In this study, we model the monthly time series of the Central Bank of the Republic of Turkey’s Weighted Average Funding Cost (Interest Rate) for the period between 2011:01-2020:12. In this framework, we establish and compare the linear and the nonlinear based various autoregressive (integrated) moving average models in two separate groups and investigate the most suitable model for the series. After all, we reveal that the relevant interest rate series can be modelled best with the LNV-ARMA(2,1) model for the related period. The first novelty of this study is that we model the relevant interest rate itself instead of investigating the relationship of this interest rate with the other macroeconomic variables. The second novelty of this study is that we circumvent the unit root problem and establish a more explanatory time series model by applying the LNV methodology.