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

Yıl 2016, Cilt: 23 Sayı: 3, 671 - 690, 28.12.2016
https://doi.org/10.18657/yonveek.281806

Öz

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.

Kaynakça

  • Aydın, H. İ. (2007). Interest Rate Pass-Through in Turkey. Türkiye Cumhuriyeti Merkez Bankası Çalışma Tebliği,07/05, 1-39.
  • Aziakpono, M. J. ve Wilson, M. K.(2010). Interest rate pass-through and monetary policy regimes in South Africa. Paper for Presentation at the CSAE Conference, 21-23 March, Oxford University, UK, 1-43.
  • Beckern R., Osborn D.R. ve Yıldırım R. (2012). A threshold cointegration analysis of interest rate pass-through to UK mortgage rates. Economic Modelling, 29, 2504–2513.
  • Borio, C. E. V. ve Fritz, W. (1995). The response of short-term bank lending rates to policy rates: across-country perspective. Bank for International Settlements (BIS) Working Paper, 27, 3-54.
  • Cecchetti, S.G.(1999). Legal structure, financial structure, and the monetary policy transmission mechansim. Federal Reserve Bank of New York Economic Policy Review, 5 (2), 9–28.
  • Claus, I. ve Smith, C. (1999). Financial intermediation and the monetary transmission mechanism. Reserve Bank of New Zealand Bulletin, 62 (4), 4-16.
  • Cottarelli, C. ve Kourelis, A. (1994). Financial structure, bank lending rates, and the transmission mechanism of monetary policy. Internatıonal Monetary Fund Working Paper, 94/39, 1-61.
  • Çavuşoğlu, F. (2010). Para politikası faiz oranlarından mevduat ve kredi faiz oranlarına geçişkenlik: Türkiye örneği. Uzmanlık Yeterlilik Tezi. Ankara: Türkiye Cumhuriyet Merkez Bankası.
  • De Bondt, G. (2002). Retail bank interest rate pass-through: new evidence at the Euro area. European Central Bank Working Paper, 136, 4-42.
  • De Bondt, G. J. (2005). Interest rate pass-through: empirical results for the Euro area. German Economic Review,,6 (1), 37–78.
  • Değer, O. (2012). A comparative study for nonlinear structure of the interest rate pass-through. Yüksek Lisans Tezi. Ankara: Orta Doğu Teknik Üniversitesi.
  • Donnay, M. ve Degryse, H. (2001). Bank lending rate pass-through and differences in the transmission of a single EMU monetary policy. Center for Economic Studies, 1-40.
  • Durán-Víquez, R. ve Esquivel-Monge, M. (2008). Policy rate pass-through: evidence from the Costa Rican economy. Central Bank of Costa Rica Research Paper, 1-32.
  • Égert, B. ve R. MacDonald (2008), Monetary transmission mechanism in Central and Eastern Europe: surveying the surveyable. OECD Economics Department Working Papers, 654, 2-50.
  • Ertuğrul, H. M. (2011). Türkiye’de elektrik tüketimi büyüme ilişkisi: dinamik analiz. Enerji, Piyasa ve Düzenleme, 2, 49-73.
  • Ertuğrul, H. M. (2012). Türkiye’de döviz kuru volatilitesi ve enflasyon ilişkisi. Doktora Tezi. Ankara: Hacettepe Üniversitesi.
  • Ertuğrul, H.M. ve Kenar, A. (2013). External debt and GDP relationship: a dynamic analysis for Turkey. Trakya Üniversitesi İktisadi ve İdari Bilimler Fakültesi E-Dergi, 2 (1), (78-94).
  • Fadiran, G. O. (2012). South African market volatility, asymmetry and retail interest ratespass‐through. Yüksek Lisans Tezi. Grahamstown: RhodesUniversity.
  • Fried, J. ve Howit, P. (1980). Credit rationing and implicit contract theory. Journal of Money, Credit and Banking, 12 (3), 471-487.
  • Frimpong, M. J ve Oteng-Abayie, E. F. (2006). Bounds testing approach: an examination of foreign direct investment, trade and growth relationships. Munich Personel RePEc Archive, 1-19.
  • Gambacorta, L. ve Iannotti, S. (2007), Are there asymmetries in the response of bank interest rates to monetary shocks? Applied Economics, 39, 2503–2517.
  • Gambacorta, L. (2004). How do banks set interest rates. National Bureau of Economic Research(NBER) Working Paper, 10295, 1-31.
  • Haughton, A.Y.ve Iglesias, E. M. (2012). Interest rate volatility, asymmetric interest rate pass through and the monetary transmission mechanism in the Caribbean compared to US and Asia. Economic Modelling 29, 2071 2089.
  • Hubbard, R. G. (2008). Money, the financial system and the economy (6th edition). Boston: AddisonWesley.
