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

Year 2016, Volume: 23 Issue: 3, 671 - 690, 28.12.2016

Nilgün Çağlarırmak Uslu , Pınar Karahan

https://doi.org/10.18657/yonveek.281806

Cited By: 3

Abstract

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.

Keywords

Interest Rate Pass-Through, Bound Test, Kalman Filter

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

Abstract

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.

Keywords

Faiz Oranı Geçişkenliği, Sınır Testi, Kalman Filtresi

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