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MODELLING THE INTEREST RATE ASYMMETRIC PASS-THROUGH IN TURKISH LOAN MARKET: NEW EVIDENCE FROM THRESHOLD COINTEGRATION ANALYSIS

Yıl 2021, Cilt: 23 Sayı: 4 , 1495 - 1519 , 31.12.2021

Gülden Bölük , Fatih Demir

https://doi.org/10.16953/deusosbil.1009194
https://izlik.org/JA87RF83ZD

Öz

The current study aims to examine the relationship between banks’ marginal cost (official policy rate) and retail rates in Turkish banking loan market. We tested asymmetric pass-through by using threshold autoregressive (TAR) and momentum threshold autoregressive (MTAR) and weekly data over the period of 2011:1 to 2021:36. Empirical results reveal that there is incomplete pass-through between policy rate and retail lending rates as vehicle, housing, and commercial loans. We find that while housing and commercial loan rates are rigid downward, vehicle loan rates are rigid upward. The weak and incomplete adjustment indicate that contestability in Turkish banking market has worsened during the last decades. Moreover, positive, and negative asymmetries in transmission process of Turkish banking system imply that impact of central bank decision on macroeconomic variables (such as inflation, growth etc.) is accepted to be weak in Turkey.

Kaynakça

  • Abbasoğlu D.F., Aysan A.F. & Gunes A., (2007). Concentration, Competition, efficiency and profitability of Turkish banking sector in the post-crises period. Munich Personel RePEC Archieve, MPRA Paper No:5494.
  • Aksoy T. (2019). "Concentration in Turkish Banking Sector" in Researches in Economics & Finance, pp.111-116 (Ed. Hilal Yıldız, Ahmet Sedat Aybar, IJOPEC Publication, London.
  • Apergis N. & Cooray A. (2015). Asymmetric interest rate pass-through in the U.S., the U.K and Australia: New evidence from selected individual banks. Journal of Macroeconomics, 45, 155-172.
  • Avci S.B. & Yucel E. (2017). Effectiveness of monetary policy:evidence from Turkey. Euroasian Economic Review, 7, 179-213.
  • Aydin H.I. (2007). Interest rate pass-through in Turkey. Research and Monetary Policy Department. Working Paper No:07/05, The Central Bank of Republic of Turkey (TCMB).
  • Aziakpono M.J. & Wilson M.K., (2013). Interest rate pass-through and monetary policy regimes in South Africa.
  • Becker R., Osborn D.R. & Yildirim D., (2012). A threshold cointegration analysis of interest rate pass-through to UK mortgage rates. Economic Modelling, 29, 2504-2513.
  • Bennouna H., (2019). Interest rate pass-through in Morocco:Evidence from bank-level survey data. Economic Modelling, 80, 142-157.
  • Binici M., Kara H. & Özlü P. (2016). Faiz Koridoru ve Banka Faizleri: Parasal Aktarım Mekanizmasına Dair Bazı Bulgular. TCMB Çalışma Tebliği, 16/08.
  • Binici M., Kara H. & Özlü P. (2018). Monetary transmission with multiple policy rates: evidence from Turkey. Applied Economics, 51(17), 1869-1873.
  • Borenstein S., Colin C. & Richard G. (1997). Do gasoline prices respond asymmetrically to crude oil price changes? Quarterly Journal of Economics, 112, 305-339.
  • Borio C.E.V. & Fritz W. (1995). The response of short-term bank lending rates to policy rates: A Cross-country perspective. BIS Working Paper, No:27.
  • Büberkökü Ö. & Kızılder C. (2019). Geleneksel olmayan para politikası uygulamaları döneminde faiz oranı geçişkenliğinin incelenmesi. Van Yüzüncü Yıl Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Bahar/8.
  • Cecchin I. (2011). Mortgage rate pass-through in Switzerland. Working Papers 2011-08, Swiss National Bank.
  • Chan, Kung-Sik. (1993). Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model. The Annals of Statistics 21: 520–33
  • Chong B.S., Liu M-H. & Shrestha K. (2006). Monetary transmission via the administered interest rates channel. Journal of Banking&Finance, 30, 1467-1484.
  • Contuk F.Y. & Burucu H., (2016). Concentration and Competition in banking sector: Turkey case (2001-2015). Uluslararası Sosyal Araştırmalar Dergisi, 9(46), 884-892.
