Interest Rate Pass-Through to Turkish Lending Rates: A Threshold Cointegration Analysis
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Bondt Gabe J. de, 2005.
"Interest Rate Pass-Through: Empirical Results for the Euro Area,"
German Economic Review, De Gruyter, vol. 6(1), pages 37-78, February.
- Gabe J. De Bondt, 2005. "Interest Rate Pass‐Through: Empirical Results for the Euro Area," German Economic Review, Verein für Socialpolitik, vol. 6(1), pages 37-78, February.
- van Hoesel, C.P.M., 2004. "Optimization in telecommunication networks," Research Memorandum 045, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Becker, Ralf & Osborn, Denise R. & Yildirim, Dilem, 2012.
"A threshold cointegration analysis of interest rate pass-through to UK mortgage rates,"
Economic Modelling, Elsevier, vol. 29(6), pages 2504-2513.
- Ralf Becker & Denise R Osborn & Dilem Yildirim, 2010. "A threshold cointegration analysis of interest rate pass-through to UK mortgage rates," Centre for Growth and Business Cycle Research Discussion Paper Series 141, Economics, The University of Manchester.
- Corvoisier, Sandrine & Gropp, Reint, 2002.
"Bank concentration and retail interest rates,"
Journal of Banking & Finance, Elsevier, vol. 26(11), pages 2155-2189, November.
- Corvoisier, Sandrine & Gropp, Reint, 2001. "Bank Concentration and Retail Interest Rates," Working Paper Series 72, European Central Bank.
- David Neumark & Steven A. Sharpe, 1992.
"Market Structure and the Nature of Price Rigidity: Evidence from the Market for Consumer Deposits,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 107(2), pages 657-680.
- David Neumark & Steven A. Sharpe, 1989. "Market structure and the nature of price rigidity: evidence from the market for consumer deposits," Finance and Economics Discussion Series 52, Board of Governors of the Federal Reserve System (U.S.).
- Halil Ibrahim Aydin, 2007. "Interest Rate Pass-Through in Turkey," Working Papers 0705, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Boris Hofmann & Paul Mizen, 2004. "Interest Rate Pass-Through and Monetary Transmission: Evidence from Individual Financial Institutions' Retail Rates," Economica, London School of Economics and Political Science, vol. 71, pages 99-123, February.
- Don Bredin & Trevor Fitzpatrick & Gerard O Reilly, 2002.
"Retail Interest Rate Pass-Through - The Irish Experience,"
The Economic and Social Review, Economic and Social Studies, vol. 33(2), pages 223-246.
- Bredin, Don & Fitzpatrick, Trevor & O'Reilly, Gerard, 2001. "Retail Interest Rate Pass-Through: The Irish Experience," Research Technical Papers 6/RT/01, Central Bank of Ireland.
- Johann Burgstaller, 2005. "Interest rate pass-through estimates from vector autoregressive models," Economics working papers 2005-10, Department of Economics, Johannes Kepler University Linz, Austria.
- James Payne & George Waters, 2008. "Interest rate pass through and asymmetric adjustment: evidence from the federal funds rate operating target period," Applied Economics, Taylor & Francis Journals, vol. 40(11), pages 1355-1362.
- Heffernan, Shelagh A, 1997. "Modelling British Interest Rate Adjustment: An Error Correction Approach," Economica, London School of Economics and Political Science, vol. 64(254), pages 211-231, May.
- Ana-Maria Fuertes & Shelagh Heffernan & Elena Kalotychou, 2010. "How do UK Banks React to Changing Central Bank Rates?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 37(2), pages 99-130, June.
- Serena Ng & Pierre Perron, 2001.
"LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power,"
Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
- Serena Ng & Pierre Perron, 1997. "Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power," Boston College Working Papers in Economics 369, Boston College Department of Economics, revised 01 Sep 2000.
- Paul Klemperer, 1987. "Markets with Consumer Switching Costs," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 102(2), pages 375-394.
