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Asymmetric Interest Rate Pass-Through in Türkiye: The Role of Global Financial Crisis

Year 2024, Volume: 19 Issue: 3, 726 - 751

Taner Sekmen

Abstract

The aim of this paper is to investigate the monetary policy rate pass-through to banks’ loan and deposit rates in Turkey. We employ the nonlinear autoregressive distributed lag (NARDL) model with the data set covering the period from January 2002 to October 2019. The loan rates generally have upward rigidities in the long run before the financial crisis, but these rigidities turn into downward and short-run after the financial crisis. These results imply that banks adjusted their loan rates more slowly during monetary tightening periods in the pre-crisis period, while banks' responses are faster during monetary easing periods. However, in the post-crisis period, banks' loan rates react faster during monetary policy tightening than monetary easing periods.

Keywords

Asymmetries price rigidities global financial crisis Turkey

References

  • Apergis, N., and A, Cooray. (2015), “Asymmetric Interest Rate Pass-through in the US, the UK and Australia: New Evidence from Selected Individual Banks”, Journal of Macroeconomics, Vol. 45: 155-172.
  • Aydin, H. I. (2010), “Interest Rate Pass-Through in Turkey”, International Research Journal of Finance and Economics, Vol. 57, No. 07: 82–102.
  • Becker, R., D. R. Osborn, and D. Yildirim. (2012), “A Threshold Cointegration Analysis of Interest Rate Pass-Through to UK Mortgage Rates”, Economic Modelling, Vol. 29, No. 6: 2504-2513.
  • Belke, A., J. Beckmann, and F. Verheyen. (2013), “Interest Rate Pass-Through in the EMU-New Evidence from Nonlinear Cointegration Techniques for Fully Harmonized Data”, Journal of International Money and Finance, Vol. 37: 1–24.
  • Berger, A. N., and T. H. Hannan. (1989), “The Price-Concentration Relationship in Banking”, The Review of Economics and Statistics, Vol. 71, No. 2: 291-299.
  • Cottarelli, C., and A. Kourelis. (1994), “Financial Structure, Bank Lending Rates, and the Transmission Mechanism of Monetary Policy”, IMF Staff Papers, Vol. 41, No. 4: 587-623.
  • Crespo-Cuaresma, J., and T. Reininger. (2004), “Interest Rate Pass-Through in New EU Member States: The Case of the Czech Republic, Hungary and Poland”, William Davidson Institute at the University of Michigan.
  • De Bondt, G. J. (2005), “Interest Rate Pass-Through: Empirical Results for the Euro Area”, German Economic Review, Vol. 6, No. 1: 37–78.
  • Enders, W. and P. L. Siklos. (2001), “Cointegration and Threshold Adjustment”, Journal of Business & Economic Statistics, Vol. 19, No. 2: 166-176.
  • Fadiran, G. O., and A. Ezeoha. (2012), “South African Market Volatility, Asymmetry and Retail Interest Rates Pass-Through”, South African Journal of Economics, Vol. 80, No. 2: 157–180.
  • Freixas, X., and J. C. Rochet. (1997), “Microeconomics of Banking” (Vol. 2). MIT Press Cambridge, MA. Retrieved On, 17(04), 2014.
  • Fried, J., and P. Howitt. (1980), “Credit Rationing and Implicit Contract Theory”, Journal of Money, Credit and Banking, Vol. 12, No. 3: 471-487.
