Investigation of Interest Rates Applied by Banks in Türkiye to Deposits in Various Maturities by the GSADF Test

Year 2025, Volume: 18 Issue: 1, 33 - 50, 30.04.2025

Sibel Kuzgun Akın , Erkan Işığıçok

https://doi.org/10.37093/ijsi.1524260

Abstract

The decisions taken by banks regarding interest rates have an impact on all actors in the economy, including borrowers, depositors, savings, and consumption expenditures. In this study, we examined asset bubbles in the weighted average interest rates applied by banks in Türkiye for deposits according to various maturities with the "Generalized Supremum Augmented Dickey-Fuller (GSADF)" unit root test. Considering the weekly deposit interest rates for the last 10 years (2014-2024); statistically significant bubbles were found in all 1-month, 3-month, 6-month, and 12-month interest rates at the 0.01 significance level. The background of the relationship between the type of asset and the economic crisis following the bursting of a bubble is relevant to the financing of that asset. We expect that this study will guide banks in updating their reserve amounts by taking into account extraordinary situations in order to avoid liquidity shortages. After investigating the bubble occurrence, we have looked for the important events in Türkiye that coincide with the bubble dates. We have observed bubbles in 1-month, 3-month- 6-month maturities at the same time with the plebiscite in 2017, the presidential and parliamentary elections in 2018 and 2023.

Keywords

GSADF Test , Deposit Interest Rate , Maturity , Bubble Assets , Dates of the Bubbles

Türkiye'de Bankaların Çeşitli Vadelerdeki Mevduata Uyguladığı Faiz Oranlarının GSADF Testi ile İncelenmesi

Abstract

Bankaların faiz oranlarına ilişkin aldığı kararların; kredi borçluları, mevduat sahipleri, tasarruf ve tüketim harcamalarını kapsayacak şekilde ekonomideki tüm aktörlere etkisi bulunmaktadır. Bu çalışmada, Türkiye’de bankaların mevduatlar için çeşitli vadelere göre uyguladıkları ağırlıklı ortalama faiz oranlarındaki balon varlıkları "Genelleştirilmiş Supremum Augmented Dickey Fuller (GSADF)” birim kök testi ile incelenmiştir. Son 10 yıllık (2014-2024) dönemdeki haftalık mevduat faiz oranları dikkate alınarak; 1 aylık, 3 aylık, 6 aylık ve 12 aylık vadeli faizlerin hepsinde 0.01 anlamlılık düzeyinde istatistiksel olarak anlamlı balonlar bulunmuştur. Bir balonun patlamasını izleyen ekonomik krizin varlık türüyle ilişkisinin arka planında balonun finansmanıyla ilgisi bulunmaktadır. Bu çalışmanın, bankaların likidite sıkışıklığı yaşamamaları açısından olağandışı durumları göz önünde bulundurarak rezerv miktarlarını güncellemelerine yol gösterici olması beklenmektedir. Balon oluşumu araştırıldıktan sonra, balon tarihleriyle eşzamanlı olarak Türkiye'de gerçekleşen önemli olaylara bakılmıştır. 2017 yılındaki halk oylaması ile 2018 ve 2023'te gerçekleşen cumhurbaşkanlığı seçimi ve genel seçimlerle aynı dönemlerde 1, 3 ve 6 ay vadeli mevduat faizlerinde balon varlıkları gözlenmiştir.

Keywords

GSADF Testi , Mevduat Faiz Oranları , Vade , Balon Varlıkları , Balon Tarihleri

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