Effectiveness of interest rate channel of monetary transmission mechanism in Turkey using a Threshold VAR Analysis

In this study, the effectiveness of monetary transmission mechanism interest rate channel in Turkey is comparatively analyzed by using linear and nonlinear models. For this purpose, in the study, the effectiveness of the interest rate channel is examined with two different models by using interest rate, durable consumer goods, fixed capital formations, inflation rate and output variables. For stationarity analysis of macroeconomic variables, ADF, PP and LM unit root tests with two structural break were used. According to the findings, the interest rates are not stationary, while other variables are stationary with breaks. In this context, linear VAR impulse response functions and threshold VAR impulse response functions were examined comparatively and the results were found to be different from each other. In the analysis, 2006: 03-2019: 06 period for the interest rate channel in Turkey has found evidence of partial activity. In addition, the price puzzle finding, known as an increase in inflation, was achieved innovations against the contractionary monetary policy. In addition, the increase in inflation resulting from the contractionary monetary policy, known as the price puzzle in the literature, is found.