Did Commercial Banks Follow The Policy of The Central Bank? Evidence From Selected EU Countries

Abstract

This study is based on examining the interaction between the interest rates set by commercial banks and the central bank policy rate. In this framework, it is analyzed whether bank interest rates follow the policy decisions of central banks for selected European countries (Bulgaria, Czechia, Denmark, Hungary, Romania, and Turkey). The research hypotheses put forward were tested using the Toda-Yamamoto approach for the periods 2010M01-2021M08. It showed a reciprocal causality between deposit rates and policy rates in Bulgaria, Romania, and Turkey. However, for Czechia, Denmark, and Hungary, the causality direction was only from the policy rate to the deposit rate. Our hypothesis that banks follow the policy rate is valid for the Czech Republic, Denmark, and Hungary. However, since the causality is bidirectional in Bulgaria, Romania, and Turkey, we couldn't conclude that banks follow the policy rate.

Keywords

• Policy rate
• interest rates
• central banks
• banks
• causality

Did Commercial Banks Follow The Policy of The Central Bank? Evidence From Selected EU Countries

Abstract

Bu çalışma, ticari bankaların belirlediği faiz oranları ile merkez bankası politika faizi arasındaki etkileşimin incelenmesine dayanmaktadır. Bu çerçevede seçilen Avrupa ülkeleri (Bulgaristan, Çekya, Danimarka, Macaristan, Romanya ve Türkiye) için banka faiz oranlarının ülkelere ait merkez bankalarının politika kararlarını takip edip etmediği analiz edilmektedir. Ortaya konulan araştırma hipotezleri, 2010M01-2021M08 dönemleri için Toda-Yamamoto yaklaşımı kullanılarak test edilmiştir. Bulgaristan, Romanya ve Türkiye'de mevduat faizleri ile politika faizleri arasında karşılıklı bir nedensellik olduğunu göstermiştir. Ancak Çekya, Danimarka ve Macaristan için nedensellik yönü sadece politika faizinden mevduat faizine doğrudur. Bankaların politika faizini izlediği hipotezimiz Çek Cumhuriyeti, Danimarka ve Macaristan için geçerlidir. Ancak Bulgaristan, Romanya ve Türkiye'de nedensellik çift yönlü olduğu için bankaların politika faizini izlediği sonucuna varılamamıştır.

Keywords

• Politika faizi
• faiz oranları
• merkez bankaları
• bankalar
• nedensellik

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