Assessing the effects of a policy rate shock on market interest rates: interest rate pass-through with a FAVAR model–the case of Turkey for the inflation-targeting period

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buir.contributor.authorBerument, Hakan
dc.citation.issueNumber30en_US
dc.contributor.authorCeylan, N. B.en_US
dc.contributor.authorBerument, Hakanen_US
dc.contributor.authorVarlik, S.en_US
dc.date.accessioned2019-01-23T13:15:38Z
dc.date.available2019-01-23T13:15:38Z
dc.date.issued2018-07-29en_US
dc.departmentDepartment of Economicsen_US
dc.description.abstractThe purpose of this paper is to investigate the effectiveness of the central bank’s policy rate on market interest rates in Turkey for the inflation-targeting period. Empirical evidence suggests that (i) all interest rates respond to a positive policy rate shock positively for all periods and have a hump shape for government debt security yields as well as for domestic-currency‒ and foreign-currency‒denominated time deposit interest rates; (ii) as maturities increase, the responses of all interest rates to the policy shock increase; (iii) the responses to the policy shock of credit interest rates with higher demand elasticity and longer maturity, such as vehicle and housing rates, is lower than those of others that we consider and (iv) the interest-rate responses of foreign-currency‒denominated commercial credits are lower than those of domestic-currency‒denominated commercial credits.en_US
dc.identifier.doi10.13140/RG.2.1.2013.3846en_US
dc.identifier.urihttp://hdl.handle.net/11693/48274
dc.language.isoEnglishen_US
dc.relation.isversionofhttps://doi.org/10.13140/RG.2.1.2013.3846en_US
dc.source.titleJournal of Money, Investment and Bankingen_US
dc.subjectInterest rate pass-throughen_US
dc.subjectMonetary policyen_US
dc.subjectFAVARen_US
dc.titleAssessing the effects of a policy rate shock on market interest rates: interest rate pass-through with a FAVAR model–the case of Turkey for the inflation-targeting perioden_US
dc.typeArticleen_US
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