  • Gambacorta, L., and S. Iannotti. (2007), “Are There Asymmetries in the Response of Bank Interest Rates to Monetary Shocks?”, Applied Economics, Vol. 39, No. 19: 2503-2517.
  • Hannan T. H., and A. N. Berger. (1991), “The Rigidity of Prices: Evidence from the Banking Industry”, American Economic Review, Vol. 81, No. 4: 938-945.
  • Hannan, T. H., and J. N. Liang. (1993), “Inferring Market Power from Time-Series Data: The Case of the Banking Firm”, International Journal of Industrial Organization, Vol. 11, No. 2: 205-218.
  • Haughton, A. Y., and E. M. Iglesias. (2012), “Interest Rate Volatility, Asymmetric Interest Rate Pass-Through and the Monetary Transmission Mechanism in the Caribbean Compared to US and Asia”, Economic Modelling, Vol. 29, No. 6: 2071–2089.
  • Hussain, M. N., and B. Nahar. (2016), “Interest Rate Volatility and Retail Interest Rate Pass-Through in the Case of the Malaysian Economy”, The Journal of Developing Areas, Vol. 50, No. 5: 277-294.
  • Jamilov, R., and B. Égert. (2014), “Interest Rate Pass-Through and Monetary Policy Asymmetry: A Journey into the Caucasian Black Box”, Journal of Asian Economics, Vol. 31-32: 57–70.
  • Kapetanios, G., and Y. Shin. (2008), “GLS Detrending-Based Unit Root Tests in Nonlinear STAR and SETAR Models”, Economics Letters, Vol. 100, No. 3: 377-380.
  • Karagiannis, S., Y. Panagopoulos, and P. Vlamis. (2011), “Symmetric or Asymmetric Interest Rate Adjustments? Evidence from Southeastern Europe”, Review of Development Economics, Vol. 15, No. 2: 370–385.
  • Kleimeier, S., and H. Sander. (2006), “Expected versus Unexpected Monetary Policy Impulses and Interest Rate Pass-Through in Euro-Zone Retail Banking Markets”, Journal of Banking and Finance, Vol. 30, No. 7: 1839–1870.
  • Klemperer, P. (1987), “Markets with Consumer Switching Costs”, The Quarterly Journal of Economics, Vol. 102, No. 2: 375-394.
  • Lim, G. C. (2001), “Bank Interest Rate Adjustments: Are They Asymmetric?”, Economic Record, Vol. 77, No. 237: 135–147.
  • Lowe, P., and T. Rohling. (1992), “Loan Rate Stickiness: Theory and Evidence”, Research Discussion Paper No. 9206, Reserve Bank of Australia.
  • Matemilola, B. T., A. N. Bany-Ariffin, and F. E. Muhtar. (2015), “The Impact of Monetary Policy on Bank Lending Rate in South Africa”, Borsa Istanbul Review, Vol. 15, No. 1: 53–59.
  • Neumark, D., and S. A. Sharpe. (1992), “Market Structure and the Nature of Price Rigidity: Evidence from the Market for Consumer Deposits”, The Quarterly Journal of Economics, Vol. 107, No. 2: 657-680.
  • Özdemir, B. K. (2009), “Retail Bank Interest Rate Pass-Through: The Turkish Experience”, International Research Journal of Finance and Economics, Vol. 28: 7–15.
  • Payne, J. E. (2006), “The Response of the Conventional Mortgage Rate to the Federal Funds Rate: Symmetric or Asymmetric Adjustment?”, Applied Financial Economics Letters, Vol. 2, No. 5: 279-284.
  • Payne, J. E., and G. A. Waters. (2008), “Interest Rate Pass-Through and Asymmetric Adjustment: Evidence from the Federal Funds Rate Operating Target Period”, Applied Economics, Vol. 40, No. 11: 1355–1362.
  • Roelands, S. (2012), “Asymmetric Interest Rate Pass-Through from Monetary Policy: The Role of Bank Regulation”, SSRN Electronic Journal, 1–42.
