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

This 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.

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ALUR TRANSMISI DAN EFEKTIFITAS KEBIJAKAN MONETER GANDA DI INDONESIA

Buletin Ekonomi Moneter dan Perbankan ◽

10.21098/bemp.v14i3.360 ◽

2012 ◽

Vol 14 (3) ◽

pp. 283-315

Author(s):

Ascarya Ascarya

Keyword(s):

Interest Rate ◽

Central Bank ◽

Negative Impact ◽

Transmission Mechanism ◽

Monetary Transmission ◽

Monetary Transmission Mechanism ◽

Monetary System ◽

Data Form ◽

Pass Through ◽

The Interest Rate

This study aims to investigate transmission mechanism of dual monetary system from conventional and Islamic policy rates to inflation and output using Granger and VAR methods on monthly Indonesian banking data form January 2003 to December 2009. The result shows that conventional transmission mechanismsfrom conventional policy rate are all linked tooutput and inflation, while Islamic policy rate are not linked to output and inflation.In addition, the interest rate, credit and conventional interbank rate shocks give negative and permanent impacts to inflation and output, while PLS, financing and Islamic interbank PLS, as well as SBIS(Central Bank Shariah Certificate) as Islamic policy rate shocks give positive and permanent impacts to inflation and output. SBI (Central Bank Certificate) as conventional policy givespositive impact to inflation and negative impact to output.Keywords: Monetary transmission mechanism, Interest rate pass through, Conventional Banking, Islamic BankingJEL Classification: E43, E52, G21, G28

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New Evidence of Interest Rate Pass-through in Taiwan: A Nonlinear Autoregressive Distributed Lag Model

Global Economic Review ◽

10.1080/1226508x.2017.1278710 ◽

2017 ◽

Vol 46 (2) ◽

pp. 129-142 ◽

Cited By ~ 6

Author(s):

Zan Zhang ◽

Su-Ling Tsai ◽

Tsangyao Chang

Keyword(s):

Interest Rate ◽

Distributed Lag ◽

Distributed Lag Model ◽

Autoregressive Distributed Lag ◽

Lag Model ◽

Pass Through ◽

New Evidence ◽

Nonlinear Autoregressive

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Effectiveness of Monetary Policy in India: The Interest Rate Pass-Through Channel

Managing the Macroeconomy ◽

10.1057/9781137534149_2 ◽

2015 ◽

pp. 40-73

Author(s):

Ramkishen S. Rajan ◽

Venkataramana Yanamandra

Keyword(s):

Monetary Policy ◽

Interest Rate ◽

Pass Through ◽

The Interest Rate ◽

Effectiveness Of Monetary Policy

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Inside the Bank Box

The Oxford Handbook of the Economics of Central Banking ◽

10.1093/oxfordhb/9780190626198.013.12 ◽

2019 ◽

pp. 368-405

Author(s):

Leonardo Gambacorta ◽

Paul Mizen

Keyword(s):

Interest Rate ◽

Central Bank ◽

Interest Rates ◽

Adjustment Costs ◽

Bank Lending ◽

Bank Capital ◽

Bank Lending Channel ◽

Lending Channel ◽

Pass Through ◽

The Interest Rate

Central bank policy operates first through financial markets and then through banks as they adjust their interest rates. This chapter discusses the transmission of policy in this first step of the monetary transmission mechanism, known as interest-rate pass-through. Historically, the focus of attention has been the interest-rate channel. We show the origins of this channel via a microfounded model of interest-rate setting by deposit-taking institutions that are Cournot oligopolists facing adjustment costs. We then examine other channels such as the bank lending channel and the bank capital channel and the role of central bank communications, signaling, and forward guidance over future interest rates. Each is shown to influence the setting of current short-term interest rates. The chapter closes with some issues for the future of pass-through in the transmission process.

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