KIRILGAN BEŞLİ ÜLKELERİ İÇİN REEL FAİZ PARİTESİ GEÇERLİ MİDİR? EŞİK DEĞERLİ EŞBÜTÜNLEŞME TESTİ

Abstract

Bu çalışma, 2006:05–2021:08 dönemine ait aylık verilerle, “Kırılgan Beşli” ülkeleri (Türkiye, Brezilya, Endonezya, Güney Afrika ve Hindistan) için reel faiz oranı paritesi hipotezinin geçerliliğini araştırmaktadır. Küreselleşme süreci, sermaye hareketliliğini ve finansal entegrasyonu artırmıştır. Bu bağlamda, reel faiz paritesinin test edilmesi, politika yapıcılar için önemli bir gösterge olmuştur. Çalışmada, Li ve Lee (2010) tarafından geliştirilen eşik değerli ADL eşbütünleşme testi kullanılarak doğrusal olmayan dinamikler dikkate alınmıştır. Elde edilen bulgular, Brezilya ve Türkiye’de reel faiz paritesinin geçerli olmadığını; Endonezya, Güney Afrika ve Hindistan’da ise hipotezin doğrulandığını ortaya koymaktadır. Sonuçlar, finansal entegrasyon düzeyi, enflasyon oynaklığı ve politika güvenilirliğinin reel faiz oranı paritesinin geçerliliğinde belirleyici olduğunu göstermektedir. Türkiye ve Brezilya’da hipotezin reddedilmesi, yüksek risk primleri ve öngörülemez para politikalarıyla ilişkilendirilirken; diğer üç ülkede daha istikrarlı makroekonomik yapıların etkili olduğu görülmektedir. Çalışma, bu farklılıkların politika önerilerinde tek tip yaklaşım yerine ülke bazlı stratejilerin gerekliliğini vurgulamaktadır.

Keywords

• Reel Faiz Paritesi
• Kırılgan Beşli
• Doğrusal Olmayan Modeller
• Eşik Değerli Eş bütünleşme Testi

IS REAL INTEREST RATE PARITY VALID FOR FRAGILE FIVE COUNTRIES? A THRESHOLD COINTEGRATION TEST

Abstract

This study investigates the validity of the Real Interest Rate Parity hypothesis for the “Fragile Five” economies—Turkey, Brazil, Indonesia, South Africa, and India—using monthly data from 2006:05 to 2021:08. The globalization process has increased capital mobility and financial integration. In this context, testing real interest rate parity has become an important indicator for policy-makers. Employing the threshold cointegration test of Li and Lee (2010), the analysis accounts for nonlinear adjustments and regime shifts often neglected in linear models. The results demonstrate that real interest rate parity does not hold for Brazil and Turkey, whereas it is valid for Indonesia, South Africa, and India. This divergence highlights the role of macro-financial stability, inflation dynamics, and policy credibility in determining the long-run parity of real interest rates. In Turkey and Brazil, the rejection of real interest rate parity is linked to high inflation volatility, unpredictable policy actions, and vulnerability to capital flow shocks. Conversely, the evidence of real interest rate parity in the other three countries suggests a more consistent alignment between interest rates, inflation, and exchange rate dynamics. The findings imply that a uniform policy approach towards emerging markets may overlook critical country-specific risks. Instead, differentiated strategies tailored to national vulnerabilities provide a more effective framework for sustaining financial stability and integration.