  • Rosen, R. J. (2002), “What Goes Up Must Come Down? Asymmetries and Persistence in Bank Deposit Rates”, Journal of Financial Services Research, Vol. 21, No. 3: 173-193.
  • Rotemberg, J. J., and G. Saloner. (1987), “The Relative Rigidity of Monopoly Pricing”, The American Economic Review, Vol. 77, No. 5: 917-926.
  • Scholnick, B. (1999), “Interest Rate Asymmetries in Long-Term Loan and Deposit Markets”, Journal of Financial Services Research, Vol. 16, No. 1: 5–26.
  • Sekmen, T., Ö. Akkuş, and İ. Şıklar. (2015), “Competitive Conditions in the Turkish Banking Systems”, Journal of Business Economics and Finance, Vol. 4, No. 1: 52-68.
  • Shaffer, S. (1994), “Bank Competition in Concentrated Markets”, Business Review, 3-16.
  • Shin, Y., B. Yu, and M. Greenwood-Nimmo. (2014), “Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework”, In Festschrift In Honor Of Peter Schmidt (Pp. 281-314). Springer, New York, NY.
  • Şıklar, İ., E. Doğan, and M. Dinç. (2016), “Interest Rate Pass-Through in Turkey: The Measurement of the Monetary Transmission Mechanism Dynamics”, Journal of Business & Economic Policy, Vol. 3, No. 4: 38-45.
  • Stiglitz, J. E., and A. Weiss. (1981), “Credit Rationing in Markets with Imperfect Information”, The American Economic Review, Vol. 71, No. 3: 393-410.
  • Sznajderska, A. (2013), “On the Empirical Evidence of Asymmetric Effects in The Polish Interest Rate Pass-Through”, Journal of Economic Asymmetries, Vol. 10, No. 2: 78–93.
  • Tai, P. N., S. K. Sek, and W. M. Har. (2012), “Interest Rate Pass-Through and Monetary Transmission in Asia”, International Journal of Economics and Finance, Vol. 4, No. 2: 163-174.
  • Tang, M. M. J., C. H. Puah, and V. K. S. Liew. (2015), “The Interest Rate Pass-Through in Malaysia: An Analysis on Asymmetric Adjustment”, International Journal of Economics and Management, Vol. 9, No. 2: 138–149.
  • Valadkhani, A., and S. Anwar. (2012), “Interest Rate Pass-Through and the Asymmetric Relationship Between the Cash Rate and the Mortgage Rate”, Economic Record, Vol. 88, No. 282: 341–350.
  • Wang, K. M., and Y. M. Lee. (2009), “Market Volatility and Retail Interest Rate Pass-Through”, Economic Modelling, Vol. 26, No. 6: 1270-1282.
  • Wang, K. M., and T. B. N. Thi. (2010), “Asymmetric Pass-Through and Risk of Interest Rate: An Empirical Exploration of Taiwan and Hong Kong”, Applied Economics, Vol. 42, No. 5: 659–670.
  • Víquez, R. D., and M. E. Monge. (2008), “Policy Rates Pass-Through. Evidence from the Costa Rican Economy”. Research Paper, Banco Central de Costa Rica.
  • Yildirim, D. (2012), “Interest Rate Pass-Through to Turkish Lending Rates: A Threshold Cointegration Analysis”, Economic Research Center Working papers in Economics 12/07.
  • Yüksel, E., and K. M. Özcan. (2013), “Interest Rate Pass-Through in Turkey and Impact of Global Financial Crisis: Asymmetric Threshold Cointegration Analysis”, Journal of Business Economics and Management, Vol. 14, No. 1: 98–113.
  • Zivot, E., and A. Donald. (1992),“Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis”, Journal of Business and Economic Statistics, Vol. 20, No. 1: 25-44.

