede ya da dünya genelindeki etkileri parasal aktarım kanallarını son yıllarda olumsuz etkilemiş, eksen kaymasına neden olmuş ve para politikası araçlarının etkinliğini azaltmıştır. Bu konuda yapılan araştırmalar, uluslararası para politikası transferinin kredi arz fazlası üzerindeki etkisi ile ilgili önemli kanıtlar olduğunu vurgulamaktadır. Bu nedenle, farklı para politikası kanallarının dinamik olarak ayrıştırılması veya farklı politikaların sonuçlarının karşılaştırılması önemli bir gözlem olarak değerlendirilmektedir. Bu çalışmada, MSCI gelişmekte olan piyasalar endeksinde yer alan ülkelere ait, IMF ve Dünya Bankası veri tabanlarından elde edilen ve 1995-2021 dönemlerini kapsayan yıllık veriler ile parasal aktarım mekanizmasının faiz oranı kanalının etkinliği araştırılmaktadır. Çalışmada yatay kesit bağımlılığı içerdiği belirlenen değişkenlere yapısal kırılmaları dikkate alan panel birim kök testleri, ve yapısal kırılmalı panel eşbütünleşme testleri ve son olarak Konya tarafından geliştirilen panel nedensellik testleri uygulanmıştır. Bu testlerden elde edilen sonuçlar doğrultusunda kurulan panel VAR modeli çerçevesinde, etki-tepki fonksiyonları ve varyans ayrıştırması yöntemleriyle faiz kanalının etkinliği araştırılmıştır. Krediler üzerinde faiz şoklarının istatistiksel olarak anlamlı bir etkisi yokken faiz şokları enflasyonu ilk 2 yıl pozitif etkilerken sonraki yıllarda negatif etkilemektedir. Özetle, bu çalışmanın sonuçları, faiz oranındaki şok artışların, gayri safi yurtiçi hasıla üzerinde etkisi kısıtlı olmakla birlikte, faiz oranlarındaki artışın enflasyon oranındaki azalışı zayıf olmakla birlikte desteklediği tespit edilmiştir.

Keywords

• Para Politikası Aktarım Mekanizmaları
• Faiz Oranları
• Para Politikası
• Merkez Bankaları ve Politikaları

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