  • Jamilov, R. ve Egert, B. (2013). Interest rate pass-through and monetary policy asymmetry: a journey into the caucasian black box. Cesıfo Workıng Paper, 4131, 1-17.
  • Karagöl, E., Erbaykal, E. ve Ertuğrul, H. M. (2007). Türkiye’de ekonomik büyüme ile elektrik tüketimi ilişkisi: sınır testi yaklaşımı. Doğuş Üniversitesi Dergisi, 8(1), 72-80.
  • Klemperer, P. (1987). Markets with consumers witching costs. The quarterly journal of economics, 375-394.
  • Lowe, P. ve Rohling, T. (1992). Loan rate stckiness: theory and evidence. Research Discussion Paper, 9206, Reserve Bank of Australia, 1-43.
  • Mishkin, F. S. (2010). The economics of money, banking and financial markets (9th edition). Boston: Pearson, Global Edition.
  • Moazzami, B. (1999). Lending rate stickiness and monetary transmission mechanism: the case of Canada and The United States. Applied Financial Economics, 1999, 9(6), 533-538.
  • Mojon, B. (2000). Financial structure and the interest rate channel of ECB monetary policy. European Central Bank Working Paper Series, 40, 1-45.
  • Narayan, P. K. ve Narayan, S. (2005). Estimating income and price elasticities of imports for Fiji in a cointegration framework. Economic Modelling, 22, 423-438.
  • Panagopoulos, Y.,Reziti, I. ve Spiliotis, A. (2007). Monetary and banking policy transmission through interest rates: an empirical application to the USA, Canada, U.K. and European Union. Centre of Planning and Economic Research, 93, 1-50.
  • Payne, J. E. (2006a). The response of the conventional mortgage rate to the federal funds rate: symmetric or asymmetric adjustment? Applied Financial Economics Letters, 2, 279-284.
  • Payne, J. E. (2006b). More on the monetary transmission mechanism: mortgage rates and the federal funds rate. Journal of Post Keynesian Economics, 29(2), 247–257.
  • Payne, J. E. (2007). Interest rate passthrough and asymmetries in adjustable rate mortgages. Applied Financial Economics, 17, 1369–1376.
  • Payne, J.E. ve Waters, G.A. (2008). Interest rate pass through and asymmetric adjustment: evidence from the federal funds rate operating target period. Applied Economics, 40, 1355–1362.
  • Pereira, C. M. ve Maia-Filho, L. F. (2013). Brazilian retail banking and the 2008 financial crisis: were the government-controlled banks that important. Journal of Banking& Finance 37, 2210–2215.
  • Saborowski, C. ve Weber, S. (2013). Assessing the determinants of interest rate transmission through conditional impulse response functions. International Monetary Fund Working Paper, 13/23, 1-36.
  • Stiglitz, J. E. ve Weiss, A. (1981). Credit rationing in markets with imperfect information. American Economic Review, 71(3), 393-410.
  • TCMB (2010). Enflasyon Raporu-I. Ankara: Türkiye Cumhuriyet Merkez Bankası.
  • TCMB (2012). Enflasyon Raporu-II. Ankara: Türkiye Cumhuriyet Merkez Bankası.
  • Toolsema, L. A.,Sturm, J. E. ve De Haan J. (2002). Convergence of pass-through from Money market to lending rates in EMU countries: new evidence. CCSO Centre for Economic Research Working Paper, 2002/6, 1-18.
  • Vega, R. M. A. E.ve Rebucci, A. (2003). Retail bank ınterest rate pass-through: Is Chile atypical. International Monetary Fund Working Paper,3-112,1-35.
  • Wang, K.M. ve Lee, Y.M. (2009). Market volatility and retail interest rate pass-through. Economic Modelling, 26, 1270–1282.
  • Wang, K-M. ve Thi, T-B N. (2010). Asymmetric pass-throug hand risk of interest rate:an empirical exploration of Taiwan and Hong Kong. Applied Economics, 42, 659–670.
  • Weth, M. A. (2002). The pass-through from market interest rates to bank lending rates in Germany. Economic Research Centre of The Deutsche Bundesbank Discussion Paper, 11/02, 1-34.
  • Yıldırım, D. (2012). Interest rate pass-through to Turkish lending rates: a threshold cointegration analysis. Economic Research Center (ERC) Working Papers in Economics, 12/07, 1-2.
  • Yüksel, E. ve Özcan, K. M. (2012). Interest rate pass-through in Turkey and impact of global financial crisis: asymmetric threshold cointegration analysis. Journal of Business Economics and Management, 14(1), 98–113.

