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FAİZ ORANI, GETİRİ FARKI VE EKONOMİK BÜYÜME: TÜRKİYE ÖRNEĞİ (1990-2006)

Year 2009, Volume: 24 Issue: 1 - Volume: 24 Issue: 1, 43 - 58, 25.07.2016

Abstract

Uzun ve kısa vadeli faiz oranları arasındaki fark literatürde getiri farkı veya getiri eğrisinin eğimi olarak tanımlanmaktadır. Bu çalışmada amaç, getiri farkının ekonomik büyüme oranlarını etkileyip etkilemediğini, etkilemişse ne yönde etkilediğini Türkiye örneği için test etmektir. Bu amaçla çalışmanın ampirik kısmında, 1990–2006 dönemine ait üçer aylık reel Gayri Safi Yurtiçi Hasıla (GSYH) ile 3 aylık ve 12 aylık vadeli mevduat faiz oranları kullanılmıştır. Oluşturulan regresyon denklemlerine, elde edilen sonuçları kuvvetlendirmesi amacıyla kontrol değişkeni olarak enflasyon oranı da dahil edilmiştir. Bunun yanı sıra çalışmada, reel GSYH büyüme oranlarındaki değişmeler sadece getiri farkı ile değil kısa ve uzun vadeli faiz oranı olarak tanımlanan 3 aylık ve 12 aylık faiz oranlarının her biri ile de açıklanmaya çalışılmıştır. Buradaki nihai amaç, gelecek dönem büyüme oranlarındaki değişimleri tahmin etmede, getiri farkının mı yoksa faiz oranlarının mı öncü olduğunu tespit etmektir. Yapılan analiz sonucunda, Türkiye’de gelecek dönem büyüme oranlarını hem getiri farkı hem de faiz oranları etkilediği yönünde bulgular elde edilmiştir.

References

  • Bernanke, B.S., (1990), “On the Predictive Power of Interest Rates and Interest Rate Spreads”, Federal Reserve Bank of Boston New England Economic Review, 51-68.
  • Cozier, B. ve G.Tkacz, , (1994), “The Term Structure and Real Activity”. Working Paper 94-103, Bank of Canada.
  • Dotsey, M., (1998), “The Predictive Content of the Interest Rate Term Spread for Future Economic Growth”, Federal Reserve Bank of Richmond Economic Quarterly, 84(3), 31-51.
  • Dueker, M.J., (1997), “Strengthening the Case for he Yield Curve as Predictor of U.S. Rrecessions”, Federal Reserve Bank St. Louis Review, 79, 41-51.
  • Estrella, A., ve G.A.Hardouvelis, (1991), “The Term Structure as a Predictor of Real Economic Activity”, Journal of Finance, 46, 555–576.
  • Estrella, A., ve F.S.Mishkin, (1996), “The Yield Curve as a Predictor of US Recessions”, Federal Reserve Bank of New York, Current Issues in Economic and Finance, 2(7).
  • Estrella, A., ve F.S.Mishkin, (1997), “The Predictive Power of the Term Structure of Interest Rates in Europe and the United States: Implications for the European Central Bank”, European Economic Review, 41, 1375–1401.
  • Estrella, A., ve F.S.Mishkin, (1998), “Predicting U.S. Recessions: Financial Variables as Leading Indicators”, Review of Economic and Statistics, 80(1), 45-61.
  • Hamilton, J.D, ve D.H.Kim, (2002), “A Re-Examination of the Predictability of Economic Activity Using the Yield Spread”, Journal of Money, Credit, and Banking, 34(2).
  • Harvey, C.R., (1988), “The Real Term Structure and Consumption Growth”, Journal of Financial Economics, 22, 305-333.
  • Hu, Z., (1993), “The Yield Curve and Real Activity”, IMF Staff Paper, 40, 781-806, December.
  • Kozicki, S., (1997), “Predicting Real Growth and Inflation with the Yield Spread”, Federal Reserve Bank of Kansas City Economic Review, 82, 39–57.
  • McMillan, D., (2002), “Interest Rate Spread and Real Activity: Evidence for UK”, Applied Economics Letters, 9, 191-194.
  • Moneta, F., (2003), “Does the Yield Spread Predict Recessions in the Euro Area?”, Europan Central Bank Working Paper Series, 294.
  • Paya, I., ve K.Matthews, (2004), “Term the Spread and Real Economic Activity in Korea: Was the Crisis Predictable?”, Applied Economics Letters, 11, 797-801.
  • Plosser, C.I. ve K. G.Rouwenhorst, (1994), “International Term Structures and Real Economic Activity”, Journal of Monetary Economics, 33, 133–55.
  • Smets, F., ve K.Tsatsaronis, (1997), “Why Does the Yield Curve Predict Economic Activity? Dissecting the evidence for Germany and the United States”, BIS Working Paper, 49.

INTEREST RATE, YIELD SPREAD AND ECONOMIC GROWTH: THE CASE OF TURKEY (1990-2006)

Year 2009, Volume: 24 Issue: 1 - Volume: 24 Issue: 1, 43 - 58, 25.07.2016

Abstract

In the literature, the difference between short-term interest rate and long-term interest rate is defined as yield spread or as the slope of the yield curve. The purpose of this study is to test whether yield spread affects the future economic growth for Turkey. For this purpose, in the empircal section of the study, quarterly real gross domestic product and the 3-month and 12-month interest rates are included into the analysis. Inflation rate as the control variable is included into the regressions to increase the validity of the findings. In addition, changes in the GDP are tried to be explained not only by yield spread but also by the level of the interest rates. The main purpose of this inclusion is to determine whether yield spread or interest rate level is effective in forecasting the changes of growth rates. Acording to the findings of the study, in Turkey both yield spread and interest rates affect the future economic growth .

