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FED Faiz Oranları ve Türkiye Ekonomisi: Zamanla Değişen Nedensellik Analizi (1975-2024)

Year 2026, Volume: 11 Issue: 1 , 200 - 216 , 31.03.2026

Hakan Kum

https://doi.org/10.30784/epfad.1679503
https://izlik.org/JA45TT82KH

Abstract

Bu çalışma, 1975-2024 döneminde ABD Merkez Bankası’nın (FED) politika faizindeki değişimlerin Türkiye’de seçilmiş makroekonomik göstergelerle olan Granger nedenselliği (öngörü gücü) ilişkilerinin zaman içinde nasıl değiştiğini incelemektedir. Yıllık veriler kullanılarak FED faizi ile (i) USD/TRY kuru, (ii) TÜFE (log düzey), (iii) reel GSYİH büyümesi, (iv) kısa vadeli iç faiz oranı ve (v) net portföy akımları arasındaki ilişkiler her bir değişken için ayrı ikili VAR çerçevesinde değerlendirilmiştir. Zamanla değişen ilişkileri yakalamak üzere Yinelenen Genişleyen Pencere (REW) Wald testi uygulanmış ve kritik değerler bootstrap ile (B=1000) elde edilmiştir. Bulgular, FED şoklarının Türkiye’deki makro değişkenlerle olan öngörü ilişkisinin tüm örneklem boyunca sabit olmadığını; küresel finansal koşulların sıkılaştığı ve Türkiye’nin politika/kur rejimi açısından dönüşümler yaşadığı alt dönemlerde güçlenebildiğini göstermektedir. Ayrıca bulgular, politika aktarım kanallarının dönemsel olarak farklılaştığını da göstermektedir. Sonuçlar, dış finansman koşullarına duyarlı ekonomilerde zamanla değişen nedensellik yaklaşımının önemine işaret etmekte ve politika yapıcılar için dış şoklara karşı tampon mekanizmalarının güçlendirilmesine yönelik çıkarımlar sunmaktadır.

Keywords

Zamanla Değişen Nedensellik FED Para Politikası Gelişen Piyasa Ekonomileri Türkiye Ekonomisi

