The Effects of Monetary Policy by Tcmb, Fed and Ecb on Banking Sector in Turkey: Markov Switching Approach (2002-2013)

Mustafa Çayır, Deniz Erer, Elif Erer and N. Oğuzhan Altay
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N. Oğuzhan Altay: Ege University

Journal of Finance Letters (Maliye ve Finans Yazıları), 2015, vol. 30, issue 104, 9-24

Abstract: The aim of this study is to examine the effects of monetary policies of tcmb, fed and ecb on banking sector in turkey in 2002:q1-2013:q3 period. In this context, policy interest rate, return on assets and return on equity are analysed with markov switching model. The results show that an increase in policy interest rates of tcmb, fed and ecb has affected negatively banking sector profitability in contraction period. However, in expansion period fed monetary policy has had a positive impact on banking sector profitability, while tcmb monetary policy has been negative influence on it.

Keywords: Monetary Policy of the TCMB; FED and ECB; Return on Assets; Return on Equity; Markow Regime Switching Model (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:acc:malfin:v:30:y:2015:i:104:p:9-24

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