References

  • Bernanke, B.S., (1990), “On the Predictive Power of Interest Rates and Interest Rate Spreads”, Federal Reserve Bank of Boston New England Economic Review, 51-68.
  • Cozier, B. ve G.Tkacz, , (1994), “The Term Structure and Real Activity”. Working Paper 94-103, Bank of Canada.
  • Dotsey, M., (1998), “The Predictive Content of the Interest Rate Term Spread for Future Economic Growth”, Federal Reserve Bank of Richmond Economic Quarterly, 84(3), 31-51.
  • Dueker, M.J., (1997), “Strengthening the Case for he Yield Curve as Predictor of U.S. Rrecessions”, Federal Reserve Bank St. Louis Review, 79, 41-51.
  • Estrella, A., ve G.A.Hardouvelis, (1991), “The Term Structure as a Predictor of Real Economic Activity”, Journal of Finance, 46, 555–576.
  • Estrella, A., ve F.S.Mishkin, (1996), “The Yield Curve as a Predictor of US Recessions”, Federal Reserve Bank of New York, Current Issues in Economic and Finance, 2(7).
  • Estrella, A., ve F.S.Mishkin, (1997), “The Predictive Power of the Term Structure of Interest Rates in Europe and the United States: Implications for the European Central Bank”, European Economic Review, 41, 1375–1401.
  • Estrella, A., ve F.S.Mishkin, (1998), “Predicting U.S. Recessions: Financial Variables as Leading Indicators”, Review of Economic and Statistics, 80(1), 45-61.
  • Hamilton, J.D, ve D.H.Kim, (2002), “A Re-Examination of the Predictability of Economic Activity Using the Yield Spread”, Journal of Money, Credit, and Banking, 34(2).
  • Harvey, C.R., (1988), “The Real Term Structure and Consumption Growth”, Journal of Financial Economics, 22, 305-333.
  • Hu, Z., (1993), “The Yield Curve and Real Activity”, IMF Staff Paper, 40, 781-806, December.
  • Kozicki, S., (1997), “Predicting Real Growth and Inflation with the Yield Spread”, Federal Reserve Bank of Kansas City Economic Review, 82, 39–57.
  • McMillan, D., (2002), “Interest Rate Spread and Real Activity: Evidence for UK”, Applied Economics Letters, 9, 191-194.
  • Moneta, F., (2003), “Does the Yield Spread Predict Recessions in the Euro Area?”, Europan Central Bank Working Paper Series, 294.
  • Paya, I., ve K.Matthews, (2004), “Term the Spread and Real Economic Activity in Korea: Was the Crisis Predictable?”, Applied Economics Letters, 11, 797-801.
  • Plosser, C.I. ve K. G.Rouwenhorst, (1994), “International Term Structures and Real Economic Activity”, Journal of Monetary Economics, 33, 133–55.
  • Smets, F., ve K.Tsatsaronis, (1997), “Why Does the Yield Curve Predict Economic Activity? Dissecting the evidence for Germany and the United States”, BIS Working Paper, 49.
There are 17 citations in total.

Details

Other ID JA38EB64PD
Journal Section Articles
Authors

RAHMİ Yamak This is me

BANU Tanrıöver This is me

Publication Date July 25, 2016
Published in Issue Year 2009 Volume: 24 Issue: 1 - Volume: 24 Issue: 1

Cite

APA Yamak, R., & Tanrıöver, B. (2016). FAİZ ORANI, GETİRİ FARKI VE EKONOMİK BÜYÜME: TÜRKİYE ÖRNEĞİ (1990-2006). Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi, 24(1), 43-58.
AMA Yamak R, Tanrıöver B. FAİZ ORANI, GETİRİ FARKI VE EKONOMİK BÜYÜME: TÜRKİYE ÖRNEĞİ (1990-2006). Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi. July 2016;24(1):43-58.
Chicago Yamak, RAHMİ, and BANU Tanrıöver. “FAİZ ORANI, GETİRİ FARKI VE EKONOMİK BÜYÜME: TÜRKİYE ÖRNEĞİ (1990-2006)”. Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi 24, no. 1 (July 2016): 43-58.
EndNote Yamak R, Tanrıöver B (July 1, 2016) FAİZ ORANI, GETİRİ FARKI VE EKONOMİK BÜYÜME: TÜRKİYE ÖRNEĞİ (1990-2006). Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi 24 1 43–58.
IEEE R. Yamak and B. Tanrıöver, “FAİZ ORANI, GETİRİ FARKI VE EKONOMİK BÜYÜME: TÜRKİYE ÖRNEĞİ (1990-2006)”, Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi, vol. 24, no. 1, pp. 43–58, 2016.
ISNAD Yamak, RAHMİ - Tanrıöver, BANU. “FAİZ ORANI, GETİRİ FARKI VE EKONOMİK BÜYÜME: TÜRKİYE ÖRNEĞİ (1990-2006)”. Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi 24/1 (July 2016), 43-58.
JAMA Yamak R, Tanrıöver B. FAİZ ORANI, GETİRİ FARKI VE EKONOMİK BÜYÜME: TÜRKİYE ÖRNEĞİ (1990-2006). Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi. 2016;24:43–58.
MLA Yamak, RAHMİ and BANU Tanrıöver. “FAİZ ORANI, GETİRİ FARKI VE EKONOMİK BÜYÜME: TÜRKİYE ÖRNEĞİ (1990-2006)”. Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi, vol. 24, no. 1, 2016, pp. 43-58.
Vancouver Yamak R, Tanrıöver B. FAİZ ORANI, GETİRİ FARKI VE EKONOMİK BÜYÜME: TÜRKİYE ÖRNEĞİ (1990-2006). Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi. 2016;24(1):43-58.