AN ALTERNATIVE APPROACH TO ANALYZE THE MONETARY TRANSMISSION IN TURKEY: AN EMPIRICAL ANALYSIS ON SPEED OF ADJUSTMENT

Öz

　

Parasal aktarma mekanizmasının para politikasının etkililiği üzerinde hayati rolü vardır. Politika faiz oranındaki değişiklikler reel büyüklüklere bu mekanizmanın kanalları vasıtası ile tesir eder. Bu gecikmeler ile ilgili olarak kullanılan faiz oranı geçişkenliği kavramı, piyasa ve banka faizlerinin politika faizine uyumunun derecesini ve hızını tanımlar. Bu çalışmada uyum hızı parametresinin tahmin edilebileceği bir model önerilerek, Türkiye’de banka kredi faizlerinin politika faizine dinamik uyum hızı karşılaştırmalı olarak analiz edilmektedir.

Anahtar Kelimeler: Para politikası, politika faizi, faiz oranı geçişkenliği, banka kredileri, Hull- White modeli, Kalman filtresi

Anahtar Kelimeler

• Para politikası, politika faizi, faiz oranı geçişkenliği, banka kredileri, HullWhite modeli, Kalman filtresi

References

1. AYDIN H.İbrahim (2007), Interest Rate Pass-Through in Turkey, CBRT Research and Monetary Policy Department, Working Paper, No:07/05
2. BERNANKE Ben S. and Alan S. BLINDER (1988), Credit, Money, and Aggregate Demand, The American Economic Review, May 1988, Pages:435-439
3. BERNANKE Ben S. and Mark GERTLER (1995), Inside the Black Box: The Credit Channel of Monetary Transmission, Journal of Economic Perspectives, Vol.9, Num.4, Pages:27-48
4. BLINDER Alan. S. and Joseph E. STIGLITZ (1983), Money, Credit Constraints, and Economic Activity, The American Economic Review, May 1983, Vol.73, No.2, Pages:297-302
5. BONDT Gabe De, Benoit MOJON and Natacha VALLA (1995), Term Structure and the sluggishness of Retail Bank Interest Rates in Euro Area Countries, ECB Working Paper Series, No.518
6. BORIO Claudio E.V. and Wilhelm FRITZ (1995), The Response of Short Term Bank Lending Rates to Policy Rates: A Cross Country Perspective, BIS Working Paper, May 1995, No.27
7. COTTARELLI Carlo and Angeliki KOURELIS (1994), Financial Structure, Bank Lending Rates, and the Transmission Mechanism of Monetary Policy, IMF Working Paper, March 1994, No.94/39
8. ÇAVUŞOĞLU Fazilet (2010), Para Politikası Faiz Oranlarından Mevduat ve Kredi Faiz Oranlarına Geçişkenlik: Türkiye Örneği, Türkiye Cumhuriyet Merkez Bankası, Uzmanlık Yeterlilik Tezi

9. DONNAY Marie and Hans DEGRYSE (2001), Bank Lending Rate Pass Through and Differences in the Transmission of a Single EMU Monetary Policy, Centre for Economic Studies, August 2001, Discussion Paper 01.17
10. GIGINEISHVILI Nikoloz (2011), Determinants of Interest Rate Pass-Through: Do Macroeconomic Conditions and Financial Market Structure Matter?, IMF Working Paper, 11/176
11. HANSEN Harbo N. and P.WELZ (2011), Interest Rate Pass-through During the Global Financial Crisis: The Case of Sweden, OECD Economics Department Working Papers, No. 855, OECD Publishing. http://dx.doi.org/10.1787/5kgdx1j025ln-en
12. HULL John and Alan WHITE (1990), Pricing interest-rate derivative securities, The Review of Financial Studies, Vol 3, No. 4, Pages: 573–592
13. KRIPPNER Greta (2005), The Financialization of the American Economy, Socio-Economic Review, Vol.3, Num. 2, May 2005, Pages: 173-208
14. MISHKIN Frederic S. (1996), The Channels of Monetary Transmission: Lessons for Monetary Policy, National Bureau of Economic Research, Working Paper 5464, February 1996
15. MODIGLIANI Franco (1971), Monetary Policy and Consumption, in Consumer Spending and Monetary Policy: The Linkages, Federal Reserve Bank of Boston, Pages:9-84
16. ÖZDEMİR B. Kağan (2009), Retail Bank Interest Rate Pass-Through: the Turkish Experience, International Research Journal of Finance and Economics, Num:28, Pages: 7-15
17. SANDER Harald and Stefanie KLEIMEIER (2002), Asymmetric Adjustment of Commercial Bank Interest Rates in the Euro Area: An Empirical Investigation into Interest Rate Pass-Through, Kredit und Kapital 2, Pages:161-192.
18. SANDER Harald and Stefanie KLEIMEIER (2004), Convergence in euro-zone retail banking? What interest rate pass-though tells us about monetary policy transmission, competition and integration, Journal of International Money and Finance, Num. 23, Pages: 461-492.
19. TAYLOR John B. (1995), The Monetary Transmission Mechanism: An Empirical Framework, Journal of Economic Perspectives, Vol.9, Num.4, Pages:11-26
20. TOBIN James (1969), A General Equilibrium Approach to Monetary Theory, Journal of Money, Credit and Banking, Vol.1, No.1, Pages:15-29