  • Cottarelli C. & Kourelis A., (1994). Financial structure, bank lending rates, and the transmission mechanism of monetary policy. IMF Staff Papers, 41(4), 587-623.
  • Corvoisier S. & Gropp R.E., (2001). Bank concentration and retail rates. Journal of Banking&Finance, 26(11), 2155-2189.
  • Dickey, D. A. & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427-431.
  • Ekinci R., Ceylan F, Tüzün O. & Kahyaoğlu H. (2016). TCMB Ağırlıklı Ortalama Fonlama Maliyeti’nin BİST100 Üzerindeki Etkisi. Journal of Yaşar University, 11(44), 263-277.
  • Enders, W. & Granger, C. W. J. (1998). Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of Business & Economic Statistics, 16(3), 304-311.
  • Enders, W. & Siklos, P. L. (2001). Cointegration and threshold adjustment. Journal of Business & Economic Statistics, 19(2), 166-176.
  • Engle, R. F. & Granger, C. W. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica: Journal of the Econometric Society, 251-276.
  • Gambacorta L. & Iannotti S., (2007). Are there asymmetries in the response of bank interest rates to monetary shocks? Applied Economics, 39(19), 2503-2517.
  • Granger C.W.J. & Newbold P. (1974). Spirous regressions in econometrics, Journal of Econometrics, 2(2), 111-120.
  • Günalp B. & Çelik T., (2006). Competition in the Turkish banking industry. Applied Economics, 38(11), 1335-1342.
  • Hoffman B. & Mizen P. (2004). Interest rate pass through and monetary transmission: Evidence from individual financial institutions’ retail rates, Economics, 71, 99-123
  • Hannan T.H. & Berger A.N., (1991). The rigidity of prices:Evidence from banking industry. The American Economic Review, 81(4), 938-948.
  • Hofmann B. & Mizen P., (2004). Interest rate pass-through and monetary transmission:Evidence from individual financial institutions’ retail rates. Economica, 71, 99-123.
  • Haughton, A.Y. & E. M. Iglesias (2012). Interest rate volatility, asymmetric interest rates pass through and the monetary transmission mechanism in the Caribbean compared to US and Asia. Economic Modeling 29, 2071-2080.
  • Jamilov R. & Egert B. (2014). Interest rate pass-through and monetary policy asymmetry: A journey into Caucasian Black Box, Journal of Asian Economics, 31, 57-70.
  • Kara H. (2015). Faiz Koridoru ve Para Politikası Duruşu. TCMB Ekonomi Notları, 2015-13.
  • Karagiannis S., Panagopoulos Y. & Vlamis P. (2010). Symmetric or asymmetric Interest rate adjustment? Evidence from Greece, Bulagria and Slovenia. The Hellenic Observatory, GreeSE Paper no:39. Kasman A. (2002). Cost efficiency, scale economies, and technological progress in Turkish banking. Central Bank Review, 2(1), 1-20.
  • Kasman S. & Kasman A., (2015). Bank competition, concentration and financial stability in the Turkish banking industry. Economic Systems, 39, 502-517.
  • Kuzu S. (2017). Türkiye Cumhuriyeti Merkez Bankası (TCMB) Faiz Koridoru Stratejisinin Hisse Senedi Piyasası ve Döviz Kuru Üzerine Etkisinin Analiz Edilmesi. Uygulamalı Sosyal Bilimler Dergisi, 1(2), 46-61.
  • Lim G.C. (2002). Bank interest-rate adjustments: Are they symmetric? Economic Record, 77(237): 135-147.
  • Liu M-H., Margoritis D. & Tourani-Rad A., (2008). Monetary policy transparancy and pass-through of retail rates. Journal of Banking & Finance, 32, 501-511.
  • MacKinnon, J. (1991) Critical values for cointegration tests. In: Engle, R. and Granger, C., Eds., Long Run Economic Relationships, Oxford University Press, Oxford, 267-276.
  • Malile I. (2013). Asymmetry of interest rate pass through in Albenia. Academic Journal of Interdisciplinary Studies, 2(9), 539-543.
  • Marotta G. (2009). Structural breaks in the lending interest rate pass-through and the euro. Economic Modelling, 26:191-205.
  • Matemilola B.T., Bany-Ariffin A.N. & Muhtar F.E. (2015). The impact of monetary policy on bank lending rate in South Africa. Borsa Istanbul Review, 15(1), 53-59.
  • Maudos J. & de Guevara F.J., (2004). Factors explaining the interest margin in the banking sectors of the European Union. Journal of Banking&Finance, 28(9), 2259-2281.