Türkiye’de Asimetrik Faiz Oranı Geçişkenliği: Küresel Finansal Krizin Rolü

Year 2024, Volume: 19 Issue: 3, 726 - 751

Taner Sekmen

Abstract

Bu çalışmanın amacı, Türkiye'de para politikası faizinin bankaların kredi ve mevduat faizlerine geçişkenliğini sorgulamaktır. Çalışmada 2002 Ocak ve 2019 Ekim dönemini kapsayan veri seti ile doğrusal olmayan gecikmesi dağıtılmış otoregresif (NARDL) modeli kullanılmaktadır. Finansal kriz öncesi dönem için uzun dönemde kredi faizleri genellikle yukarı yönlü katılıklara sahipken, bu katılıklar finansal kriz sonrası dönem için aşağı yönlü ve kısa döneme dönüşmektedir. Bu sonuçlar, kriz öncesinde bankaların parasal sıkılaştırma dönemlerinde kredi faizlerini daha yavaş ayarladıklarını, parasal genişleme dönemlerinde ise bankaların tepkilerinin daha hızlı olduğunu ima etmektedir. Ancak kriz sonrasında para politikası sıkılaştırması dönemlerinde bankaların kredi faizleri parasal genişleme dönemlerine göre daha hızlı tepki vermektedir.

