The Effect of The Central Bank Lending Rate On Consumer Loan Interest Rates: An Empirical Investigation

Öz

Anahtar Kelimeler

• -

MERKEZ BANKASI BORÇ VERME FAİZ ORANLARININ TÜKETİCİ KREDİSİ FAİZ ORANLARI ÜZERİNDEKİ ETKİSİNİN AMPİRİK ANALİZİ

Öz

Bu çalışmanın amacı, merkez bankası borç verme faiz oranlarının bankalar tarafından kullandırılan tüketici kredisi faiz oranları üzerindeki etkisini ekonometrik yöntemler kullanarak analiz etmektir. Analizler 2002:1-2012:1 dönemine ait aylık frekansta veri seti kullanılarak gerçekleştirilmiştir. Analizler sonunda Türkiye’de Merkez Bankası borç verme faiz oranının tüketici kredisi faiz oranlarını etkileme gücünün belirli bir gecikme ile yüksek olduğu görülmüştür. Tüketici kredisi türleri açısından bakıldığında borç verme faiz oranlarının sırasıyla konut, taşıt ve nakit krediler üzerinde etkili olduğu sonucuna ulaşılmıştır

Anahtar Kelimeler

• Tüketici kredisi faiz oranları, Borç verme faiz oranı, Varyans ayrıştırması, Etki-tepki analizi.

Kaynakça

1. Aydin H., I., 2007. Interest Rate Pass-Through in Turkey, Research and Monetary Policy Department, Working Paper No:07/05, The Central Bank of the Republic of Turkey.
2. BIS (Bank for International Settlements), (1994). National Differences in Interest Rate Transmission, March, Basle
3. 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.
4. Bredin, D., T. Fitzpatrick, and O Reilly, G. 2001. Retail Interest Rate Pass-Trough: the Irish Experience, Central bank of Ireland, Technical paper 06/RT/01.
5. Brooks, C. (2008). Introductory Econometrics for Finance, Second Edition,The ICMA Centre, Cambridge University Press, UK.
6. Burgstaller, J. 2003. Interest rate transmission to commercial credit rates in Austria, Johannes Kepler University of Linz, Working Paper, No. 0306.
7. CBRT, 2012. http://www.tcmb.gov.tr/yeni/eng/dokuman_eng.php.
8. Cottarelli, C., Kourelis, A., 1994. Financial structure, bank lending rates and the transmission mechanism of monetary policy. IMF Staff Paper, No. 41, pp. 587-623.

9. Donnay, M. and Degryse, H., 2001. Bank lending rate pass-through and differences in the transmission of a single EMU monetary policy, Discussion Paper, Center for Economic Studies, K.U. Leuven, 01.17.
10. Enders, W. 1995. Applied econometric time series. John Wiley & Sons, Inc., New York.
11. Horvath, C., Kreko, J., Naszodi, A., 2004. Interest Rate Pass-Through: the Case of Hungary, Magyar Nemzeti Bank, Working Paper, 8.
12. Ibicioglu M., Karan M. B. 2009. The Effect of Interest Rates on Consumer Credit in Turkey. Journal of BRSA Banking and Financial Markets, 2009, vol. 3, issue 2, pages 11-30.
13. Kleimeier, S., Sander, H., 2000. Asymmetric adjustment of commercial bank interest rates in the euro area: implications for monetary policy, Paper Presented at the Conference Financial Structure, Bank Behavior and Monetary Policy in the EMU, Groningen 5-6 October.
14. Magri, S., 2002. Italian Households’ Debt: Determinants Of Demand And Supply, Temi di Discussione No. 454, Banca D’Italia.
15. Manzano, M., C., Galmes, S., (1996). Credit Institutions Price Policies and Type of Customer: Impact on the Monetary Transmission Mechanism. Banco de España, Documento de Trabajo, No: 9605.
16. Moazzami, B. 1999. Lending Rate Stickiness and Monetary Policy Transmission: the Case of Canada and the United States, Applied Financial Economics, 9, 533-538.
17. Mojon, B. 2000. Financial structure and the interest rate channel of ECB monetary policy, ECB Working Paper, No. 40.
18. Nieto, F., 2007. The Determinants Of Households Credit In Spain. Working Paper, No.0716, Bank of Espana
19. Pedroni, P., 1999. Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors, Oxford Bulletin of Economics and Statistics 61, 607-629.
20. Sorensen, C.K., Werner, T., 2006. Bank Interest Rate Pass-Through in the Euro Area: A Cross Country Comparison, ECB Working Paper, 580.
21. Toolsema, L.A., Sturm, J., E., De Haan, J., 2001. Convergence of monetary transmission in EMU: new evidence, CESifo Working Paper, 465.
22. Tudela, M., Young, G., 2005. The Determinants Of Household Debt And Balance Sheets In The United Kingdom, Working Paper, No. 266, Bank of England.
23. Winker, P., 1999. Sluggish Adjustment of Interest Rates and Credit Rationing: An Application of Unit Root Testing and Error Correction Modeling. Applied Economics, 31, 267-277.