The impact of interest rate corridor on monetary policy efficiency: VEC Granger causality evidence from the central bank of the Republic of Turkey
International Journal of Advanced and Applied Sciences, cilt.8, sa.9, ss.75-78, 2021 (ESCI, Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 8 Sayı: 9
- Basım Tarihi: 2021
- Doi Numarası: 10.21833/ijaas.2021.09.010
- Dergi Adı: International Journal of Advanced and Applied Sciences
- Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), Scopus, Directory of Open Access Journals
- Sayfa Sayıları: ss.75-78
- Anahtar Kelimeler: Granger causality, Interest rate corridor, Monetary policy, Turkey, VAR, Vector error correction
- Açık Arşiv Koleksiyonu: AVESİS Açık Erişim Koleksiyonu
- Ankara Hacı Bayram Veli Üniversitesi Adresli: Hayır
Özet
© 2021 The Authors.This paper aimed to analyze the impacts of interest rate corridor policy on monetary efficiency in Turkey, applying the Error Correction Model and VEC Granger causality. The data set consisted of 108 observations for each time series from May 2010 to December 2019. The Granger causality test results indicated a significant impact of the borrowing rate on the inflation rate. Response function revealed that a change in the borrowing interest rate affected the opposite way in the inflation rate with a 3-month lag. An increase in the lending rate caused an increase in the BIST 100 index value. It is concluded that the interest rate corridor implementation successfully increased the flexibility and effectiveness of the monetary policy in Turkey.