Keywords

Asimetriler fiyat katılıkları küresel finansal kriz Türkiye

References

  • Apergis, N., and A, Cooray. (2015), “Asymmetric Interest Rate Pass-through in the US, the UK and Australia: New Evidence from Selected Individual Banks”, Journal of Macroeconomics, Vol. 45: 155-172.
  • Aydin, H. I. (2010), “Interest Rate Pass-Through in Turkey”, International Research Journal of Finance and Economics, Vol. 57, No. 07: 82–102.
  • Becker, R., D. R. Osborn, and D. Yildirim. (2012), “A Threshold Cointegration Analysis of Interest Rate Pass-Through to UK Mortgage Rates”, Economic Modelling, Vol. 29, No. 6: 2504-2513.
  • Belke, A., J. Beckmann, and F. Verheyen. (2013), “Interest Rate Pass-Through in the EMU-New Evidence from Nonlinear Cointegration Techniques for Fully Harmonized Data”, Journal of International Money and Finance, Vol. 37: 1–24.
  • Berger, A. N., and T. H. Hannan. (1989), “The Price-Concentration Relationship in Banking”, The Review of Economics and Statistics, Vol. 71, No. 2: 291-299.
  • Cottarelli, C., and A. Kourelis. (1994), “Financial Structure, Bank Lending Rates, and the Transmission Mechanism of Monetary Policy”, IMF Staff Papers, Vol. 41, No. 4: 587-623.
  • Crespo-Cuaresma, J., and T. Reininger. (2004), “Interest Rate Pass-Through in New EU Member States: The Case of the Czech Republic, Hungary and Poland”, William Davidson Institute at the University of Michigan.
  • De Bondt, G. J. (2005), “Interest Rate Pass-Through: Empirical Results for the Euro Area”, German Economic Review, Vol. 6, No. 1: 37–78.
  • Enders, W. and P. L. Siklos. (2001), “Cointegration and Threshold Adjustment”, Journal of Business & Economic Statistics, Vol. 19, No. 2: 166-176.
  • Fadiran, G. O., and A. Ezeoha. (2012), “South African Market Volatility, Asymmetry and Retail Interest Rates Pass-Through”, South African Journal of Economics, Vol. 80, No. 2: 157–180.
  • Freixas, X., and J. C. Rochet. (1997), “Microeconomics of Banking” (Vol. 2). MIT Press Cambridge, MA. Retrieved On, 17(04), 2014.
  • Fried, J., and P. Howitt. (1980), “Credit Rationing and Implicit Contract Theory”, Journal of Money, Credit and Banking, Vol. 12, No. 3: 471-487.
  • Gambacorta, L., and S. Iannotti. (2007), “Are There Asymmetries in the Response of Bank Interest Rates to Monetary Shocks?”, Applied Economics, Vol. 39, No. 19: 2503-2517.
  • Hannan T. H., and A. N. Berger. (1991), “The Rigidity of Prices: Evidence from the Banking Industry”, American Economic Review, Vol. 81, No. 4: 938-945.
  • Hannan, T. H., and J. N. Liang. (1993), “Inferring Market Power from Time-Series Data: The Case of the Banking Firm”, International Journal of Industrial Organization, Vol. 11, No. 2: 205-218.
  • Haughton, A. Y., and E. M. Iglesias. (2012), “Interest Rate Volatility, Asymmetric Interest Rate Pass-Through and the Monetary Transmission Mechanism in the Caribbean Compared to US and Asia”, Economic Modelling, Vol. 29, No. 6: 2071–2089.
  • Hussain, M. N., and B. Nahar. (2016), “Interest Rate Volatility and Retail Interest Rate Pass-Through in the Case of the Malaysian Economy”, The Journal of Developing Areas, Vol. 50, No. 5: 277-294.
  • Jamilov, R., and B. Égert. (2014), “Interest Rate Pass-Through and Monetary Policy Asymmetry: A Journey into the Caucasian Black Box”, Journal of Asian Economics, Vol. 31-32: 57–70.
  • Kapetanios, G., and Y. Shin. (2008), “GLS Detrending-Based Unit Root Tests in Nonlinear STAR and SETAR Models”, Economics Letters, Vol. 100, No. 3: 377-380.
  • Karagiannis, S., Y. Panagopoulos, and P. Vlamis. (2011), “Symmetric or Asymmetric Interest Rate Adjustments? Evidence from Southeastern Europe”, Review of Development Economics, Vol. 15, No. 2: 370–385.
  • Kleimeier, S., and H. Sander. (2006), “Expected versus Unexpected Monetary Policy Impulses and Interest Rate Pass-Through in Euro-Zone Retail Banking Markets”, Journal of Banking and Finance, Vol. 30, No. 7: 1839–1870.
  • Klemperer, P. (1987), “Markets with Consumer Switching Costs”, The Quarterly Journal of Economics, Vol. 102, No. 2: 375-394.
  • Lim, G. C. (2001), “Bank Interest Rate Adjustments: Are They Asymmetric?”, Economic Record, Vol. 77, No. 237: 135–147.
  • Lowe, P., and T. Rohling. (1992), “Loan Rate Stickiness: Theory and Evidence”, Research Discussion Paper No. 9206, Reserve Bank of Australia.
  • Matemilola, B. T., A. N. Bany-Ariffin, and F. E. Muhtar. (2015), “The Impact of Monetary Policy on Bank Lending Rate in South Africa”, Borsa Istanbul Review, Vol. 15, No. 1: 53–59.