  • Mercan M. & Yolalan R. (2000). Türk bankacılık sisteminde ölçek ve mülkiyet yapıları ile finansal performans ilişkisi. İMKB Dergisi, 4(15), 1-26.
  • Neumark D. & Sharpe S. (1992). Market structure and the natüre of price rigidity:Evidence from the market for consumer deposits. Quarterly Journal of Economics, 107(2), 657-680.
  • Özdemir B.K. (2009). Retail bank interest rate pass-through:the Turkish Experience. International Research Journal of Finance and Economics, 28, 7-15.
  • Panzar J. C., & Rosse J. N. (1987). Testing for ‘monopoly’ equilibrium. Journal of Industrial Economics, 25, pp. 443-456.
  • Payne J.E. (2007). Interest rate pass-through and asymmetries in adjustable rate mortgages. Applied Financial Economies, 17(7), 1369-1376.
  • Phillips, P. C. (1986). Understanding spurious regressions in econometrics. Journal of econometrics, 33(3), 311-340.
  • Phillips, P. C. & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.
  • Quoc B.N.K. & Huy N.N.H. (2013). Emprical evidence of asymmetric interest rate pass-through in Vietnam. Journal of Asian Business and Economic Studies, 218, 79-93.
  • Repková I. & Stavárek D. (2014). Concentration and Competition in the banking sector of Turkey, Economic Interferences, XVI (36), 625-640.
  • Rocha M.D. (2012). Interest rate pass-through in Portugal: Interactions, asymmetries and heterogeneities. Journal of Policy Modeling, 34, 64-80.
  • Roelands S. (2012). Asymmetric interest rate pass-through from monetary policy:the role of bank regulation.
  • Rutayisire M.J. (2020). Modelling interest rate pass-through in Rwanda:Are the interest rate adjustment dynamics symmetric or asymmetric? African Economic Research Consortium, No:402.
  • Sahin S. & Cicek S. (2018). Interest rate pass-through in Turkey during the period of unconditional interest rate pass-through. Quantitative Finance and Economics, 2(4), 837-859.
  • Sander H. & Kleimer S. (2004a). Convergence in Euro-zone retail banking? What interest rate pass-through tells us about monetary policy transmission, competion. Journal of International Money and Finance, 23, 461-492.
  • Sander H. & Kleimer S. (2004b). Interest rate pass-through in a enlarged Europe:The role of banking market structure for monetary policy transmisson in transition countries, Research Memorandum 044, Maastricht University, Maastricht Research School of Economics and Technology and Organization (METEOR).
  • Scholnick B. (1999). Interest rate asymmetries in long-term loan deposit markets. Journal of Financial Services Research, 16(1), 5-26.
  • Scholnick B. (1996). Asymmetric Adjustment of commercial bank interest rates:Evidence from Malaysia and Singapore. Journal of International Money and Finance, 15(3), 485-496.
  • Sørensen C.K. & Werner T. (2006). Bank Interest rate pass-through in the Euro area: A cross country comparison, European Central Bank, Woking Paper, No:580.
  • Stigliz J.E. & Weiss A. (1981). Credit rationing in markets with imperfect information. The American Economic Review, 71(3), 393-410.
  • Su C-W. & Chang H-L. (2010). Asymmetric adjustment in the lending deposit rate spread:Evidence from Eastern European countries. Romanian Journal of Economic Forecasting 2, 165-175.
  • Sznajderska A. (2012), On the emprical evidence of asymmetry effects in the interest rate pass-through in Poland, National Bank of Poland, Working Paper, No:114.
  • TBB, (2021). Banks in Turkey, The Banks Association of Turkey (TBB), https://www.tbb.org.tr/modules/banka-bilgileri/banka_sube_bilgileri.asp (Erişim Tarihi: 24.08.2021).
  • TCA, (2013). Turkish Competition Authority (TCA), Decision No:13-13/198-100, Decision date:08.03.2013, https://www.rekabet.gov.tr/Karar?kararId=30851aa5-2cf3-4c54-b284-e192ed6ed71b (Erişim Tarihi: 05.01.2021).
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TÜRKİYE KREDİ PİYASASINDA FAİZ ORANI ASİMETRİK GEÇİŞİNİN MODELLENMESİ: EŞİK EŞBÜTÜNLEŞME ANALİZİNDEN YENİ KANITLAR