References

  • Akar, N.Ç. and Varlık, C. (2025). The role of capital flows in the ınternational transmission of US monetary policy: The case of Turkey. Ekonomi Politika ve Finans Araştırmaları Dergisi, 10(2), 502–528. https://doi.org/10.30784/epfad.1579707
  • Alesina, A. and Summers, L.H. (1993). Central bank independence and macroeconomic performance: some comparative evidence. Journal of Money, Credit and Banking, 25(2), 151-162. https://doi.org/10.2307/2077833
  • Andrews, D.W.K. (1993). Tests for parameter instability and structural change with unknown change point. Econometrica, 61(4), 821-856. https://doi.org/10.2307/2951764
  • Bai, J. (1997). Estimating multiple breaks one at a time. Econometric Theory, 13(3), 315-352. Retrieved from https://www.cambridge.org/
  • Blanchard, O. and Leigh, D. (2013). Growth forecast errors and fiscal multipliers. American Economic Review, 103(3), 117-120. https://doi.org/10.1257/aer.103.3.117
  • Bruno, V. and Shin, H.S. (2015). Capital flows and the risk-taking channel of monetary policy. Journal of Monetary Economics, 71, 119-132. https://doi.org/10.1016/j.jmoneco.2014.11.011
  • Calvo, G.A. and Reinhart, C.M. (2002). Fear of floating. Quarterly Journal of Economics, 117(2), 379-408. https://doi.org/10.1162/003355302753650274
  • Denaux, Z., Topcu, M. and Emirmahmutoglu, F. (2023). Revisiting the financial development and economic growth nexus: Evidence from South Korea. Economics Bulletin, 43(3), 1328-1337. Retrieved from http://www.accessecon.com/
  • Eichengreen, B. and Gupta, P. (2015). Tapering talk: The impact of expectations of reduced Federal Reserve security purchases on emerging markets. Emerging Markets Review, 25, 1-15. https://doi.org/10.1016/j.ememar.2015.07.002
  • Elliott, G., Rothenberg, T.J. and Stock, J.H. (1996). Efficient tests for an autoregressive unit root (NBER Working Paper No. 0130). Retrieved from https://www.nber.org/papers/t0130
  • Erer, D. (2023). Enflasyon ve enflasyon belirsizliği arasındaki zamanla değişen ilişkinin analizi: Türkiye örneği. Doğuş Üniversitesi Dergisi, 24(1), 255-272. https://doi.org/10.31671/doujournal.1179508
  • Forbes, K.J. and Warnock, F.E. (2012). Capital flow waves: Surges, stops, flight, and retrenchment. Journal of International Economics, 88(2), 235-251. https://doi.org/10.1016/j.jinteco.2012.03.006
  • Goldberg, P.K. and Knetter, M.M. (1997). Goods prices and exchange rates: What have we learned? (NBER Working Paper No. 5862). Retrieved from https://www.nber.org/papers/w5862
  • Granger, C.W.J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37(3), 424-438. https://doi.org/10.2307/1912791
  • Hansen, B.E. (1992). Tests for parameter instability in regressions with I(1) processes. Journal of Business & Economic Statistics, 10(3), 321-335. https://doi.org/10.1198/073500102753410381
  • Hou, Y., Li, W., Wu, D., Zang, Y. and Quach, L. (2025). The spillover effect of US monetary policy on the international financial market: Evidence from network analysis. Journal of Management Science and Engineering, 10(1), 111-125. https://doi.org/10.1016/j.jmse.2024.12.001
  • Kangal, M. (2021). FED'in para politikalarının gelişmekte olan ülkeler üzerindeki etkisi. Haliç Üniversitesi Sosyal Bilimler Dergisi, 4(2), 243-266. https://izlik.org/JA65LG44NK
  • Lastauskas, P. and Nguyen, A.D.M. (2023). Global impacts of US monetary policy uncertainty shocks. Journal of International Economics, 145, 103830. https://doi.org/10.1016/j.jinteco.2023.103830
  • Mishra, A.K., Ghate, K., Renganathan, J., Kennet, J.J. and Rajderkar, N.P. (2022). Rolling, recursive evolving and asymmetric causality between crude oil and gold prices: Evidence from an emerging market. Resources Policy, 75, 102474. https://doi.org/10.1016/j.resourpol.2021.102474
  • Münyas, T., Yıldırım, R.K. and Aydın, G.K. (2025). FED faiz kararlarının ülke risk primleri ve hisse senedi piyasası üzerindeki etkisi. TESAM Akademi Dergisi, 12(2), 847-874. https://doi.org/10.30626/tesamakademi.1510364
  • Obstfeld, M., Shambaugh, J.C. and Taylor, A.M. (2005). The trilemma in history: Tradeoffs among exchange rates, monetary policies, and capital mobility. Review of Economics and Statistics, 87(3), 423-438. https://doi.org/10.1162/0034653054638307
  • Perron, P. and Qu, Z. (2007). A simple modification to improve the finite sample properties of Ng and Perron’s unit root tests. Economics Letters, 94(1), 12-19. https://doi.org/10.1016/j.econlet.2006.06.009
  • Rey, H. (2015). Dilemma not trilemma: The global financial cycle and monetary policy independence (NBER Working Paper No. 21162). Retrieved from https://www.nber.org/system/files/working_papers/w21162/w21162.pdf
  • Sarsıcı, E. (2025). The inflation-interest rate relationship in the Turkish economy: Evidence of cointegration and Granger causality. Bucak İşletme Fakültesi Dergisi (Journal of Bucak Business Administration Faculty), 8(1), 27–39. https://doi.org/10.38057/bifd.1658630
  • Shi, S., Hurn, S. and Phillips, P.C.B. (2020). Causal change detection in possibly integrated systems: Revisiting the money–income relationship. Journal of Financial Econometrics, 18(1), 158–180. https://doi.org/10.1093/jjfinec/nbz004
  • Shi, S., Phillips, P.C.B. and Hurn, S. (2018). Change detection and the causal impact of the yield curve. Journal of Time Series Analysis, 39(6), 966–987. https://doi.org/10.1111/jtsa.12427
  • Şahin, D. and Durmuş, S. (2021). Döviz kuru oynaklığı ile BİST sektör endeksleri arasındaki ilişkinin zamanla değişen nedensellik analizi. Ekonomi Politika ve Finans Araştırmaları Dergisi, 6(3), 701-723. https://doi.org/10.30784/epfad.984532
  • Topcu, M., Yagli, I. and Emirmahmutoglu, F. (2021). COVID-19 and stock market volatility: A time-varying perspective. Economics Bulletin, 41(3), 1681-1689. Retrieved from http://www.accessecon.com/
  • Uluğ, M., Işık, S. and Mert, M. (2023). The effectiveness of ultra-loose monetary policy in a high inflation economy: A time-varying causality analysis for Turkey. Economic Change and Restructuring, 56(4), 2855–2887. https://doi.org/10.1007/s10644-023-09535-3
  • Yıldırım, M. and Yıldırım, D. (2025). The effects of macroeconomic news surprises on Borsa Istanbul sectoral indices: A study with volatility models. Ekonomi Politika ve Finans Araştırmaları Dergisi, 10(4), 1495-1515. https://doi.org/10.30784/epfad.1725746

