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Bu çalışmada katılım bankaları tarafından katılım hesaplarına yapılan kar payı ödemeleri ile geleneksel bankalar tarafından mevduatlara uygulanan faiz oranları arasındaki ilişkininin analiz edilebilmesi amacıyla Vektör Otoregresyon (VAR) modeli kullanılmıştır. İlk olarak değişkenlerin durağanlığına bakılmış ve ardından değişkenler arasında bir eşbütünleşme ilişkisi olup olmadığının incelenmesi amacıyla Johansen Eşbütünleşme Testi yapılmıştır. Daha sonra faiz oranları ile kar payı oranları arasındaki nedensellik ilişkisini incelemek amacıyla Granger Nedensellik Testi ve değişkenlerde meydana gelen şokların, diğer değişkenlerde nasıl bir etki meydana getirdiğini inceleyebilmek amacıyla da Etki Tepki Analizi uygulanmıştır. Granger Nedensellik Testi ile faiz değişkeni kar payı değişkenin nedeni olarak görülmüş, Etki-tepki ve Varyans Ayrıştırması analizleri sonuçlarından da Granger nedensellik testi sonuçlarına paralel bir sonuç elde edilmiştir.
In this study, the VAR model was used to analyze the relationship between profit share payment payments made by participation banks to participation accounts and interest rates applied to deposits by conventional banks. First, the stability of the variables was analyzed, and then the Johansen Cointegration Test was performed to see if there was a cointegration relationship between the variables. Then, the Granger Causality Test was conducted to investigate the causality relationship between interest rates and profit share rate and Impulse Response Analysis and variance decomposition were applied in order to investigate what kind of effect the shocks in the variables have on the other variables. With Granger Causality Test, it was determined that the interest variable is the profit share variable and the results of the Impulse response and variance decomposition analyses are also in line with the results of the Granger causality test.
In this study, the VAR model was used to analyze the relationship between profit share payment payments made by participation banks to participation accounts and interest rates applied to deposits by conventional banks. First, the stability of the variables was analyzed, and then the Johansen Cointegration Test was performed to see if there was a cointegration relationship between the variables. Then, the Granger Causality Test was conducted to investigate the causality relationship between interest rates and profit share rate and Impulse Response Analysis and variance decomposition were applied in order to investigate what kind of effect the shocks in the variables have on the other variables. With Granger Causality Test, it was determined that the interest variable is the profit share variable and the results of the Impulse response and variance decomposition analyzes are also in line with the results of the Granger causality test.
Field : Sosyal, Beşeri ve İdari Bilimler
Journal Type : Uluslararası
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