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GEÇ LİKİDİTE PENCERESİ FAİZ ORANLARININ KREDİ FAİZ ORANLARI VE DÖVİZ KURLARI ÜZERİNDEKİ ETKİSİNİN ANALİZİ: TÜRKİYE ÖRNEĞİ

Yıl 2019, Cilt: 4 Sayı: 8, 13 - 26, 30.06.2019

Öz

TCMB, 2017-2018 döneminde parasal
sıkılaştırma kanalı olarak Geç Likidite Penceresini aktif bir şekilde kullanmış
ve döviz kurlarının enflasyon üzerinde yarattığı baskıyı önleyebilmek amacıyla GLP
faiz oranlarında %10’dan %27’ye kademeli bir artış gerçekleştirmiştir. Bu
çalışmanın amacı 2010:01-2018:10 döneminde GLP faiz oranları ile banka kredi
oranları ve döviz kurları arasındaki ilişkinin incelenmesidir. Analizde, GLP
faiz oranları, nominal kredi oranları ve reel efektif döviz kuruna ilişkin
olarak TCMB’den elde edilen aylık veriler kullanılarak Fourier SHIN eşbütünleşme
testi ve Fourier Granger nedensellik testi uygulanmıştır. Elde edilen sonuçlar,
Geç Likidite Penceresi faiz oranlarının banka kredi faiz oranlarında ve döviz
kurları üzerinde etkili olduğunu göstermektedir.




