Interest Rate Pass-Through to Turkish Lending Rates: A Threshold Cointegration Analysis

摘要: This paper aims to investigate the actual nature of interest rate pass-through Turkish cash, automobile, housing and corporate loan rates. Focusing on possibility nonlinearity in adjustment lending rates due financial market conditions monetary policies, we adopt threshold autoregressive (TAR) momentum (MTAR) models Enders Siklos (2001). Empirical results suggest substantial asymmetries (nonlinearities) all More specifically, banks adjust their faster response increases negative discrepancies from long-run equilibrium arising an increase money rate, while they act slowly following decreases. Furthermore, degree reluctance follow decreases appears vary across rates, suggesting existence sectoral heterogeneities besides asymmetries.