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The Effects of Monetary Policy by Tcmb, Fed and Ecb on Banking Sector in Turkey: Markov Switching Approach (2002-2013)

Author

Listed:
  • Mustafa Çayır
  • Deniz Erer
  • Elif Erer
  • N. Oğuzhan Altay

    (Ege University)

Abstract

The aim of this study is to examine the effects of monetary policies of tcmb, fed and ecb on banking sector in turkey in 2002:q1-2013:q3 period. In this context, policy interest rate, return on assets and return on equity are analysed with markov switching model. The results show that an increase in policy interest rates of tcmb, fed and ecb has affected negatively banking sector profitability in contraction period. However, in expansion period fed monetary policy has had a positive impact on banking sector profitability, while tcmb monetary policy has been negative influence on it.

Suggested Citation

  • Mustafa Çayır & Deniz Erer & Elif Erer & N. Oğuzhan Altay, 2015. "The Effects of Monetary Policy by Tcmb, Fed and Ecb on Banking Sector in Turkey: Markov Switching Approach (2002-2013)," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 30(104), pages 9-24, October.
    • Handle: RePEc:acc:malfin:v:30:y:2015:i:104:p:9-24
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