Kaynakça

  • AKTAŞ, Z., ALP, H., GÜRKAYNAK, R., KESRIYELI, M. VE ORAK, M. (2008). “Türkiye’de Para Politikasının Aktarımı: Para Politikasının Mali Piyasalara Etkisi”, TCMB Araştırma ve Para Politikası Genel Müdürlüğü Çalışma Tebliği, No:08/11, 1-17.
  • AYDIN, H.İ. (2007). “Interest Rate Pass-through in Turkey”, CBRT Working Papers 07/05, Research and Monetary Policy Department.
  • BUCH, C.M., BUSSIERE, M., GOLDBERG, L. VE HILLS, R. (2018). “International Transmission of Monetary Policy”, Deutsche Bundesbank Discussion Paper, 16/2018, 1-58.
  • CAS, S.M., CARRIÓN-MENÉNDEZ, A VE FRANTISCHEK, F. (2011). “The Policy Interest-Rate Pass-through in Central America”, IMF Working Paper, 11/240, 1-22.
  • CBRT (2017). Monetary and Exchange Rate Policy Report for 2018, 5 December 2017, 1-14. Available at; http://www.tcmb.gov.tr/wps/wcm/connect/92636dde-0107-4ffa-bd25e6b060621a52/paravekur .politikas_eng.pdf?MOD=AJPERES&CVID= 24 October 2018.
  • CBRT (2018). Electronic Data Delivery System. Available at; https://evds2.tcmb.gov.tr/, 30 October 2018.
  • DE BONDT, G. J. (2005). “Interest Rate Pass-through: Empirical Results for the Euro Area, German Economic Review, 6(1), 37-78.
  • DEKLE, R., HSIAO, C. VE WANG, S. (2002). “High Interest Rates and Exchange Rate Stabilization in Korea, Malaysia and Thailand: An Emprical Investigation of the Traditional and Revisionist Views”, Review of International Economics, 10(1), 64-78.
  • ENDERS, W. VE LEE, J. (2012). “The Flexible Fourier Form and the Dickey-Fuller Type Unit Root Tests”, Economics Letters, 117, 196-199.
  • ENDERS, W. VE JONES, P. (2016). “Grain Prices, Oil Prices and Multiple Smooth Breaks in a VAR”, Studies in Nonlinear Dynamics & Econometrics, 2016, 20(4), 399-419.
  • GOULD, D. M. VE KAMIN, S.B. (2000). “The Impact of Monetary Policy on Exchange Rates During Financial Crisis”, International Finance Discussion Papers, No: 669, Board of Governors of the Federal Reserve System, Washington DC, 1-53.
  • GÜL, E., EKINCI, A. VE ÖZER, M. (2007). “Türkiye’de Faiz Oranları ve Döviz Kuru Arasındaki Nedensellik İlişkisi: 1984–2006”, İktisat İşletme ve Finans, 22(251), 21-31.
  • GÜMÜŞ, İ. (2002). “Effect of the Interest Rate Defense on Exchange Rates during the 1994 Crisis in Turkey”, CBRT Working Papers, No: 14, 1-16.
  • KARACA, O. (2005). “Türkiye’de Faiz Oranı ile Döviz Kuru Arasındaki İlişki: Faizlerin Düşürülmesi Kurları Yükseltir mi?”, Türkiye Ekonomi Kurumu Tartışma Metni, 2005/14, 1-17.
  • KAYHAN, S., BAYAT, T. VE UĞUR, A. (2013). “Interest Rates and Exchange Rate Relationship in BRIC-T Countries”, Ege Academic Review, 13(2), 227-236.
  • KWAPIL, C. VE SCHARLER, J. (2010). “Interest Rate Pass-through, Monetary Policy Rules and Macroeconomic Stability”, Journal of International Money and Finance, 29(2), 236-251.
  • LAHIRI, A. VE VEGH, C.A. (2001). “On the Nonmonotonic Relation between Interest Rates and the Exchange Rate” Macroeconomics Workshop, UCLA.
  • MAROTTA, G. (2009). “Structural Breaks in the Lending Interest Rate Pass-through and the Euro”, Economic Modelling, 26, 191-205.
  • MATEMILOLA, B.T., BANNY-ARIFFIN, A.N. VE MUHTAR, F.E. (2015). “The Impact of Monetary Policy on Bank Lending Rate in South Africa”, Borsa Istanbul Review, 15(1), 53-59.
  • PARIES, M.D., MOCCERO, D.N., KRYLOVA, E. VE MARCHINI, C. (2014). “The Retail Bank Interest Rate Pass-through: the Case of the Euro-Area during the Financial and Sovereign Debt Crisis”, Occasional Paper Series, No:155, 1-47.
  • SORENSEN, C.K. VE WERNE, T. (2006). “Bank Interest Rate Pass-through in the Euro-Area: A Cross Country Comparison”, Working Paper Series, No:580, 1-65.
  • TAI, P.N., SEK, S.K. VE HAR, W.M. (2012). “Interest Rate Pass-through and Monetary Transmission in Asia”, International Journal of Economics and Finance, 4(2), 163-174.
  • TSONG, C.C., LEE, C.F., TSAI, L.J. VE HU, T.C. (2016). “The Fourier Approximation and Testing for the Null of Cointegration”, Empirical Economics, 51(3), 1085-1113.
  • VITHESSONTHI, C., SCHWANINGER, M. VE MÜLLER, M.O. (2017). “Monetary Policy, Bank Lending and Corporate Investment”, International Review of Financial Analysis, 50, 129-142.
  • VON BORSTEL, J., EICKMEIER, S. ve KRIPPNER, L. (2015). “The Interest Rate Pass-through in the Euro-Area during the Sovereign Debt Crisis”, Discussion Paper Series, Reserve Bank of New Zealand, 1-56.
  • WANG, K.M. ve LEE, Y.M. (2009). “Market Volatility and Retail Interest Rate Pass-through”, Economic Modelling, 26(6), 1270-1282.
  • WETH, M. (2002). “The Pass-through from Market Interest Rates to Bank Lending Rates in Germany”, Economic Research Centre Of The Deustche Bundesbank, Discussion Paper, 11/02, 1-40.
  • YILANCI, V. (2017). “Analyzing the Relationship between Oil Prices and Economic Growth: a Fourier Approach”, Econometrics and Statistics, 27(2), 51-67.

