Interest Rate Pass-Through in Türkiye: Evidence of the Monetary Policy Approach

Öz

Central banks direct banks' rates by increasing or decreasing policy rates through the interest rate channel. The effectiveness of this channel is related to the interest rate pass-through. The pass-through of interest rates indicates the impact of changes in policy rates on the retail rates of banks. Pass-through is not only a prerequisite for the monetary transmission mechanism but also is the first stage of it. A complete and quick pass-through increases the effectiveness of the interest rate channel. This paper focuses on the monetary policy approach and uses the ARDL and NARDL models to analyze the relationship between the policy rate and the lending rate in order to test the interest rate pass-through for Türkiye. To enable a comparison of the degree of pass-through and the speed of adjustment, this paper focuses on two time periods: 2011:01–2016:12 and 2017:01–2023:10. The findings of the paper indicate that there are three shreds of evidence for the interest rate pass-through in Türkiye. It is symmetric for both periods. The level of pass-through in the initial period exceeds that of the subsequent period. The rate of adjustment in the second period is faster than in the first one.

Anahtar Kelimeler

• Interest Rate Pass-through
• Türkiye
• ARDL
• NARDL

Türkiye'de Faiz Oranı Geçişkenliği: Para Politikası Yaklaşımından Kanıtlar

Öz

Merkez bankaları, faiz kanalı yoluyla politika faizlerini artırarak veya azaltarak bankaların faiz oranlarını yönlendirmektedir. Faiz kanalının etkinliği, faiz geçişkenliğine bağlı bulunmaktadır. Banka faiz oranlarının politika faiz oranlarındaki değişikliklere verdiği tepkiyi gösteren faiz geçişkenliği, parasal aktarım mekanizmasının sadece önkoşulunu değil, aynı zamanda ilk aşamasını oluşturmaktadır. Geçişkenliğin tam ve hızlı olması ise faiz kanalının etkinliğini artırmaktadır. Türkiye'de faiz geçişkenliğini, para politikası yaklaşımı çerçevesinde test eden bu çalışma, ARDL ve NARDL modellerini kullanarak politika faiz oranı ile kredi faiz oranı arasındaki ilişkiye odaklanmaktadır. Çalışma, faiz geçişkenliğinin derecesini ve ayarlanma hızını karşılaştırabilmek için iki dönemi (2011:01-2016:12 ve 2017:01-2023:10) esas almaktadır. Çalışmanın sonuçları, üç kanıtı ortaya koymaktadır. Türkiye'de faiz geçişkenliği her iki dönem için de simetriktir. Birinci dönemdeki geçişkenlik derecesi ikinci döneme göre daha yüksektir. Geçişkenliğin ayarlama hızı, ikinci dönemde, birinci döneme göre daha hızlıdır.

Anahtar Kelimeler

• Faiz Oranı Geçişkenliği
• Türkiye
• ARDL
• NARDL

Kaynakça

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