Asymmetric Interest Rate Pass-Through in Türkiye: The Role of Global Financial Crisis

Year 2024, Volume: 19 Issue: 3, 726 - 751

Taner Sekmen

Abstract

The aim of this paper is to investigate the monetary policy rate pass-through to banks’ loan and deposit rates in Turkey. We employ the nonlinear autoregressive distributed lag (NARDL) model with the data set covering the period from January 2002 to October 2019. The loan rates generally have upward rigidities in the long run before the financial crisis, but these rigidities turn into downward and short-run after the financial crisis. These results imply that banks adjusted their loan rates more slowly during monetary tightening periods in the pre-crisis period, while banks' responses are faster during monetary easing periods. However, in the post-crisis period, banks' loan rates react faster during monetary policy tightening than monetary easing periods.

Keywords

Asymmetries, price rigidities, global financial crisis, Turkey

Türkiye’de Asimetrik Faiz Oranı Geçişkenliği: Küresel Finansal Krizin Rolü

Abstract

Bu çalışmanın amacı, Türkiye'de para politikası faizinin bankaların kredi ve mevduat faizlerine geçişkenliğini sorgulamaktır. Çalışmada 2002 Ocak ve 2019 Ekim dönemini kapsayan veri seti ile doğrusal olmayan gecikmesi dağıtılmış otoregresif (NARDL) modeli kullanılmaktadır. Finansal kriz öncesi dönem için uzun dönemde kredi faizleri genellikle yukarı yönlü katılıklara sahipken, bu katılıklar finansal kriz sonrası dönem için aşağı yönlü ve kısa döneme dönüşmektedir. Bu sonuçlar, kriz öncesinde bankaların parasal sıkılaştırma dönemlerinde kredi faizlerini daha yavaş ayarladıklarını, parasal genişleme dönemlerinde ise bankaların tepkilerinin daha hızlı olduğunu ima etmektedir. Ancak kriz sonrasında para politikası sıkılaştırması dönemlerinde bankaların kredi faizleri parasal genişleme dönemlerine göre daha hızlı tepki vermektedir.

Keywords

Asimetriler, fiyat katılıkları, küresel finansal kriz, Türkiye

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