- Kleimeier, Stefanie & Sander, Harald, 2006. "Expected versus unexpected monetary policy impulses and interest rate pass-through in euro-zone retail banking markets," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 1839-1870, July.
- Marotta, Giuseppe, 2009.
"Structural breaks in the lending interest rate pass-through and the euro,"
Economic Modelling, Elsevier, vol. 26(1), pages 191-205, January.
- Giuseppe Marotta, 2008. "Structural breaks in the lending interest rate pass-through and the euro," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08031, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Rocha, Manuel Duarte, 2012. "Interest rate pass-through in Portugal: Interactions, asymmetries and heterogeneities," Journal of Policy Modeling, Elsevier, vol. 34(1), pages 64-80.
- Mojon, Benoît & Valla, Natacha & de Bondt, Gabe, 2005. "Term structure and the sluggishness of retail bank interest rates in euro area countries," Working Paper Series 518, European Central Bank.
- Robert B. Davies, 2002. "Hypothesis testing when a nuisance parameter is present only under the alternative: Linear model case," Biometrika, Biometrika Trust, vol. 89(2), pages 484-489, June.
- Sander, Harald & Kleimeier, Stefanie, 2004. "Convergence in euro-zone retail banking? What interest rate pass-through tells us about monetary policy transmission, competition and integration," Journal of International Money and Finance, Elsevier, vol. 23(3), pages 461-492, April.
- Philip Lowe & Thomas Rohling, 1992. "Loan Rate Stickiness: Theory and Evidence," RBA Research Discussion Papers rdp9206, Reserve Bank of Australia.
- James Payne, 2007. "Interest rate pass through and asymmetries in adjustable rate mortgages," Applied Financial Economics, Taylor & Francis Journals, vol. 17(17), pages 1369-1376.
- Horváth, Roman & Podpiera, Anca, 2012.
"Heterogeneity in bank pricing policies: The Czech evidence,"
Economic Systems, Elsevier, vol. 36(1), pages 87-108.
- Roman Horvath & Anca Maria Podpiera, 2009. "Heterogeneity in Bank Pricing Policies: The Czech Evidence," Working Papers 2009/8, Czech National Bank.
- Klemperer, Paul D, 1987. "Entry Deterrence in Markets with Consumer Switching Costs," Economic Journal, Royal Economic Society, vol. 97(388a), pages 99-117, Supplemen.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Mordi, Charles N. O. & Adebiyi, Michael A. & Omotosho, Babatunde S., 2019. "Modelling interest rates pass-through in Nigeria: An error correction approach with asymmetric adjustments and structural breaks," MPRA Paper 96171, University Library of Munich, Germany.
- S. Burcu Avci & Eray Yucel, 2017.
"Effectiveness of monetary policy: evidence from Turkey,"
Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 7(2), pages 179-213, August.
- Avci, S. Burcu & Yucel, Eray, 2016. "Effectiveness of Monetary Policy: Evidence from Turkey," MPRA Paper 70848, University Library of Munich, Germany.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Becker, Ralf & Osborn, Denise R. & Yildirim, Dilem, 2012.
"A threshold cointegration analysis of interest rate pass-through to UK mortgage rates,"
Economic Modelling, Elsevier, vol. 29(6), pages 2504-2513.
- Ralf Becker & Denise R Osborn & Dilem Yildirim, 2010. "A threshold cointegration analysis of interest rate pass-through to UK mortgage rates," Centre for Growth and Business Cycle Research Discussion Paper Series 141, Economics, The University of Manchester.
- Aristei, David & Gallo, Manuela, 2014.
"Interest rate pass-through in the Euro area during the financial crisis: A multivariate regime-switching approach,"
Journal of Policy Modeling, Elsevier, vol. 36(2), pages 273-295.
- David ARISTEI & Manuela Gallo, 2012. "Interest Rate Pass-Through in the Euro Area during the Financial Crisis: a Multivariate Regime-Switching Approach," Quaderni del Dipartimento di Economia, Finanza e Statistica 107/2012, Università di Perugia, Dipartimento Economia.
