Investigation of Interest Rates Applied by Banks in Türkiye to Deposits in Various Maturities by the GSADF Test

Sibel Kuzgun Akın; Erkan Işığıçok

Article Details

Investigation of Interest Rates Applied by Banks in Türkiye to Deposits in Various Maturities by the GSADF Test

Authors:

Sibel Kuzgun Akın | Erkan Işığıçok

Publisher:

Bursa Uludağ University

Main Topics:

Zaman Serileri Analizi

Journal:

International Journal of Social Inquiry Vol.18 Issue 1, pp.33-50

Document Type:

Article

Publication Date:

4/2025

Document Language:

English

Document ID (Org No.):

2001339752

pISSN:

1307-8364

Keywords:

Abstract:

 The decisions taken by banks regarding interest rates have an impact on all actors in the economy, including borrowers, depositors, savings, and consumption expenditures. In this study, we examined asset bubbles in the weighted average interest rates applied by banks in Türkiye for deposits according to various maturities with the Generalized Supremum Augmented Dickey-Fuller GSADF unit root test. Considering the weekly deposit interest rates for the last 10 years 2014-2024; statistically significant bubbles were found in all 1-month, 3-month, 6-month, and 12-month interest rates at the 0.01 significance level. The background of the relationship between the type of asset and the economic crisis following the bursting of a bubble is relevant to the financing of that asset. We expect that this study will guide banks in updating their reserve amounts by taking into account extraordinary situations in order to avoid liquidity shortages. After investigating the bubble occurrence, we have looked for the important events in Türkiye that coincide with the bubble dates. We have observed bubbles in 1-month, 3-month- 6-month maturities at the same time with the plebiscite in 2017, the presidential and parliamentary elections in 2018 and 2023.

 The decisions taken by banks regarding interest rates have an impact on all actors in the economy, including borrowers, depositors, savings, and consumption expenditures. In this study, we examined asset bubbles in the weighted average interest rates applied by banks in Türkiye for deposits according to various maturities with the Generalized Supremum Augmented Dickey-Fuller GSADF unit root test. Considering the weekly deposit interest rates for the last 10 years 2014-2024; statistically significant bubbles were found in all 1-month, 3-month, 6-month, and 12-month interest rates at the 0.01 significance level. The background of the relationship between the type of asset and the economic crisis following the bursting of a bubble is relevant to the financing of that asset. We expect that this study will guide banks in updating their reserve amounts by taking into account extraordinary situations in order to avoid liquidity shortages. After investigating the bubble occurrence, we have looked for the important events in Türkiye that coincide with the bubble dates. We have observed bubbles in 1-month, 3-month- 6-month maturities at the same time with the plebiscite in 2017, the presidential and parliamentary elections in 2018 and 2023.

 The decisions taken by banks regarding interest rates have an impact on all actors in the economy, including borrowers, depositors, savings, and consumption expenditures. In this study, we examined asset bubbles in the weighted average interest rates applied by banks in Türkiye for deposits according to various maturities with the Generalized Supremum Augmented Dickey-Fuller GSADF unit root test. Considering the weekly deposit interest rates for the last 10 years 2014-2024; statistically significant bubbles were found in all 1-month, 3-month, 6-month, and 12-month interest rates at the 0.01 significance level. The background of the relationship between the type of asset and the economic crisis following the bursting of a bubble is relevant to the financing of that asset. We expect that this study will guide banks in updating their reserve amounts by taking into account extraordinary situations in order to avoid liquidity shortages. After investigating the bubble occurrence, we have looked for the important events in Türkiye that coincide with the bubble dates. We have observed bubbles in 1-month, 3-month- 6-month maturities at the same time with the plebiscite in 2017, the presidential and parliamentary elections in 2018 and 2023.

 Bankaların faiz oranlarına ilişkin aldığı kararların; kredi borçluları, mevduat sahipleri, tasarruf ve tüketim harcamalarını kapsayacak şekilde ekonomideki tüm aktörlere etkisi bulunmaktadır. Bu çalışmada, Türkiyede bankaların mevduatlar için çeşitli vadelere göre uyguladıkları ağırlıklı ortalama faiz oranlarındaki balon varlıkları Genelleştirilmiş Supremum Augmented Dickey Fuller GSADF birim kök testi ile incelenmiştir. Son 10 yıllık 2014-2024 dönemdeki haftalık mevduat faiz oranları dikkate alınarak; 1 aylık, 3 aylık, 6 aylık ve 12 aylık vadeli faizlerin hepsinde 0.01 anlamlılık düzeyinde istatistiksel olarak anlamlı balonlar bulunmuştur. Bir balonun patlamasını izleyen ekonomik krizin varlık türüyle ilişkisinin arka planında balonun finansmanıyla ilgisi bulunmaktadır. Bu çalışmanın, bankaların likidite sıkışıklığı yaşamamaları açısından olağandışı durumları göz önünde bulundurarak rezerv miktarlarını güncellemelerine yol gösterici olması beklenmektedir. Balon oluşumu araştırıldıktan sonra, balon tarihleriyle eşzamanlı olarak Türkiyede gerçekleşen önemli olaylara bakılmıştır. 2017 yılındaki halk oylaması ile 2018 ve 2023te gerçekleşen cumhurbaşkanlığı seçimi ve genel seçimlerle aynı dönemlerde 1, 3 ve 6 ay vadeli mevduat faizlerinde balon varlıkları gözlenmiştir.

Article Details

Investigation of Interest Rates Applied by Banks in Türkiye to Deposits in Various Maturities by the GSADF Test

Authors:

Sibel Kuzgun Akın | Erkan Işığıçok

Publisher:

Bursa Uludağ University

Main Topics:

Zaman Serileri Analizi

Journal:

International Journal of Social Inquiry Vol.18 Issue 1, pp.33-50

Document Type:

Article

Publication Date:

4/2025

Document Language:

English

Document ID (Org No.):

2001339752

pISSN:

1307-8364

GSADF Test

Deposit Interest Rate

Maturity

Bubble Assets

Dates of the BubblesGSADF Testi

Mevduat Faiz Oranları

Vade

Balon Varlıkları

Balon Tarihleri

Issues

Article Details

Authors: Sibel Kuzgun Akın | Erkan Işığıçok

Publisher: Bursa Uludağ University

Main Topics: Zaman Serileri Analizi

Journal: International Journal of Social Inquiry Vol.18 Issue 1, pp.33-50

Document Type: Article

Publication Date: 4/2025

Document Language: English

Document ID (Org No.): 2001339752

pISSN: 1307-8364

Issues

Authors:

Sibel Kuzgun Akın | Erkan Işığıçok

Publisher:

Bursa Uludağ University

Main Topics:

Zaman Serileri Analizi

Journal:

International Journal of Social Inquiry Vol.18 Issue 1, pp.33-50

Document Type:

Article

Publication Date:

4/2025

Document Language:

English

Document ID (Org No.):

2001339752

pISSN:

1307-8364