Keywords

• Real interest rate parity
• Fragile Five
• Nonlinear models
• Threshold cointegration test

References

1. Aizenman, J., Binici, M. Ve Hutchison, M. (2016). The transmission of Federal Reserve tapering news to emerging financial markets. International Journal of Central Banking, 12(2), 317-356.
2. Bahmani-Oskooee, M., Chang, T., Yang, M.-H., ve Yang, H.-L. (2016). Revisiting real interest rate parity in BRICS countries using ADL test for threshold cointegration. Economic Analysis and Policy, 51, 86–89.
3. Baharumshah, A. Z., Liew, V. K. ve Haw, C. T. (2009). The real interest rate differential: international evidence based on non-linear unit root tests. Bulletin of Economic Research, 61(1), 83-94.
4. Baharumshah, A. Z., Liew, V. K. ve Mittelhammer, R. (2010). Non-linearities in real interest rate parity: evidence from OECD and asian developing economies. Global Economic Review, 39(4), 351-364.
5. Chinn, M. D. ve Frankel, J. A. (1995). Who drives real interest rates around the Pacific Rim: the USA or Japan? Journal of International Money and Finance, 14(6), 801–821.
6. Cumby, R. E. ve Mishkin, F. S. (1986). The international linkage of real interest rates: The European–US connection. Journal of International Money and Finance, 5(1), 5–23.
7. Dickey, D. A. ve Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366), 427–431.
8. Edison, H. J. ve Pauls, B. D. (1993). A re-assessment of the relationship between real exchange rates and real interest rates. Journal of Monetary Economics, 31(2), 165–187.

9. Eichengreen, B. ve Gupta, P. (2016). Managing sudden stops. Policy Research Working Paper Series 7639, The World Bank.
10. Ferreira, A. L. ve Ledesma, M. L. (2007). Does the real interest parity hold? Evidence from developed and emerging markets. Journal of International Money and Finance, 26, 364-382.
11. Granger, C. W. J. (1986). Developments in the study of cointegrated economic variables. Oxford Bulletin of Economics & Statistics, 48(3), 213-228.
12. Güriş, B. (2013). Türkiye’de Feldstein-Horioka hipotezinin geçerliliğinin sınanması. Trakya İktisadi ve İdari Bilimler Fakültesi e-dergi, 2(2), 47-55
13. Güriş, B. (2018). A new nonlinear unit root test with Fourier function. Communications in Statistics- Simulation and Computation, 48(10), 3056–3062.
14. Hasanov, M., Omay, T. ve Abioğlu, N. (2024). Re‑examining the real interest rate parity hypothesis under temporary gradual breaks and nonlinear convergence. Portuguese Economic Journal, 23, 355-382.
15. Holmes, M. J. (2002). Does long-run real interest parity hold among EU countries? Some new panel data evidence. The Quarterly Review of Economics and Finance, 42, 733-746.
16. Holmes, M. J. ve Maghrebi, N. A. (2004). Asian real interest rates, nonlinear dynamics, and international parity. International Review of Economics and Finance, 13, 387-405.
17. Kardaşlar, A. (2021). Reel faiz oranı paritesi teorisinin Türkiye için test edilmesi: Fourıer Birim Kök Testinden Bulgular. International Journal of Social Sciences & Humanities, 5(2), 204-215.
18. Li, J. ve Lee, J. (2010). ADL tests for threshold cointegration. Journal of Time Series Analysis, 31(4), 241–254.
19. Magonis, G. ve Tsopanakis, A. (2013). Real interest rate parity in OECD countries: new evidence from time series and panel cointegration techniques. Applied Economics Letters, 20(5), 476-479
20. Mishkin, F. S. (1984). Are real interest rates equal across countries? An empirical investigation of international parity conditions. Journal of Finance, 39(5), 1345–1357.
21. Özmen, E., & Yılmaz, K. (2017). Co-movement of exchange rates with interest rate differential, risk premium and FED policy in “fragile economies. Emerging Markets Review, 33, 173-188.
22. Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57(6), 1361–1401.
23. Xie, Z., Chen, W. ve Wu, C. (2023). Real interest rate parity in the Pacific Rim countries: new empirical evidence. Empirical Economics, 64, 1471–1515.
24. World Bank, World Development Indicators, 7/7/2025 tarihinde https://databank.worldbank.org/source/world-development-indicators# adresinden edinilmiştir.