ANALYSIS OF IMPACT OF LATE LIQUIDITY WINDOW RATES ON LENDING RATES AND FOREIGH EXCHANGE RATES: EVIDENCE FROM TURKEY

Yıl 2019, Cilt: 4 Sayı: 8, 13 - 26, 30.06.2019

Öz

CBRT has actively used the Late
Liquidity Window as a monetary tightening channelin 2017 and 2018 and achieved
a gradual increase in LLW rates from %10 to %27 to minimize the pressure
exerted on inflation by the foreign exchange rates. The purpose of this study
to investigate the relationship between LLW rates, bank lending rates and
foreign exchange rates in the period of 2010:01-2018:10. In the analysis,
Fourier SHIN Cointegration Test and Fourier Granger Causality Test have been employed
by using monthly data on LLW rates, nominal lending rates and real effective
exchange rates obtained from CBRT. The findings indicate that LLW rates have
impacts on bank lending rates and foreign exchange rates.

Kaynakça

  • AKTAŞ, Z., ALP, H., GÜRKAYNAK, R., KESRIYELI, M. VE ORAK, M. (2008). “Türkiye’de Para Politikasının Aktarımı: Para Politikasının Mali Piyasalara Etkisi”, TCMB Araştırma ve Para Politikası Genel Müdürlüğü Çalışma Tebliği, No:08/11, 1-17.
  • AYDIN, H.İ. (2007). “Interest Rate Pass-through in Turkey”, CBRT Working Papers 07/05, Research and Monetary Policy Department.
  • BUCH, C.M., BUSSIERE, M., GOLDBERG, L. VE HILLS, R. (2018). “International Transmission of Monetary Policy”, Deutsche Bundesbank Discussion Paper, 16/2018, 1-58.
  • CAS, S.M., CARRIÓN-MENÉNDEZ, A VE FRANTISCHEK, F. (2011). “The Policy Interest-Rate Pass-through in Central America”, IMF Working Paper, 11/240, 1-22.
  • CBRT (2017). Monetary and Exchange Rate Policy Report for 2018, 5 December 2017, 1-14. Available at; http://www.tcmb.gov.tr/wps/wcm/connect/92636dde-0107-4ffa-bd25e6b060621a52/paravekur .politikas_eng.pdf?MOD=AJPERES&CVID= 24 October 2018.
  • CBRT (2018). Electronic Data Delivery System. Available at; https://evds2.tcmb.gov.tr/, 30 October 2018.
  • DE BONDT, G. J. (2005). “Interest Rate Pass-through: Empirical Results for the Euro Area, German Economic Review, 6(1), 37-78.
  • DEKLE, R., HSIAO, C. VE WANG, S. (2002). “High Interest Rates and Exchange Rate Stabilization in Korea, Malaysia and Thailand: An Emprical Investigation of the Traditional and Revisionist Views”, Review of International Economics, 10(1), 64-78.
  • ENDERS, W. VE LEE, J. (2012). “The Flexible Fourier Form and the Dickey-Fuller Type Unit Root Tests”, Economics Letters, 117, 196-199.
  • ENDERS, W. VE JONES, P. (2016). “Grain Prices, Oil Prices and Multiple Smooth Breaks in a VAR”, Studies in Nonlinear Dynamics & Econometrics, 2016, 20(4), 399-419.
  • GOULD, D. M. VE KAMIN, S.B. (2000). “The Impact of Monetary Policy on Exchange Rates During Financial Crisis”, International Finance Discussion Papers, No: 669, Board of Governors of the Federal Reserve System, Washington DC, 1-53.
  • GÜL, E., EKINCI, A. VE ÖZER, M. (2007). “Türkiye’de Faiz Oranları ve Döviz Kuru Arasındaki Nedensellik İlişkisi: 1984–2006”, İktisat İşletme ve Finans, 22(251), 21-31.
