Can Central Banks Lead Market Interest Rates? Evidence from Turkey

Abstract

This study examines the validity of pass-through effect of interest rate and efficiency of monetary policy in Turkey by using monthly data belonging 01:2002 - 08:2015 period. The study benefits from the recent advance in the time and frequency domain causality tests and employs both conventional and bootstrap process based Toda Yamamoto, frequency domain and rolling windows causality methods. The econometric investigation provides strong evidence of long-run interest rate pass-through in Turkey.