Interest Rate Pass-Through and Monetary Transmission Mechanism in Turkey

Mortaza Ojaghlou and Begum KAYA Soztanaci
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Mortaza Ojaghlou: Assistant Professor, Istanbul Aydin University, Faculty of Economics and Administrative Sciences, mortazaojaghlou@aydin.edu.tr,
Begum KAYA Soztanaci: Master Student, Istanbul Aydin University, Faculty of Economics and Administrative Sciences, begumkayasoztanaci@stu.aydin.edu.tr

Isletme ve Iktisat Calismalari Dergisi, 2022, vol. 10, issue 1, 46-54

Abstract: This paper examines the pass-through of interest rates from changes in the official interest rate of the Central Bank of Turkey (CBRT) to market interest rates in Turkey. In this context, we have collected six market interest rates series, such as the bank rate (BR), the lending rate (LR), the deposit rate (DR), the money market rate (MMR), the Treasury bill rate (TBR), and the government bond yield (GBY). First, we conducted an analysis of the correlation of the series. Second, we examined the cointegration of the series and then used Bayesian vector autoregression to estimate the response of interest rates to the bank rate. The results show that there is a long-run relationship between the interest rates and that there is a strong correlation between the bank rate and the third rates such as the money market rate, the deposit rate (DR) and the lending rate. There is a complete pass-through between the bank rate and the landing rate. There is a strong pass-through between the money market rate and the bank rate, and a strong pass-through between the Treasury bill rate, the deposit rate, and the bank rate. There is no pass-through between the government bond yield and the bank rate.

Keywords: Faiz Orani; Geciskenlik; Parasal Aktarim Mekanizmasi; Para Politikasi (search for similar items in EconPapers)
JEL-codes: E43 E44 E52 E58 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ4:2022-01-04

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