Federal Reserve Interest Rates and the Turkish Economy: A Time-Varying Causality Analysis (1975-2024)

Year 2026, Volume: 11 Issue: 1 , 200 - 216 , 31.03.2026

Hakan Kum

https://doi.org/10.30784/epfad.1679503
https://izlik.org/JA45TT82KH

Abstract

This study examines how the Granger-causality (predictive) link between the U.S. Federal Reserve’s (FED) policy rate and key Turkish macroeconomic indicators evolves over time during 1975–2024. Using annual data, we estimate separate bivariate VAR models between the FED rate and (i) the USD/TRY exchange rate, (ii) the CPI log level, (iii) real GDP growth, (iv) the domestic short-term interest rate, and (v) net portfolio flows. To capture time variation and potential structural change, we apply the Recursive Expanding Window (REW) Wald test and obtain critical values via bootstrap (B=1000). The results indicate that causality is not stable over the sample: predictive relationships strengthen in subperiods associated with tighter global financial conditions and domestic regime shifts, while remaining weaker or intermittent in other periods. Additionally, the findings indicate that monetary policy transmission channels vary across periods. The findings highlight the value of time‑varying causality tools for emerging markets and provide policy implications on building buffers against external monetary shocks.

Keywords

Time-Varying Causality FED Monetary Policy Emerging Market Economies Turkish Economy