- Andries, Natalia & Billon, Steve, 2016.
"Retail bank interest rate pass-through in the euro area: An empirical survey,"
Economic Systems, Elsevier, vol. 40(1), pages 170-194.
- Natalia Andries & Steve Billon, 2016. "Retail bank interest rate pass-through in the euro area: An empirical survey," Post-Print halshs-01354597, HAL.
- Petrevski, Goran & Bogoev, Jane, 2012. "Interest rate pass-through in South East Europe: An empirical analysis," Economic Systems, Elsevier, vol. 36(4), pages 571-593.
- Danilo Liberati, 2018.
"An estimated DSGE model with search and matching frictions in the credit market,"
International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 11(6), pages 567-617.
- Danilo Liberati, 2014. "An estimated DSGE model with search and matching frictions in the credit market," Temi di discussione (Economic working papers) 986, Bank of Italy, Economic Research and International Relations Area.
- Michiel van Leuvensteijn & Christoffer Kok Sørensen & Jacob A. Bikker & Adrian A.R.J.M. van Rixtel, 2013.
"Impact of bank competition on the interest rate pass-through in the euro area,"
Applied Economics, Taylor & Francis Journals, vol. 45(11), pages 1359-1380, April.
- Michiel van Leuvensteijn & Christoffer Kok Sørensen & Jacob A. Bikker & Adrian van Rixtel, 2008. "Impact of bank competition on the interest rate pass-through in the euro area," Working Papers 0828, Banco de España.
- Michiel van Leuvensteijn & Christoffer Kok Sorensen & Jacob A. Bikker & Adrian A.R.J.M. van Rixtel, 2011. "Impact of bank competition on the interest rate pass-through in the euro area," Post-Print hal-00763955, HAL.
- Michiel van Leuvensteijn & C. Kok Sorensen & J.A. Bikker & A.A.R.J.M. Rixtel, 2008. "Impact of bank competition on the interest rate pass-through in the euro area," CPB Discussion Paper 103, CPB Netherlands Bureau for Economic Policy Analysis.
- van Leuvensteijn, Michiel & Kok, Christoffer & Bikker, Jacob A. & Van Rixtel, Adrian, 2008. "Impact of bank competition on the interest rate pass-through in the euro area," Working Paper Series 885, European Central Bank.
- M. van Leuvensteijn & C. Kok Sørensen & J.A. Bikker & A.A.R.J.M. van Rixtel, 2008. "Impact of bank competition on the interest rate pass-through in the euro area," Working Papers 08-08, Utrecht School of Economics.
- A.H. Ahmad & Nusrate Aziz & Shahina Rummun, 2013. "Interest Rate Pass-Through in the UK: Has the Transmission Mechanism Changed During the Financial Crisis?," Economic Issues Journal Articles, Economic Issues, vol. 18(1), pages 17-38, March.
- repec:zbw:bofrdp:2009_027 is not listed on IDEAS
- Putkuri, Hanna, 2010. "Housing loan rate margins in Finland," Research Discussion Papers 10/2010, Bank of Finland.
- Anindya Banerjee & Victor Bystrov & Paul Mizen, 2013.
"How Do Anticipated Changes to Short‐Term Market Rates Influence Banks' Retail Interest Rates? Evidence from the Four Major Euro Area Economies,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(7), pages 1375-1414, October.
- Anindya Banerjee & Victor Bystrov & Paul Mizen, 2013. "How Do Anticipated Changes to Short-Term Market Rates Influence Banks' Retail Interest Rates? Evidence from the Four Major Euro Area Economies," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(7), pages 1375-1414, October.
- Banerjee, A. & Bystrov, V. & Mizen, P., 2012. "How do anticipated changes to short-term market rates influence banks' retail interest rates? Evidence from the four major euro area economies," Working papers 361, Banque de France.