Yıl 2021, Cilt: 23 Sayı: 4 , 1495 - 1519 , 31.12.2021

Gülden Bölük , Fatih Demir

https://doi.org/10.16953/deusosbil.1009194
https://izlik.org/JA87RF83ZD

Öz

Bu çalışma, bankaların marjinal maliyeti (resmi politika oranı) ile perakende oranları arasındaki ilişkiyi Türkiye bankacılık kredi piyasası kapsamında analiz etmeyi amaçlamaktadır. Asimetrik geçişkenlik eşik otoregresif (TAR) ve momentum eşik otoregresif (MTAR) modelleri kullanılarak, 2011: 1-2021: 36 dönemi haftalık verileri üzerinden test edildi. Ampirik sonuçlar, politika faiz oranı ile taşıt, konut ve ticari kredilerden oluşan perakende kredi oranları arasında tamamlanamayan geçişkenlik olduğunu ortaya koymaktadır. Konut ve ticari kredi oranlarının aşağı yönlü katı, araç kredisi oranlarının ise yukarı yönlü katı olduğu görülmüştür. Zayıf ve tamamlanamayan ayarlama, son on yılda Türk bankacılık piyasasındaki rekabet edilebilirliğin kötüleştiğini göstermektedir. Ayrıca, Türk bankacılık sisteminin aktarım sürecindeki pozitif ve negatif asimetriler, Türkiye'de merkez bankası kararlarının makroekonomik değişkenler (enflasyon, büyüme vb.) üzerindeki etkisinin zayıf olarak kabul edildiğini göstermektedir.

