CREDIT AND EXCHANGE RATE CHANNELS OF MONETARY TRANSMISSION UNDER MULTIPLE POLICY REGIMES: EVIDENCE FROM TÜRKIYE, 2011-2025

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BEŞER M., Yurttaguler I. M., Kutlu Horvath S.

EKONOMI POLITIKA & FINANS ARASTIRMALARI DERGISI-JOURNAL OF RESEARCH IN ECONOMICS POLITICS & FINANCE, cilt.11, sa.2, ss.398-433, 2026 (ESCI)

Özet

This study investigates the credit and exchange rate channels of the monetary transmission mechanism in T & uuml;rkiye under different policy regimes using monthly data covering the period from January 2011 to December 2025. The analysis is conducted within a six-variable Vector Error Correction Model (VECM) framework, including the Central Bank of the Republic of T & uuml;rkiye's weighted average funding cost, bank credit, the nominal USD/TRY exchange rate, the real effective exchange rate, industrial production, and CPI inflation. Johansen and Gregory-Hansen cointegration tests, impulse response analysis, forecast error variance decomposition, Toda-Yamamoto causality tests, and structural break and regime-switching analyses are employed. The results show that monetary policy shocks generate a persistent decline in bank credit, confirming the robustness of the credit channel across alternative model specifications. In contrast, the direct effect of monetary policy on inflation appears more sensitive to model specification and sample period. Variance decomposition indicates that exchange rate variables explain a substantial share of inflation dynamics. Overall, the findings suggest that the credit and exchange rate channels remain key components of the monetary transmission mechanism in T & uuml;rkiye, with their effectiveness varying across different policy regimes.