  • GÜMÜŞ, İ. (2002). “Effect of the Interest Rate Defense on Exchange Rates during the 1994 Crisis in Turkey”, CBRT Working Papers, No: 14, 1-16.
  • KARACA, O. (2005). “Türkiye’de Faiz Oranı ile Döviz Kuru Arasındaki İlişki: Faizlerin Düşürülmesi Kurları Yükseltir mi?”, Türkiye Ekonomi Kurumu Tartışma Metni, 2005/14, 1-17.
  • KAYHAN, S., BAYAT, T. VE UĞUR, A. (2013). “Interest Rates and Exchange Rate Relationship in BRIC-T Countries”, Ege Academic Review, 13(2), 227-236.
  • KWAPIL, C. VE SCHARLER, J. (2010). “Interest Rate Pass-through, Monetary Policy Rules and Macroeconomic Stability”, Journal of International Money and Finance, 29(2), 236-251.
  • LAHIRI, A. VE VEGH, C.A. (2001). “On the Nonmonotonic Relation between Interest Rates and the Exchange Rate” Macroeconomics Workshop, UCLA.
  • MAROTTA, G. (2009). “Structural Breaks in the Lending Interest Rate Pass-through and the Euro”, Economic Modelling, 26, 191-205.
  • MATEMILOLA, B.T., BANNY-ARIFFIN, A.N. VE MUHTAR, F.E. (2015). “The Impact of Monetary Policy on Bank Lending Rate in South Africa”, Borsa Istanbul Review, 15(1), 53-59.
  • PARIES, M.D., MOCCERO, D.N., KRYLOVA, E. VE MARCHINI, C. (2014). “The Retail Bank Interest Rate Pass-through: the Case of the Euro-Area during the Financial and Sovereign Debt Crisis”, Occasional Paper Series, No:155, 1-47.
  • SORENSEN, C.K. VE WERNE, T. (2006). “Bank Interest Rate Pass-through in the Euro-Area: A Cross Country Comparison”, Working Paper Series, No:580, 1-65.
  • TAI, P.N., SEK, S.K. VE HAR, W.M. (2012). “Interest Rate Pass-through and Monetary Transmission in Asia”, International Journal of Economics and Finance, 4(2), 163-174.
  • TSONG, C.C., LEE, C.F., TSAI, L.J. VE HU, T.C. (2016). “The Fourier Approximation and Testing for the Null of Cointegration”, Empirical Economics, 51(3), 1085-1113.
  • VITHESSONTHI, C., SCHWANINGER, M. VE MÜLLER, M.O. (2017). “Monetary Policy, Bank Lending and Corporate Investment”, International Review of Financial Analysis, 50, 129-142.
  • VON BORSTEL, J., EICKMEIER, S. ve KRIPPNER, L. (2015). “The Interest Rate Pass-through in the Euro-Area during the Sovereign Debt Crisis”, Discussion Paper Series, Reserve Bank of New Zealand, 1-56.
  • WANG, K.M. ve LEE, Y.M. (2009). “Market Volatility and Retail Interest Rate Pass-through”, Economic Modelling, 26(6), 1270-1282.
  • WETH, M. (2002). “The Pass-through from Market Interest Rates to Bank Lending Rates in Germany”, Economic Research Centre Of The Deustche Bundesbank, Discussion Paper, 11/02, 1-40.
  • YILANCI, V. (2017). “Analyzing the Relationship between Oil Prices and Economic Growth: a Fourier Approach”, Econometrics and Statistics, 27(2), 51-67.
Toplam 28 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Esra N. Kılcı 0000-0002-2239-4560

Yayımlanma Tarihi 30 Haziran 2019
Yayımlandığı Sayı Yıl 2019 Cilt: 4 Sayı: 8

Kaynak Göster

APA Kılcı, E. N. (2019). GEÇ LİKİDİTE PENCERESİ FAİZ ORANLARININ KREDİ FAİZ ORANLARI VE DÖVİZ KURLARI ÜZERİNDEKİ ETKİSİNİN ANALİZİ: TÜRKİYE ÖRNEĞİ. Uluslararası Afro-Avrasya Araştırmaları Dergisi, 4(8), 13-26.

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