Anahtar Kelimeler

Piyasa Gücü Türk Bankacılığı Faiz Oranı Asimetrik Geçiş

Kaynakça

  • Abbasoğlu D.F., Aysan A.F. & Gunes A., (2007). Concentration, Competition, efficiency and profitability of Turkish banking sector in the post-crises period. Munich Personel RePEC Archieve, MPRA Paper No:5494.
  • Aksoy T. (2019). "Concentration in Turkish Banking Sector" in Researches in Economics & Finance, pp.111-116 (Ed. Hilal Yıldız, Ahmet Sedat Aybar, IJOPEC Publication, London.
  • Apergis N. & Cooray A. (2015). Asymmetric interest rate pass-through in the U.S., the U.K and Australia: New evidence from selected individual banks. Journal of Macroeconomics, 45, 155-172.
  • Avci S.B. & Yucel E. (2017). Effectiveness of monetary policy:evidence from Turkey. Euroasian Economic Review, 7, 179-213.
  • Aydin H.I. (2007). Interest rate pass-through in Turkey. Research and Monetary Policy Department. Working Paper No:07/05, The Central Bank of Republic of Turkey (TCMB).
  • Aziakpono M.J. & Wilson M.K., (2013). Interest rate pass-through and monetary policy regimes in South Africa.
  • Becker R., Osborn D.R. & Yildirim D., (2012). A threshold cointegration analysis of interest rate pass-through to UK mortgage rates. Economic Modelling, 29, 2504-2513.
  • Bennouna H., (2019). Interest rate pass-through in Morocco:Evidence from bank-level survey data. Economic Modelling, 80, 142-157.
  • Binici M., Kara H. & Özlü P. (2016). Faiz Koridoru ve Banka Faizleri: Parasal Aktarım Mekanizmasına Dair Bazı Bulgular. TCMB Çalışma Tebliği, 16/08.
  • Binici M., Kara H. & Özlü P. (2018). Monetary transmission with multiple policy rates: evidence from Turkey. Applied Economics, 51(17), 1869-1873.
  • Borenstein S., Colin C. & Richard G. (1997). Do gasoline prices respond asymmetrically to crude oil price changes? Quarterly Journal of Economics, 112, 305-339.
  • Borio C.E.V. & Fritz W. (1995). The response of short-term bank lending rates to policy rates: A Cross-country perspective. BIS Working Paper, No:27.
  • Büberkökü Ö. & Kızılder C. (2019). Geleneksel olmayan para politikası uygulamaları döneminde faiz oranı geçişkenliğinin incelenmesi. Van Yüzüncü Yıl Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Bahar/8.
  • Cecchin I. (2011). Mortgage rate pass-through in Switzerland. Working Papers 2011-08, Swiss National Bank.
  • Chan, Kung-Sik. (1993). Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model. The Annals of Statistics 21: 520–33
  • Chong B.S., Liu M-H. & Shrestha K. (2006). Monetary transmission via the administered interest rates channel. Journal of Banking&Finance, 30, 1467-1484.
  • Contuk F.Y. & Burucu H., (2016). Concentration and Competition in banking sector: Turkey case (2001-2015). Uluslararası Sosyal Araştırmalar Dergisi, 9(46), 884-892.
  • Cottarelli C. & Kourelis A., (1994). Financial structure, bank lending rates, and the transmission mechanism of monetary policy. IMF Staff Papers, 41(4), 587-623.
  • Corvoisier S. & Gropp R.E., (2001). Bank concentration and retail rates. Journal of Banking&Finance, 26(11), 2155-2189.
  • Dickey, D. A. & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427-431.
  • Ekinci R., Ceylan F, Tüzün O. & Kahyaoğlu H. (2016). TCMB Ağırlıklı Ortalama Fonlama Maliyeti’nin BİST100 Üzerindeki Etkisi. Journal of Yaşar University, 11(44), 263-277.
  • Enders, W. & Granger, C. W. J. (1998). Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of Business & Economic Statistics, 16(3), 304-311.
  • Enders, W. & Siklos, P. L. (2001). Cointegration and threshold adjustment. Journal of Business & Economic Statistics, 19(2), 166-176.
  • Engle, R. F. & Granger, C. W. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica: Journal of the Econometric Society, 251-276.
  • Gambacorta L. & Iannotti S., (2007). Are there asymmetries in the response of bank interest rates to monetary shocks? Applied Economics, 39(19), 2503-2517.
  • Granger C.W.J. & Newbold P. (1974). Spirous regressions in econometrics, Journal of Econometrics, 2(2), 111-120.
