A Dynamic Analysis on Pars-Through of Monetary Policy to Loan Rates: The Case of Turkey

Abstract

In this paper, we investigated that the pass-through from policy interest rate to loan rates for the period 2002:01-2014:12 in Turkey. Accordingly, using Bound test approach proposed by Peseran at al. (2001), we investigated co-integration relationship and found long run co-integration relationship between money market rate and cash, automobile and house loan rates. After detecting co-integration relationship, the short and long term relationship between the money market rate and cash, automobile and house loan rates were analyzed by employing ARDL model. Finally, we analyzed the effect of money market rate on cash, automobile and house loan rate dynamically employing Kalman Filter model. Empirical results suggest that cash loans have the highest pass-through adjustment and the dynamic effects of the policy rate on the loan rates generally has decreased until 2008 and is more stable after the global financial crisis.

Keywords

• Interest Rate Pass-Through,Bound Test,Kalman Filter

Para Politikasının Kredi Faiz Oranlarına Geçişkenliği Üzerine Dinamik Bir Analiz: Türkiye Örneği

Abstract

Bu çalışmada, 2002:01-2014:12 dönemi için, Türkiye’de para politikasının banka faiz oranlarına geçişkenliği incelenmiştir. Bu doğrultuda, eşbütünleşme ilişkisi Pesaran vd. (2001) tarafından önerilen Sınır Testi yaklaşımıyla incelenmiş ve politika faiz oranı ile ihtiyaç, taşıt ve konut kredisi faiz oranı arasında eşbütünleşme ilişkisi tespit edilmiştir. Eşbütünleşme ilişkisi bulunduktan sonra, seriler arasında uzun ve kısa dönem ilişkinin belirlenmesi amacıyla ARDL modelleri kurulmuştur. Son olarak, politika faizinin ihtiyaç, taşıt ve konut kredisi faiz oranı üzerindeki etkisi dinamik olarak Kalman Filtresi yöntemiyle incelenmiştir. Kalman Filtresi sonuçları, kredi faiz oranlarının bazı dönemlerde aşağı yönlü katılık sergilediğini göstermiştir. Analiz sonuçları, incelenen dönemde en yüksek geçişkenliğin ihtiyaç kredisi faiz oranında bulunduğunu ve politika faiz oranının kredi faiz oranları üzerindeki dinamik etkisinin genel olarak 2008 yılına kadar azaldığı ve küresel finans krizi sonrası daha istikrarlı olduğunu ortaya koymuştur.

Keywords

• Faiz Oranı Geçişkenliği,Sınır Testi,Kalman Filtresi

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