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

Yıl 2016, Cilt: 23 Sayı: 3, 671 - 690, 28.12.2016
https://doi.org/10.18657/yonveek.281806

Öz

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.

Kaynakça

  • Aydın, H. İ. (2007). Interest Rate Pass-Through in Turkey. Türkiye Cumhuriyeti Merkez Bankası Çalışma Tebliği,07/05, 1-39.
  • Aziakpono, M. J. ve Wilson, M. K.(2010). Interest rate pass-through and monetary policy regimes in South Africa. Paper for Presentation at the CSAE Conference, 21-23 March, Oxford University, UK, 1-43.
  • Beckern R., Osborn D.R. ve Yıldırım R. (2012). A threshold cointegration analysis of interest rate pass-through to UK mortgage rates. Economic Modelling, 29, 2504–2513.
  • Borio, C. E. V. ve Fritz, W. (1995). The response of short-term bank lending rates to policy rates: across-country perspective. Bank for International Settlements (BIS) Working Paper, 27, 3-54.
  • Cecchetti, S.G.(1999). Legal structure, financial structure, and the monetary policy transmission mechansim. Federal Reserve Bank of New York Economic Policy Review, 5 (2), 9–28.
  • Claus, I. ve Smith, C. (1999). Financial intermediation and the monetary transmission mechanism. Reserve Bank of New Zealand Bulletin, 62 (4), 4-16.
  • Cottarelli, C. ve Kourelis, A. (1994). Financial structure, bank lending rates, and the transmission mechanism of monetary policy. Internatıonal Monetary Fund Working Paper, 94/39, 1-61.
  • Çavuşoğlu, F. (2010). Para politikası faiz oranlarından mevduat ve kredi faiz oranlarına geçişkenlik: Türkiye örneği. Uzmanlık Yeterlilik Tezi. Ankara: Türkiye Cumhuriyet Merkez Bankası.
  • De Bondt, G. (2002). Retail bank interest rate pass-through: new evidence at the Euro area. European Central Bank Working Paper, 136, 4-42.
  • De Bondt, G. J. (2005). Interest rate pass-through: empirical results for the Euro area. German Economic Review,,6 (1), 37–78.
  • Değer, O. (2012). A comparative study for nonlinear structure of the interest rate pass-through. Yüksek Lisans Tezi. Ankara: Orta Doğu Teknik Üniversitesi.
  • Donnay, M. ve Degryse, H. (2001). Bank lending rate pass-through and differences in the transmission of a single EMU monetary policy. Center for Economic Studies, 1-40.
  • Durán-Víquez, R. ve Esquivel-Monge, M. (2008). Policy rate pass-through: evidence from the Costa Rican economy. Central Bank of Costa Rica Research Paper, 1-32.
  • Égert, B. ve R. MacDonald (2008), Monetary transmission mechanism in Central and Eastern Europe: surveying the surveyable. OECD Economics Department Working Papers, 654, 2-50.
  • Ertuğrul, H. M. (2011). Türkiye’de elektrik tüketimi büyüme ilişkisi: dinamik analiz. Enerji, Piyasa ve Düzenleme, 2, 49-73.
  • Ertuğrul, H. M. (2012). Türkiye’de döviz kuru volatilitesi ve enflasyon ilişkisi. Doktora Tezi. Ankara: Hacettepe Üniversitesi.