References

  • Akar, N.Ç. and Varlık, C. (2025). The role of capital flows in the ınternational transmission of US monetary policy: The case of Turkey. Ekonomi Politika ve Finans Araştırmaları Dergisi, 10(2), 502–528. https://doi.org/10.30784/epfad.1579707
  • Alesina, A. and Summers, L.H. (1993). Central bank independence and macroeconomic performance: some comparative evidence. Journal of Money, Credit and Banking, 25(2), 151-162. https://doi.org/10.2307/2077833
  • Andrews, D.W.K. (1993). Tests for parameter instability and structural change with unknown change point. Econometrica, 61(4), 821-856. https://doi.org/10.2307/2951764
  • Bai, J. (1997). Estimating multiple breaks one at a time. Econometric Theory, 13(3), 315-352. Retrieved from https://www.cambridge.org/
  • Blanchard, O. and Leigh, D. (2013). Growth forecast errors and fiscal multipliers. American Economic Review, 103(3), 117-120. https://doi.org/10.1257/aer.103.3.117
  • Bruno, V. and Shin, H.S. (2015). Capital flows and the risk-taking channel of monetary policy. Journal of Monetary Economics, 71, 119-132. https://doi.org/10.1016/j.jmoneco.2014.11.011
  • Calvo, G.A. and Reinhart, C.M. (2002). Fear of floating. Quarterly Journal of Economics, 117(2), 379-408. https://doi.org/10.1162/003355302753650274
  • Denaux, Z., Topcu, M. and Emirmahmutoglu, F. (2023). Revisiting the financial development and economic growth nexus: Evidence from South Korea. Economics Bulletin, 43(3), 1328-1337. Retrieved from http://www.accessecon.com/
  • Eichengreen, B. and Gupta, P. (2015). Tapering talk: The impact of expectations of reduced Federal Reserve security purchases on emerging markets. Emerging Markets Review, 25, 1-15. https://doi.org/10.1016/j.ememar.2015.07.002
  • Elliott, G., Rothenberg, T.J. and Stock, J.H. (1996). Efficient tests for an autoregressive unit root (NBER Working Paper No. 0130). Retrieved from https://www.nber.org/papers/t0130
  • Erer, D. (2023). Enflasyon ve enflasyon belirsizliği arasındaki zamanla değişen ilişkinin analizi: Türkiye örneği. Doğuş Üniversitesi Dergisi, 24(1), 255-272. https://doi.org/10.31671/doujournal.1179508
  • Forbes, K.J. and Warnock, F.E. (2012). Capital flow waves: Surges, stops, flight, and retrenchment. Journal of International Economics, 88(2), 235-251. https://doi.org/10.1016/j.jinteco.2012.03.006
  • Goldberg, P.K. and Knetter, M.M. (1997). Goods prices and exchange rates: What have we learned? (NBER Working Paper No. 5862). Retrieved from https://www.nber.org/papers/w5862
  • Granger, C.W.J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37(3), 424-438. https://doi.org/10.2307/1912791
  • Hansen, B.E. (1992). Tests for parameter instability in regressions with I(1) processes. Journal of Business & Economic Statistics, 10(3), 321-335. https://doi.org/10.1198/073500102753410381
  • Hou, Y., Li, W., Wu, D., Zang, Y. and Quach, L. (2025). The spillover effect of US monetary policy on the international financial market: Evidence from network analysis. Journal of Management Science and Engineering, 10(1), 111-125. https://doi.org/10.1016/j.jmse.2024.12.001
  • Kangal, M. (2021). FED'in para politikalarının gelişmekte olan ülkeler üzerindeki etkisi. Haliç Üniversitesi Sosyal Bilimler Dergisi, 4(2), 243-266. https://izlik.org/JA65LG44NK
  • Lastauskas, P. and Nguyen, A.D.M. (2023). Global impacts of US monetary policy uncertainty shocks. Journal of International Economics, 145, 103830. https://doi.org/10.1016/j.jinteco.2023.103830
  • Mishra, A.K., Ghate, K., Renganathan, J., Kennet, J.J. and Rajderkar, N.P. (2022). Rolling, recursive evolving and asymmetric causality between crude oil and gold prices: Evidence from an emerging market. Resources Policy, 75, 102474. https://doi.org/10.1016/j.resourpol.2021.102474
  • Münyas, T., Yıldırım, R.K. and Aydın, G.K. (2025). FED faiz kararlarının ülke risk primleri ve hisse senedi piyasası üzerindeki etkisi. TESAM Akademi Dergisi, 12(2), 847-874. https://doi.org/10.30626/tesamakademi.1510364
  • Obstfeld, M., Shambaugh, J.C. and Taylor, A.M. (2005). The trilemma in history: Tradeoffs among exchange rates, monetary policies, and capital mobility. Review of Economics and Statistics, 87(3), 423-438. https://doi.org/10.1162/0034653054638307
  • Perron, P. and Qu, Z. (2007). A simple modification to improve the finite sample properties of Ng and Perron’s unit root tests. Economics Letters, 94(1), 12-19. https://doi.org/10.1016/j.econlet.2006.06.009
  • Rey, H. (2015). Dilemma not trilemma: The global financial cycle and monetary policy independence (NBER Working Paper No. 21162). Retrieved from https://www.nber.org/system/files/working_papers/w21162/w21162.pdf
  • Sarsıcı, E. (2025). The inflation-interest rate relationship in the Turkish economy: Evidence of cointegration and Granger causality. Bucak İşletme Fakültesi Dergisi (Journal of Bucak Business Administration Faculty), 8(1), 27–39. https://doi.org/10.38057/bifd.1658630
  • Shi, S., Hurn, S. and Phillips, P.C.B. (2020). Causal change detection in possibly integrated systems: Revisiting the money–income relationship. Journal of Financial Econometrics, 18(1), 158–180. https://doi.org/10.1093/jjfinec/nbz004
  • Shi, S., Phillips, P.C.B. and Hurn, S. (2018). Change detection and the causal impact of the yield curve. Journal of Time Series Analysis, 39(6), 966–987. https://doi.org/10.1111/jtsa.12427
  • Şahin, D. and Durmuş, S. (2021). Döviz kuru oynaklığı ile BİST sektör endeksleri arasındaki ilişkinin zamanla değişen nedensellik analizi. Ekonomi Politika ve Finans Araştırmaları Dergisi, 6(3), 701-723. https://doi.org/10.30784/epfad.984532
  • Topcu, M., Yagli, I. and Emirmahmutoglu, F. (2021). COVID-19 and stock market volatility: A time-varying perspective. Economics Bulletin, 41(3), 1681-1689. Retrieved from http://www.accessecon.com/
  • Uluğ, M., Işık, S. and Mert, M. (2023). The effectiveness of ultra-loose monetary policy in a high inflation economy: A time-varying causality analysis for Turkey. Economic Change and Restructuring, 56(4), 2855–2887. https://doi.org/10.1007/s10644-023-09535-3
  • Yıldırım, M. and Yıldırım, D. (2025). The effects of macroeconomic news surprises on Borsa Istanbul sectoral indices: A study with volatility models. Ekonomi Politika ve Finans Araştırmaları Dergisi, 10(4), 1495-1515. https://doi.org/10.30784/epfad.1725746
There are 30 citations in total.

Details

Primary Language Turkish
Subjects Econometric and Statistical Methods, Monetary Policy
Journal Section Research Article
Authors

Hakan Kum 0000-0002-7880-8355

Submission Date April 18, 2025
Acceptance Date March 14, 2026
Publication Date March 31, 2026
DOI https://doi.org/10.30784/epfad.1679503
IZ https://izlik.org/JA45TT82KH
Published in Issue Year 2026 Volume: 11 Issue: 1

Cite

APA Kum, H. (2026). FED Faiz Oranları ve Türkiye Ekonomisi: Zamanla Değişen Nedensellik Analizi (1975-2024). Ekonomi Politika Ve Finans Araştırmaları Dergisi, 11(1), 200-216. https://doi.org/10.30784/epfad.1679503