  • Günalp B. & Çelik T., (2006). Competition in the Turkish banking industry. Applied Economics, 38(11), 1335-1342.
  • Hoffman B. & Mizen P. (2004). Interest rate pass through and monetary transmission: Evidence from individual financial institutions’ retail rates, Economics, 71, 99-123
  • Hannan T.H. & Berger A.N., (1991). The rigidity of prices:Evidence from banking industry. The American Economic Review, 81(4), 938-948.
  • Hofmann B. & Mizen P., (2004). Interest rate pass-through and monetary transmission:Evidence from individual financial institutions’ retail rates. Economica, 71, 99-123.
  • Haughton, A.Y. & E. M. Iglesias (2012). Interest rate volatility, asymmetric interest rates pass through and the monetary transmission mechanism in the Caribbean compared to US and Asia. Economic Modeling 29, 2071-2080.
  • Jamilov R. & Egert B. (2014). Interest rate pass-through and monetary policy asymmetry: A journey into Caucasian Black Box, Journal of Asian Economics, 31, 57-70.
  • Kara H. (2015). Faiz Koridoru ve Para Politikası Duruşu. TCMB Ekonomi Notları, 2015-13.
  • Karagiannis S., Panagopoulos Y. & Vlamis P. (2010). Symmetric or asymmetric Interest rate adjustment? Evidence from Greece, Bulagria and Slovenia. The Hellenic Observatory, GreeSE Paper no:39. Kasman A. (2002). Cost efficiency, scale economies, and technological progress in Turkish banking. Central Bank Review, 2(1), 1-20.
  • Kasman S. & Kasman A., (2015). Bank competition, concentration and financial stability in the Turkish banking industry. Economic Systems, 39, 502-517.
  • Kuzu S. (2017). Türkiye Cumhuriyeti Merkez Bankası (TCMB) Faiz Koridoru Stratejisinin Hisse Senedi Piyasası ve Döviz Kuru Üzerine Etkisinin Analiz Edilmesi. Uygulamalı Sosyal Bilimler Dergisi, 1(2), 46-61.
  • Lim G.C. (2002). Bank interest-rate adjustments: Are they symmetric? Economic Record, 77(237): 135-147.
  • Liu M-H., Margoritis D. & Tourani-Rad A., (2008). Monetary policy transparancy and pass-through of retail rates. Journal of Banking & Finance, 32, 501-511.
  • MacKinnon, J. (1991) Critical values for cointegration tests. In: Engle, R. and Granger, C., Eds., Long Run Economic Relationships, Oxford University Press, Oxford, 267-276.
  • Malile I. (2013). Asymmetry of interest rate pass through in Albenia. Academic Journal of Interdisciplinary Studies, 2(9), 539-543.
  • Marotta G. (2009). Structural breaks in the lending interest rate pass-through and the euro. Economic Modelling, 26:191-205.
  • Matemilola B.T., Bany-Ariffin A.N. & Muhtar F.E. (2015). The impact of monetary policy on bank lending rate in South Africa. Borsa Istanbul Review, 15(1), 53-59.
  • Maudos J. & de Guevara F.J., (2004). Factors explaining the interest margin in the banking sectors of the European Union. Journal of Banking&Finance, 28(9), 2259-2281.
  • Mercan M. & Yolalan R. (2000). Türk bankacılık sisteminde ölçek ve mülkiyet yapıları ile finansal performans ilişkisi. İMKB Dergisi, 4(15), 1-26.
  • Neumark D. & Sharpe S. (1992). Market structure and the natüre of price rigidity:Evidence from the market for consumer deposits. Quarterly Journal of Economics, 107(2), 657-680.
  • Özdemir B.K. (2009). Retail bank interest rate pass-through:the Turkish Experience. International Research Journal of Finance and Economics, 28, 7-15.
  • Panzar J. C., & Rosse J. N. (1987). Testing for ‘monopoly’ equilibrium. Journal of Industrial Economics, 25, pp. 443-456.
  • Payne J.E. (2007). Interest rate pass-through and asymmetries in adjustable rate mortgages. Applied Financial Economies, 17(7), 1369-1376.
  • Phillips, P. C. (1986). Understanding spurious regressions in econometrics. Journal of econometrics, 33(3), 311-340.
  • Phillips, P. C. & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.
  • Quoc B.N.K. & Huy N.N.H. (2013). Emprical evidence of asymmetric interest rate pass-through in Vietnam. Journal of Asian Business and Economic Studies, 218, 79-93.
  • Repková I. & Stavárek D. (2014). Concentration and Competition in the banking sector of Turkey, Economic Interferences, XVI (36), 625-640.
