DÖVİZ KURLARININ VE KREDİ FAİZ ORANLARININ OKUN SEFALET ENDEKSİ ÜZERİNDEKİ ETKİLERİ

Year 2022, Volume: 18 Issue: 2, 595 - 617, 30.06.2022

Ömer Akçayır

https://doi.org/10.17130/ijmeb.979529

Abstract

Bu çalışmada, bir makroekonomik performans ölçütü olarak Okun sefalet (iktisadi hoşnutsuzluk) endeksinin döviz kurlarına ve tüketici kredi faiz oranlarına duyarlı olup olmadığı yapısal kırılmaları da dikkate alan ekonometrik yöntemler yardımıyla 2005Q1-2020Q4 dönemleri için Türkiye örnekleminde araştırılmıştır. Döviz kurlarının ve kredi faiz oranlarının endeks üzerindeki etkilerini inceleyen çalışmalara literatürde rastlanmaması ve yapısal kırılmaların dikkate alınması çalışmayı içerik ve konu yönünden özgün kılmaktadır. Hem standart (ADF, PP ve KPSS) hem de çoklu kırılmalı Kapetanios (2005) birim kök testi sonuçlarına göre serilerin tamamı birinci farkta durağan bulunmuştur. Maki (2012) yöntemi ile uzun dönemde birlikte hareket ettiği (eşbütünleşik) tespit edilen serilerin uzun dönem katsayıları ve kısa dönem hata düzeltme modelleri DOLS yöntemi ile elde edilmiştir. Her iki bağımsız değişkenin katsayısı da pozitif ve istatistiksel olarak anlamlıdır. Ayrıca hem uzun hem kısa dönemde seriler arasında nedensellik ilişkisi VECM’e dayalı yönetemle tespit edilmiştir. Ampirik bulgulara göre, Türk Lirası 1 birim değer kaybettiğinde sefalet endeksi yaklaşık 0.89 puan yükselirken, kredi faiz oranları 1 puan arttığında sefalet endeksi yaklaşık 0.10 puan yükselmektedir.

Keywords

Sefalet Endeksi, Döviz Kuru, Kredi Faiz Oranları, Çoklu Yapısal Kırılma, Nedensellik

THE EFFECTS OF EXCHANGE RATES AND LOAN INTEREST RATES ON OKUN MISERY INDEX

Abstract

In this study, it was investigated whether Okun misery (economic discomfort) index, as a macroeconomic performance criteria, is sensitive to exchange rates and consumer loan interest rates, in the sample of Turkey for 2005Q1-2020Q4 periods with the help of econometric methods that also take into structural breaks. The fact that there are no studies examining the effects of exchange rates and loan interest rates on the index in the literature and that structural breaks are taken into account makes the study distinctive in terms of content and subject. According to the results of both standard unit root tests (ADF, PP and KPSS) and Kapetanios (2005) unit root test with multiple breaks, all series were found to be stationary at the first difference. The estimation of long-run coefficients and short-run error correction models of the series were obtained by DOLS method. Cointegration among the series were determined by the Maki (2012) method. The coefficients of both independent variables are positive and statistically significant. In addition, causality relationship among the series in both longrun and shortrun was determined by VECM-based method. According to empirical findings, when Turkish Lira depreciates by 1 unit, the misery index rises by approximately 0.89 points, while misery index rises by 0.10 points when loan interest rates increase by 1 point.

Keywords

Misery Index, Exchange Rate, Credit Loan Interest Rate, Multiple Structural Breaks, Causality

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