TY  - JOUR
T1  - THE CASUAL RELATIONSHIP BETWEEN INFLATION UNCERTAINTY AND INTEREST RATE IN TURKEY: ROLLING WINDOW CAUSALITY TEST
TT  - TÜRKİYE’DE ENFLASYON BELİRSİZLİĞİ İLE FAİZ ORANI ARASINDAKİ NEDENSELLİK İLIŞKİSİ: KAYAN PENCERE NEDENSELLİK TESTİ
AU  - Tüzün, Osman
AU  - Ceylan, Fatih
AU  - Ekinci, Ramazan
AU  - Erem Ceylan, İşıl
PY  - 2018
DA  - December
DO  - 10.30798/makuiibf.420613
JF  - Journal of Mehmet Akif Ersoy University Economics and Administrative Sciences Faculty
JO  - MAKU IIBFD
PB  - Burdur Mehmet Akif Ersoy University
WT  - DergiPark
SN  - 2149-1658
SP  - 977
EP  - 990
VL  - 5
IS  - 3
LA  - en
AB  - The aim of this study is to analyse the impact ofinflation uncertainty on the volatility of benchmark interest rate which is themarket indicator. In this context, the interest rate of two-year governmentbonds, which shows general interest rate in the economy and which occurs as aresult of the preferences of decision-making units in the money market isconsidered as a basic variable. Inflation uncertainty is derived from ConsumerPrice Index (CPI) depending on Friedman’s Approach and is used as anexplanatory variable. Because the use of benchmark interest rate includes theknowledge regarding the behaviour of the market decision-making units toinflation and inflation uncertainty, the results obtained are of greatimportance with regards to the policy proposals. In this study, the effect of inflation uncertainty onthe volatility of benchmark interest rate is examined by the volatility andstructural break models for the period of 2005:M4-2016:M11. The findings of thestudy have shown that there is a causal relationship from inflation uncertaintyto interest rates between 2005:4 and 2006:5. Additionally, a causal relationfrom interest rates to inflation uncertainty is observed in the periods of2013:3 and 2015:12-2016:9.
KW  - Inflation Uncertainty
KW  - Interest Rate
KW  - Rolling Window Causality Test
N2  - Bu çalışmanın amacı enflasyonbelirsizliğinin piyasa faiz oranı (benchmark) üzerindeki etkisini analizetmektir. Bu çerçevede ekonomide genel faiz düzeyini gösteren ve para piyasasındakarar birimlerinin tercihleri sonucunda oluşan iki yıllık devlet tahvilininfaiz oranı temel değişken olarak alınmıştır. Enflasyon belirsizliği TüketiciFiyat Endeksi’nden (TÜFE) Friedman’ın yaklaşımına dayalı olarak GARCH yöntemikullanılarak koşullu varyanstan türetilmiş ve açıklayıcı değişken olarakkullanılmıştır. Piyasa faiz oranının kullanılması, enflasyon ve enflasyonbelirsizliğine karşı piyasa karar birimlerinin davranışına ait bilgiyi içerdiğinden,elde edilen bulgular politika önerisi açısından önem kazanmaktadır. Bu çalışmada 2000M05-2016M11 dönemine ait veri seti kullanılarakenflasyon belirsizliğinin piyasa faiz oranı üzerindeki etkisi Hill (2007)’ningeliştirdiği kayan pencere nedensellik yaklaşımına dayalı olarak incelenmiştir. Çalışmanın bulgularına göre 2005M04 ve 2006M05dönemleri arasında enflasyon belirsizliğinden faiz oranlarına doğru nedensellikilişkisi söz konusudur. Diğer yandan, 2013M03 ve 2015M12-2016M09 dönemlerinde faiz oranlarındanenflasyon belirsizliğine doğru nedensellik ilişkisi gözlemlenmiştir.
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UR  - https://doi.org/10.30798/makuiibf.420613
L1  - https://dergipark.org.tr/en/download/article-file/607835
ER  -