  • Rocha M.D. (2012). Interest rate pass-through in Portugal: Interactions, asymmetries and heterogeneities. Journal of Policy Modeling, 34, 64-80.
  • Roelands S. (2012). Asymmetric interest rate pass-through from monetary policy:the role of bank regulation.
  • Rutayisire M.J. (2020). Modelling interest rate pass-through in Rwanda:Are the interest rate adjustment dynamics symmetric or asymmetric? African Economic Research Consortium, No:402.
  • Sahin S. & Cicek S. (2018). Interest rate pass-through in Turkey during the period of unconditional interest rate pass-through. Quantitative Finance and Economics, 2(4), 837-859.
  • Sander H. & Kleimer S. (2004a). Convergence in Euro-zone retail banking? What interest rate pass-through tells us about monetary policy transmission, competion. Journal of International Money and Finance, 23, 461-492.
  • Sander H. & Kleimer S. (2004b). Interest rate pass-through in a enlarged Europe:The role of banking market structure for monetary policy transmisson in transition countries, Research Memorandum 044, Maastricht University, Maastricht Research School of Economics and Technology and Organization (METEOR).
  • Scholnick B. (1999). Interest rate asymmetries in long-term loan deposit markets. Journal of Financial Services Research, 16(1), 5-26.
  • Scholnick B. (1996). Asymmetric Adjustment of commercial bank interest rates:Evidence from Malaysia and Singapore. Journal of International Money and Finance, 15(3), 485-496.
  • Sørensen C.K. & Werner T. (2006). Bank Interest rate pass-through in the Euro area: A cross country comparison, European Central Bank, Woking Paper, No:580.
  • Stigliz J.E. & Weiss A. (1981). Credit rationing in markets with imperfect information. The American Economic Review, 71(3), 393-410.
  • Su C-W. & Chang H-L. (2010). Asymmetric adjustment in the lending deposit rate spread:Evidence from Eastern European countries. Romanian Journal of Economic Forecasting 2, 165-175.
  • Sznajderska A. (2012), On the emprical evidence of asymmetry effects in the interest rate pass-through in Poland, National Bank of Poland, Working Paper, No:114.
  • TBB, (2021). Banks in Turkey, The Banks Association of Turkey (TBB), https://www.tbb.org.tr/modules/banka-bilgileri/banka_sube_bilgileri.asp (Erişim Tarihi: 24.08.2021).
  • TCA, (2013). Turkish Competition Authority (TCA), Decision No:13-13/198-100, Decision date:08.03.2013, https://www.rekabet.gov.tr/Karar?kararId=30851aa5-2cf3-4c54-b284-e192ed6ed71b (Erişim Tarihi: 05.01.2021).
  • Valadkhani A. & Anwar S. (2012). Interest rate pass-through and asymmetric relationship between the cash rate and mortgage rate, Economic Record, 88(282), 341-350.
  • Van Leuvensteijn M., Sϴrensen C.K., Bikker J.A. & von Rixtel A.R.J.M., (2007). Impact of bank competiton on the interest rate pass-through in the Euro Area, European Central Bank, Working Paper Series, No:768.
  • Winker P., (1999) Sluggish adjustment of interest rates and credit rationing: an application of unit root testing and error correction modelling, Applied Economics, 31:3, 267-277.
  • Wang K-M. & Lee Y-M. (2009). Market volatility and retail interest rate pass-through. Economic Modelling, 26, 1270-1282.
  • Wang K-M. & Thi T-B-N. (2008). Asymmetric pass-through and risk of interest rate:An ampirical exploration of Taiwan and Hong-Kong.
  • Yıldırım D. (2014). Asymmetric interest rate pass-through to Turkish loan rates, İktisat, İşletme, Finans, 29(334), 09-28.
  • Yüksel E. & Özcan K.M. (2015). Interest rate pass-through in Turkey and impact of the global financial crisis:asymmetric threshold cointegration analysis. Journal of Business Economics and Management, 14(1), 98-113.
  • Zaim, O. (1995) The effects of financial liberalization on the efficiency of Turkish commercial banks, Applied Financial Economics, 5, 257–64.
  • Zhang Z., Tsai S-L. & Chang T. (2017) New Evidence of Interest Rate Pass-through in Taiwan: A Nonlinear Autoregressive Distributed Lag Model, Global Economic Review, 46:2, 129-142.
Toplam 75 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Bölüm Araştırma Makalesi
Yazarlar