  • Ertuğrul, H.M. ve Kenar, A. (2013). External debt and GDP relationship: a dynamic analysis for Turkey. Trakya Üniversitesi İktisadi ve İdari Bilimler Fakültesi E-Dergi, 2 (1), (78-94).
  • Fadiran, G. O. (2012). South African market volatility, asymmetry and retail interest ratespass‐through. Yüksek Lisans Tezi. Grahamstown: RhodesUniversity.
  • Fried, J. ve Howit, P. (1980). Credit rationing and implicit contract theory. Journal of Money, Credit and Banking, 12 (3), 471-487.
  • Frimpong, M. J ve Oteng-Abayie, E. F. (2006). Bounds testing approach: an examination of foreign direct investment, trade and growth relationships. Munich Personel RePEc Archive, 1-19.
  • Gambacorta, L. ve Iannotti, S. (2007), Are there asymmetries in the response of bank interest rates to monetary shocks? Applied Economics, 39, 2503–2517.
  • Gambacorta, L. (2004). How do banks set interest rates. National Bureau of Economic Research(NBER) Working Paper, 10295, 1-31.
  • Haughton, A.Y.ve Iglesias, E. M. (2012). Interest rate volatility, asymmetric interest rate pass through and the monetary transmission mechanism in the Caribbean compared to US and Asia. Economic Modelling 29, 2071 2089.
  • Hubbard, R. G. (2008). Money, the financial system and the economy (6th edition). Boston: AddisonWesley.
  • Jamilov, R. ve Egert, B. (2013). Interest rate pass-through and monetary policy asymmetry: a journey into the caucasian black box. Cesıfo Workıng Paper, 4131, 1-17.
  • Karagöl, E., Erbaykal, E. ve Ertuğrul, H. M. (2007). Türkiye’de ekonomik büyüme ile elektrik tüketimi ilişkisi: sınır testi yaklaşımı. Doğuş Üniversitesi Dergisi, 8(1), 72-80.
  • Klemperer, P. (1987). Markets with consumers witching costs. The quarterly journal of economics, 375-394.
  • Lowe, P. ve Rohling, T. (1992). Loan rate stckiness: theory and evidence. Research Discussion Paper, 9206, Reserve Bank of Australia, 1-43.
  • Mishkin, F. S. (2010). The economics of money, banking and financial markets (9th edition). Boston: Pearson, Global Edition.
  • Moazzami, B. (1999). Lending rate stickiness and monetary transmission mechanism: the case of Canada and The United States. Applied Financial Economics, 1999, 9(6), 533-538.
  • Mojon, B. (2000). Financial structure and the interest rate channel of ECB monetary policy. European Central Bank Working Paper Series, 40, 1-45.
  • Narayan, P. K. ve Narayan, S. (2005). Estimating income and price elasticities of imports for Fiji in a cointegration framework. Economic Modelling, 22, 423-438.
  • Panagopoulos, Y.,Reziti, I. ve Spiliotis, A. (2007). Monetary and banking policy transmission through interest rates: an empirical application to the USA, Canada, U.K. and European Union. Centre of Planning and Economic Research, 93, 1-50.
  • Payne, J. E. (2006a). The response of the conventional mortgage rate to the federal funds rate: symmetric or asymmetric adjustment? Applied Financial Economics Letters, 2, 279-284.
