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MODELLING THE INTEREST RATE ASYMMETRIC PASS-THROUGH IN TURKISH LOAN MARKET: NEW EVIDENCE FROM THRESHOLD COINTEGRATION ANALYSIS.

Authors :
BÖLÜK, Gülden
DEMİR, Fatih
Source :
Dokuz Eylul University Journal of Graduate School of Social Sciences. 2021, Vol. 23 Issue 4, p1495-1519. 25p.
Publication Year :
2021

Abstract

The current study aims to examine the relationship between banks' marginal cost (official policy rate) and retail rates in Turkish banking loan market. We tested asymmetric pass-through by using threshold autoregressive (TAR) and momentum threshold autoregressive (MTAR) and weekly data over the period of 2011:1 to 2021:36. Empirical results reveal that there is incomplete pass-through between policy rate and retail lending rates as vehicle, housing, and commercial loans. Moreover, it's found that while housing and commercial loan rates are rigid downward, vehicle loan rates are rigid upward. The weak and incomplete adjustment indicate that contestability in Turkish banking market has worsened during the last decades. Within this context, positive, and negative asymmetries in transmission process of Turkish banking system imply that impact of central bank decision on macroeconomic variables (such as inflation, growth etc.) is accepted to be weak in Turkey. [ABSTRACT FROM AUTHOR]

Details

Language :
English
ISSN :
13023284
Volume :
23
Issue :
4
Database :
Academic Search Index
Journal :
Dokuz Eylul University Journal of Graduate School of Social Sciences
Publication Type :
Academic Journal
Accession number :
155680023
Full Text :
https://doi.org/10.16953/deusosbil.1009194