Gülden Bölük 0000-0001-8901-8503

Fatih Demir 0000-0002-6787-3960

Gönderilme Tarihi 13 Ekim 2021
Yayımlanma Tarihi 31 Aralık 2021
DOI https://doi.org/10.16953/deusosbil.1009194
IZ https://izlik.org/JA87RF83ZD
Yayımlandığı Sayı Yıl 2021 Cilt: 23 Sayı: 4

Kaynak Göster

APA Bölük, G., & Demir, F. (2021). MODELLING THE INTEREST RATE ASYMMETRIC PASS-THROUGH IN TURKISH LOAN MARKET: NEW EVIDENCE FROM THRESHOLD COINTEGRATION ANALYSIS. Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 23(4), 1495-1519. https://doi.org/10.16953/deusosbil.1009194

Cited By

Politika Faizinin Etkinliği: Türkiye Üzerine Gözlemler
İktisadi İdari ve Siyasal Araştırmalar Dergisi
https://doi.org/10.25204/iktisad.1149001

Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü Dergisi Aile Yılı Özel Sayısı Çağrısı
Sayı Editörü
Prof. Dr. NEBİYE KONUK KANDEMİR

Sevgili Araştırmacılar ve Değerli Yazarlar,
Aile, toplumun temel yapı taşıdır ve bireylerin gelişimi ile sosyal yaşamın şekillenmesinde kritik bir rol oynamaktadır. Aile yapıları ve dinamikleri, tarihsel, kültürel ve toplumsal faktörlerle şekillenirken, bu faktörlerin aile içerisinde yaşanan sorunları, ilişkileri ve güç dengelerini nasıl etkilediği büyük bir önem taşımaktadır. 2025 yılı "Aile Yılı" olarak ilan edilmesi, aile olgusunun daha geniş bir perspektiften ele alınmasını ve bu konudaki farkındalığın artırılmasını hedeflemektedir.
Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, "Cilt: 28 Sayı: Özel Sayı" olarak 2026 yılında yayımlanacak olan Aile Yılı Özel Sayısı'na yönelik makale çağrısında bulunmaktadır. Bu özel sayı, aile yapılarını, rollerini ve dinamiklerini inceleyen çalışmalara ev sahipliği yapmayı hedeflemektedir.
Aile ile ilgili çalışmalara olan ihtiyaç, yalnızca bireysel düzeyde değil, toplumsal düzeyde de açıktır. Son yıllarda, aile içi ilişkilerin sağlıklı bir şekilde sürdürülmesi, toplumsal cinsiyet eşitliği, kadın hakları, çocuk sağlığı ve eğitim gibi konular ön plana çıkmış, bu konularda yapılacak bilimsel araştırmaların önemi artmıştır. Aile Yılı Özel Sayısı'nın hazırlanması, bu kritik meselelerin sistematik bir biçimde incelenmesine ve topluma duyurulmasına olanak sağlayacaktır.
Bu özel sayı, aile dinamiklerini, ilişkilerini ve sorunlarını derinlemesine inceleyen, özgün ve yenilikçi çalışmaları bir araya getirerek, alanında önemli bir kaynak oluşturmayı hedeflemektedir. Ayrıca, uzmanların görüşleri ve çeşitli disiplinlerden gelen katkılar sayesinde, aile kavramına dair güncel bakış açıları sunulacak, toplumsal fayda sağlanacaktır.
Aşağıda, özel sayıda kabul edilebilecek (ama bunlarla sınırlı olmayan) güncellenmiş konular listesi yer almaktadır:

• Aile Yapıları ve Değişimi
• Geleneksel ve Modern Aile Rolleri
• Aile İçi İletişim ve İlişkiler
• Ailedeki Psiko-Sosyal Dinamikler
• Aile İlişkilerinde Kültürel Farklılıklar
• Evlilik ve Boşanma Dinamikleri
• Aile ve Çocuk Gelişimi
• Ebeveynlik Stilleri ve Çocuk Üzerindeki Etkileri
• Aile Ekonomisi ve Sosyal Politika
• Aileyi Etkileyen Toplumsal Değişimler
• Aile ve Eğitim İlişkisi
• Ailede Şiddet ve Koruma Mekanizmaları
• Aile İçi Sağlık ve Refah
• Kadınların Aile İçindeki Rolü ve Değişen Dinamikleri
• Kadın Hakları ve Aile İlişkileri
• Kadının Aile Üyeleriyle İlişkileri ve Güç Dinamikleri
• Ailede Cinsiyet Eşitliği
İki bağımsız anonim hakem tarafından değerlendirmeden geçecek makaleler, kabul edilmesi halinde, Aralık 2026'da yayımlanacak özel sayımızda yer alacaktır. Gelecek sayıların dolmuş olması ve süreçte makale yoğunluğunun bulunması nedeniyle dergimiz, özel sayı dışında makale kabulüne kapalıdır. Özel sayı dışında dergimize gönderilen makaleler iade edilecektir.
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