  • Payne, J. E. (2006b). More on the monetary transmission mechanism: mortgage rates and the federal funds rate. Journal of Post Keynesian Economics, 29(2), 247–257.
  • Payne, J. E. (2007). Interest rate passthrough and asymmetries in adjustable rate mortgages. Applied Financial Economics, 17, 1369–1376.
  • Payne, J.E. ve Waters, G.A. (2008). Interest rate pass through and asymmetric adjustment: evidence from the federal funds rate operating target period. Applied Economics, 40, 1355–1362.
  • Pereira, C. M. ve Maia-Filho, L. F. (2013). Brazilian retail banking and the 2008 financial crisis: were the government-controlled banks that important. Journal of Banking& Finance 37, 2210–2215.
  • Saborowski, C. ve Weber, S. (2013). Assessing the determinants of interest rate transmission through conditional impulse response functions. International Monetary Fund Working Paper, 13/23, 1-36.
  • Stiglitz, J. E. ve Weiss, A. (1981). Credit rationing in markets with imperfect information. American Economic Review, 71(3), 393-410.
  • TCMB (2010). Enflasyon Raporu-I. Ankara: Türkiye Cumhuriyet Merkez Bankası.
  • TCMB (2012). Enflasyon Raporu-II. Ankara: Türkiye Cumhuriyet Merkez Bankası.
  • Toolsema, L. A.,Sturm, J. E. ve De Haan J. (2002). Convergence of pass-through from Money market to lending rates in EMU countries: new evidence. CCSO Centre for Economic Research Working Paper, 2002/6, 1-18.
  • Vega, R. M. A. E.ve Rebucci, A. (2003). Retail bank ınterest rate pass-through: Is Chile atypical. International Monetary Fund Working Paper,3-112,1-35.
  • Wang, K.M. ve Lee, Y.M. (2009). Market volatility and retail interest rate pass-through. Economic Modelling, 26, 1270–1282.
  • Wang, K-M. ve Thi, T-B N. (2010). Asymmetric pass-throug hand risk of interest rate:an empirical exploration of Taiwan and Hong Kong. Applied Economics, 42, 659–670.
  • Weth, M. A. (2002). The pass-through from market interest rates to bank lending rates in Germany. Economic Research Centre of The Deutsche Bundesbank Discussion Paper, 11/02, 1-34.
  • Yıldırım, D. (2012). Interest rate pass-through to Turkish lending rates: a threshold cointegration analysis. Economic Research Center (ERC) Working Papers in Economics, 12/07, 1-2.
  • Yüksel, E. ve Özcan, K. M. (2012). Interest rate pass-through in Turkey and impact of global financial crisis: asymmetric threshold cointegration analysis. Journal of Business Economics and Management, 14(1), 98–113.
Toplam 49 adet kaynakça vardır.

Ayrıntılar

Bölüm Makaleler
Yazarlar

Nilgün Çağlarırmak Uslu

Pınar Karahan

Yayımlanma Tarihi 28 Aralık 2016
Yayımlandığı Sayı Yıl 2016 Cilt: 23 Sayı: 3

Kaynak Göster

APA Çağlarırmak Uslu, N., & Karahan, P. (2016). Para Politikasının Kredi Faiz Oranlarına Geçişkenliği Üzerine Dinamik Bir Analiz: Türkiye Örneği. Yönetim Ve Ekonomi Dergisi, 23(3), 671-690. https://doi.org/10.18657/yonveek.281806