GEÇ LİKİDİTE PENCERESİ FAİZ ORANLARININ KREDİ FAİZ ORANLARI VE DÖVİZ KURLARI ÜZERİNDEKİ ETKİSİNİN ANALİZİ: TÜRKİYE ÖRNEĞİ

Yıl 2019, Cilt: 4 Sayı: 8, 13 - 26, 30.06.2019

Esra N. Kılcı

Öz

TCMB, 2017-2018 döneminde parasal
sıkılaştırma kanalı olarak Geç Likidite Penceresini aktif bir şekilde kullanmış
ve döviz kurlarının enflasyon üzerinde yarattığı baskıyı önleyebilmek amacıyla GLP
faiz oranlarında %10’dan %27’ye kademeli bir artış gerçekleştirmiştir. Bu
çalışmanın amacı 2010:01-2018:10 döneminde GLP faiz oranları ile banka kredi
oranları ve döviz kurları arasındaki ilişkinin incelenmesidir. Analizde, GLP
faiz oranları, nominal kredi oranları ve reel efektif döviz kuruna ilişkin
olarak TCMB’den elde edilen aylık veriler kullanılarak Fourier SHIN eşbütünleşme
testi ve Fourier Granger nedensellik testi uygulanmıştır. Elde edilen sonuçlar,
Geç Likidite Penceresi faiz oranlarının banka kredi faiz oranlarında ve döviz
kurları üzerinde etkili olduğunu göstermektedir.

Anahtar Kelimeler

Geç Likidite Penceresi, Kredi Faiz Oranları

ANALYSIS OF IMPACT OF LATE LIQUIDITY WINDOW RATES ON LENDING RATES AND FOREIGH EXCHANGE RATES: EVIDENCE FROM TURKEY

Öz

CBRT has actively used the Late
Liquidity Window as a monetary tightening channelin 2017 and 2018 and achieved
a gradual increase in LLW rates from %10 to %27 to minimize the pressure
exerted on inflation by the foreign exchange rates. The purpose of this study
to investigate the relationship between LLW rates, bank lending rates and
foreign exchange rates in the period of 2010:01-2018:10. In the analysis,
Fourier SHIN Cointegration Test and Fourier Granger Causality Test have been employed
by using monthly data on LLW rates, nominal lending rates and real effective
exchange rates obtained from CBRT. The findings indicate that LLW rates have
impacts on bank lending rates and foreign exchange rates.

Anahtar Kelimeler

Late Liquidity Window, Credit Interest Rates

Kaynakça

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