Interest rate pass-through in Turkey and impact of global financial crisis: asymmetric threshold cointegration analysis

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dc.citation.epage113en_US
dc.citation.issueNumber1en_US
dc.citation.spage98en_US
dc.citation.volumeNumber14en_US
dc.contributor.authorYüksel, E.en_US
dc.contributor.authorÖzcan, K. M.en_US
dc.date.accessioned2015-07-28T11:59:40Z
dc.date.available2015-07-28T11:59:40Z
dc.date.issued2013en_US
dc.departmentDepartment of Economicsen_US
dc.description.abstractThis paper aims to investigate the interest rate pass-through of monetary policy rate to banking retail rates in Turkey by employing the asymmetric threshold autoregressive (TAR) and momentum threshold autoegressive (MTAR) procedures introduced by Enders and Siklos (2001). Over the period December 2001 to April 2011, the empirical results of asymmetric threshold cointegration analysis suggest that there exist significant and complete pass-through between policy rate and loan rates. Positive and negative departures from the equilibrium converge to long run path almost at the same speed. Pace of convergence is about two to three months for all loan rates. Policy rate has significant short run impact on loan rates. Our analysis revealed that there is no significant relationship between policy rate and bank deposit rates due to sluggish adjustment of deposit rates. Lastly, the speed and behavior of interest rate pass-through between policy rate and loan rates did not change when we encounter the effect of 2008 financial crisis. Having a banking sector dominated financial system in Turkey, the results suggest that banks adjust loan rates faster than deposit rates. This indicates that Central Bank can affect the consumption behavior of people, in other words aggregate demand through loan rates.en_US
dc.identifier.doi10.3846/16111699.2012.671189en_US
dc.identifier.eissn2029-4433
dc.identifier.issn1611-1699
dc.identifier.urihttp://hdl.handle.net/11693/12010
dc.language.isoEnglishen_US
dc.publisherTaylor & Francisen_US
dc.relation.isversionofhttp://dx.doi.org/10.3846/16111699.2012.671189en_US
dc.source.titleJournal of Business and Economic Managementen_US
dc.subjectAsymmetric threshold cointegrationen_US
dc.subjectBanking retail rateen_US
dc.subjectInterest rate pass-throughen_US
dc.subjectLoan rateen_US
dc.subjectMonetary policyen_US
dc.subjectMonetary transmission mechanismen_US
dc.titleInterest rate pass-through in Turkey and impact of global financial crisis: asymmetric threshold cointegration analysisen_US
dc.typeArticleen_US

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