  • Neumark, D., and S. A. Sharpe. (1992), “Market Structure and the Nature of Price Rigidity: Evidence from the Market for Consumer Deposits”, The Quarterly Journal of Economics, Vol. 107, No. 2: 657-680.
  • Özdemir, B. K. (2009), “Retail Bank Interest Rate Pass-Through: The Turkish Experience”, International Research Journal of Finance and Economics, Vol. 28: 7–15.
  • Payne, J. E. (2006), “The Response of the Conventional Mortgage Rate to the Federal Funds Rate: Symmetric or Asymmetric Adjustment?”, Applied Financial Economics Letters, Vol. 2, No. 5: 279-284.
  • Payne, J. E., and G. A. Waters. (2008), “Interest Rate Pass-Through and Asymmetric Adjustment: Evidence from the Federal Funds Rate Operating Target Period”, Applied Economics, Vol. 40, No. 11: 1355–1362.
  • Roelands, S. (2012), “Asymmetric Interest Rate Pass-Through from Monetary Policy: The Role of Bank Regulation”, SSRN Electronic Journal, 1–42.
  • Rosen, R. J. (2002), “What Goes Up Must Come Down? Asymmetries and Persistence in Bank Deposit Rates”, Journal of Financial Services Research, Vol. 21, No. 3: 173-193.
  • Rotemberg, J. J., and G. Saloner. (1987), “The Relative Rigidity of Monopoly Pricing”, The American Economic Review, Vol. 77, No. 5: 917-926.
  • Scholnick, B. (1999), “Interest Rate Asymmetries in Long-Term Loan and Deposit Markets”, Journal of Financial Services Research, Vol. 16, No. 1: 5–26.
  • Sekmen, T., Ö. Akkuş, and İ. Şıklar. (2015), “Competitive Conditions in the Turkish Banking Systems”, Journal of Business Economics and Finance, Vol. 4, No. 1: 52-68.
  • Shaffer, S. (1994), “Bank Competition in Concentrated Markets”, Business Review, 3-16.
  • Shin, Y., B. Yu, and M. Greenwood-Nimmo. (2014), “Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework”, In Festschrift In Honor Of Peter Schmidt (Pp. 281-314). Springer, New York, NY.
  • Şıklar, İ., E. Doğan, and M. Dinç. (2016), “Interest Rate Pass-Through in Turkey: The Measurement of the Monetary Transmission Mechanism Dynamics”, Journal of Business & Economic Policy, Vol. 3, No. 4: 38-45.
  • Stiglitz, J. E., and A. Weiss. (1981), “Credit Rationing in Markets with Imperfect Information”, The American Economic Review, Vol. 71, No. 3: 393-410.
  • Sznajderska, A. (2013), “On the Empirical Evidence of Asymmetric Effects in The Polish Interest Rate Pass-Through”, Journal of Economic Asymmetries, Vol. 10, No. 2: 78–93.
  • Tai, P. N., S. K. Sek, and W. M. Har. (2012), “Interest Rate Pass-Through and Monetary Transmission in Asia”, International Journal of Economics and Finance, Vol. 4, No. 2: 163-174.
  • Tang, M. M. J., C. H. Puah, and V. K. S. Liew. (2015), “The Interest Rate Pass-Through in Malaysia: An Analysis on Asymmetric Adjustment”, International Journal of Economics and Management, Vol. 9, No. 2: 138–149.
  • Valadkhani, A., and S. Anwar. (2012), “Interest Rate Pass-Through and the Asymmetric Relationship Between the Cash Rate and the Mortgage Rate”, Economic Record, Vol. 88, No. 282: 341–350.
  • Wang, K. M., and Y. M. Lee. (2009), “Market Volatility and Retail Interest Rate Pass-Through”, Economic Modelling, Vol. 26, No. 6: 1270-1282.
  • Wang, K. M., and T. B. N. Thi. (2010), “Asymmetric Pass-Through and Risk of Interest Rate: An Empirical Exploration of Taiwan and Hong Kong”, Applied Economics, Vol. 42, No. 5: 659–670.
  • Víquez, R. D., and M. E. Monge. (2008), “Policy Rates Pass-Through. Evidence from the Costa Rican Economy”. Research Paper, Banco Central de Costa Rica.
  • Yildirim, D. (2012), “Interest Rate Pass-Through to Turkish Lending Rates: A Threshold Cointegration Analysis”, Economic Research Center Working papers in Economics 12/07.
  • Yüksel, E., and K. M. Özcan. (2013), “Interest Rate Pass-Through in Turkey and Impact of Global Financial Crisis: Asymmetric Threshold Cointegration Analysis”, Journal of Business Economics and Management, Vol. 14, No. 1: 98–113.
  • Zivot, E., and A. Donald. (1992),“Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis”, Journal of Business and Economic Statistics, Vol. 20, No. 1: 25-44.
There are 48 citations in total.

Details

Primary Language English
Subjects Monetary Policy
Journal Section Articles
Authors

Taner Sekmen 0000-0002-0363-3765

Publication Date
Submission Date April 3, 2023
Published in Issue Year 2024 Volume: 19 Issue: 3

Cite

APA Sekmen, T. (n.d.). Asymmetric Interest Rate Pass-Through in Türkiye: The Role of Global Financial Crisis. Eskişehir Osmangazi Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 19(3), 726-751.
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