- Avouyi-Dovi, S. & Horny, G. & Sevestre, P., 2017.
"The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crises,"
Journal of Banking & Finance, Elsevier, vol. 79(C), pages 74-94.
- S. Avouyi-Dovi & G. Horny & P. Sevestre, 2015. "The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crises," Working papers 547, Banque de France.
- S. Avouyi-Dovi & G. Horny & Patrick Sevestre, 2017. "The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crises," Post-Print hal-01657075, HAL.
- Sanvi Avouyi-Dovi & Guillaume Horny & Patrick Sevestre, 2017. "The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crises," Working Papers hal-01511667, HAL.
- Kenneth J. Kopecky & David D. Van Hoose, 2012.
"Imperfect Competition in Bank Retail Markets, Deposit and Loan Rate Dynamics, and Incomplete Pass Through,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(6), pages 1185-1205, September.
- Kenneth J. Kopecky & David D. Van Hoose, 2012. "Imperfect Competition in Bank Retail Markets, Deposit and Loan Rate Dynamics, and Incomplete Pass Through," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(6), pages 1185-1205, September.
- Vajanne, Laura, 2009. "Inferring market power from retail deposit interest rates in the euro area," Research Discussion Papers 27/2009, Bank of Finland.
- Putkuri, Hanna, 2010. "Housing loan rate margins in Finland," Bank of Finland Research Discussion Papers 10/2010, Bank of Finland.
- repec:dau:papers:123456789/15030 is not listed on IDEAS
- Abbas Valadkhani & Sajid Anwar, 2012. "Interest Rate Pass-Through and the Asymmetric Relationship between the Cash Rate and the Mortgage Rate," The Economic Record, The Economic Society of Australia, vol. 88(282), pages 341-350, September.
- Burgstaller, Johann & Scharler, Johann, 2010.
"How do bank lending rates and the supply of loans react to shifts in loan demand in the U.K.?,"
Journal of Policy Modeling, Elsevier, vol. 32(6), pages 778-791, November.
- Johann Burgstaller & Johann Scharler, 2009. "How Do Bank Lending Rates and the Supply of Loans React to Shifts in Loan Demand in the U.K.?," Economics working papers 2009-02, Department of Economics, Johannes Kepler University Linz, Austria.
- Kuan-Min Wang, 2010. "Expected and Unexpected Impulses of Monetary Policy on the Interest Pass-Through Mechanism in Asian Countries," Annals of Economics and Finance, Society for AEF, vol. 11(1), pages 95-137, May.
- repec:zbw:bofrdp:2010_010 is not listed on IDEAS
- Vajanne, Laura, 2009. "Inferring market power from retail deposit interest rates in the euro area," Bank of Finland Research Discussion Papers 27/2009, Bank of Finland.
- Leontieva, E.A. & Perevyshin, Y.N., 2015. "Credit Channel of Monetary Policy Transmission in Russia," Published Papers 431505, Russian Presidential Academy of National Economy and Public Administration.
- Bennouna, Hicham, 2019. "Interest rate pass-through in Morocco: Evidence from bank-level survey data," Economic Modelling, Elsevier, vol. 80(C), pages 142-157.
- Aurélien Leroy & Yannick Lucotte, 2016.
"Structural and Cyclical Determinants of Bank Interest-Rate Pass-Through in the Eurozone,"
Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 58(2), pages 196-225, June.
- Aurélien Leroy & Yannick Lucotte, 2015. "Structural and cyclical determinants of bank interest rate pass-through in Eurozone," NBP Working Papers 198, Narodowy Bank Polski.
More about this item
Keywords
Interest Rate Transmission; Lending Rates; Threshold Cointegration;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ARA-2012-11-17 (MENA - Middle East and North Africa)
- NEP-MON-2012-11-17 (Monetary Economics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:met:wpaper:1207. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Erol Taymaz (email available below). General contact details of provider: https://edirc.repec.org/data/ermettr.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.