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

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 ratesmore 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