UZUN DÖNEM FAİZ ORANLARININ DURAĞANLIĞI: DOĞRUSAL OLMAYAN FOURIER BİRİM KÖK TESTİNDEN BULGULAR

Year 2024, Volume: 17 Issue: 4, 944 - 957, 10.10.2024

Fındık Özlem Alper , Ali Eren Alper

https://doi.org/10.25287/ohuiibf.1510489

Abstract

Bu çalışma, uygulanacak para politikalarının etkinliğini belirlemek amacıyla OECD ülkeleri arasında uzun vadeli reel faiz oranları en yüksek olan ilk 10 ülke için uzun vadeli reel faiz oranlarının durağanlığını araştırmayı amaçlamaktadır. Çalışma faiz oranlarına yönelik olarak uygulanacak politikaların etkinliğinin belirlenmesi için, hem yapısal kırılmaları hem de doğrusal olmamayı dikkate alarak yapılan ilk çalışmalardan birisidir. Ranjbar vd. (2018) hem yapısal değişikliklere hem de doğrusal olmamaya izin veren birim kök testi sonuçlarına göre uzun vadeli reel faiz oranlarının Türkiye ve Kolombiya için seviyede durağan olduğu; ABD, Şili, Macaristan, İzlanda, Kore, Norveç, Polonya ve Kanada için ise durağan olmadığı tespit edilmiştir. Elde edilen sonuçlara göre Türkiye ve Kolombiya’da faiz oranlarına yönelik olarak uygulanacak politikaların etkinsiz olacağını çünkü faiz oranlarının ortalamaya dönme eğiliminde olduğu belirlenmiştir.

Keywords

Para politikası, Faiz oranları histerisi, Fourier

STATIONARITY OF LONG-TERM REAL INTEREST RATES: FINDINGS FROM NONLINEAR FOURIER UNIT ROOT TEST

Abstract

This study aims to investigate the stationarity of long-term real interest rates for the top 10 countries with the highest long-term real interest rates among OECD countries in order to determine the effectiveness of monetary policies to be implemented. The study is one of the first to consider both structural breaks and nonlinearity to determine the effectiveness of policies to be implemented regarding interest rates. As a result of the Ranjbar et al. (2018) unit root test allowing for both structural changes and nonlinearity, the long-term real interest rates are stationary at the level for Turkey and Colombia; whereas not stationary at the level for the USA, Chile, Hungary, Iceland, Korea, Norway, Poland, and Canada. According to the results, it was determined that the policies to be implemented regarding interest rates in Türkiye and Colombia would be ineffective because interest rates tend to be mean-reverting.

Keywords

Monetary policy, Interest rate hysteresis, Fourier

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