Effectiveness of monetary policy: evidence from Turkey

Name: Effectiveness of monetary policy: evidence from Turkey
Author: Avci, S. B., Yücel, Mustafa Eray

İsim	Effectiveness of monetary policy: evidence from Turkey
Yazar	Avci, S. B., Yücel, Mustafa Eray
Basım Tarihi:	2017-08
Basım Yeri	- Springer International Publishing
Konu	Interest rate pass-through, Deposit and credit channels, Policy and market rates, Banking sector, Interacted vector autoregressive methodology
Tür	Süreli Yayın
Dil	İngilizce
Dijital	Evet
Yazma	Hayır
Kütüphane:	Özyeğin Üniversitesi
Demirbaş Numarası	1309-422X
Kayıt Numarası	d16f8254-4d48-4c6e-9048-fc692db99ecb
Lokasyon	Economics
Tarih	2017-08
Notlar	Due to copyright restrictions, the access to the full text of this article is only available via subscription.
Örnek Metin	An effective monetary policy framework is often viewed as a pre-condition for well-functioning financial markets. Yet measuring monetary policy effectiveness is not straightforward; it requires empirical work to understand the impact of financial infrastructure, competitiveness of financial markets, and current economic conditions. In particular, monetary policy effectiveness depends on the extent to which the chosen interest rate affects all other financial prices—including the entire term structure of interest rates, credit rates, exchange rates, and asset prices. This paper examines the effectiveness of monetary policy in Turkey by focusing on interest rate pass-through outcomes by way of an interacted vector autoregressive (IVAR) approach. The results suggest that policy-led rate changes are fully transmitted to deposit and credit rates within eight months. Competition in the banking sector (as well as that sector’s liquidity and profitability), dollarization, exchange rate flexibility, inflation, and term structure all have a positive effect on interest rate pass-through; whereas regulatory quality, GDP growth, monetary growth, industrial growth, and capital inflows have a negative effect. Using various tests, we find that the effect of financial development and macroeconomic variables on interest rate pass-through is neither robust nor time-invariant.
DOI	10.1007/s40822-017-0068-y
Cilt	7

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Effectiveness of monetary policy: evidence from Turkey

Yazar Avci, S. B., Yücel, Mustafa Eray

Basım Tarihi 2017-08

Basım Yeri - Springer International Publishing

Konu Interest rate pass-through, Deposit and credit channels, Policy and market rates, Banking sector, Interacted vector autoregressive methodology

Tür Süreli Yayın

Dil İngilizce

Dijital Evet

Yazma Hayır

Kütüphane Özyeğin Üniversitesi

Demirbaş Numarası 1309-422X

Kayıt Numarası d16f8254-4d48-4c6e-9048-fc692db99ecb

Lokasyon Economics

Tarih 2017-08

Notlar Due to copyright restrictions, the access to the full text of this article is only available via subscription.

Örnek Metin An effective monetary policy framework is often viewed as a pre-condition for well-functioning financial markets. Yet measuring monetary policy effectiveness is not straightforward; it requires empirical work to understand the impact of financial infrastructure, competitiveness of financial markets, and current economic conditions. In particular, monetary policy effectiveness depends on the extent to which the chosen interest rate affects all other financial prices—including the entire term structure of interest rates, credit rates, exchange rates, and asset prices. This paper examines the effectiveness of monetary policy in Turkey by focusing on interest rate pass-through outcomes by way of an interacted vector autoregressive (IVAR) approach. The results suggest that policy-led rate changes are fully transmitted to deposit and credit rates within eight months. Competition in the banking sector (as well as that sector’s liquidity and profitability), dollarization, exchange rate flexibility, inflation, and term structure all have a positive effect on interest rate pass-through; whereas regulatory quality, GDP growth, monetary growth, industrial growth, and capital inflows have a negative effect. Using various tests, we find that the effect of financial development and macroeconomic variables on interest rate pass-through is neither robust nor time-invariant.

DOI 10.1007/s40822-017-0068-y

Cilt 7