Yield Curve Macroeconomy Linkage: Turkish Case

Year 2021, Volume: 8 Issue: 2, 197 - 222, 01.07.2021

Osman Tuzun , Hakan Kahyaoğlu

https://doi.org/10.17541/optimum.799532

Abstract

This study aims to determine the macroeconomic variables affecting the term structure in Turkey. The term structure of interest rates is analyzed through the yield curve. After estimating the yield curve, the macroeconomic determinants of term structure of interest rates in Turkey are analyzed. The analysis is carried out with the Threshold VAR technique which is a nonlinear method. According to the findings of the study, the level parameter of the yield curve is determined by the inflation variable, and the output gap determines the slope parameter. The common determinants of the curvature 1 and curvature 2 parameters are the CDS variable. Besides curvature 1 is affected by the output gap, while curvature 2 is also affected by inflation. However, the relationship between the yield curve and the macroeconomy weakens in the upper regime. The differentiation between the regimes shows that the term structure of interest rates is affected asymmetrically by macroeconomic variables in Turkey.

Keywords

Monetary Policy, Yield Curve, Threshold VAR (T-VAR)

Getiri Eğrisi Makroekonomi Bağlantısı: Türkiye Örneği

Abstract

Bu çalışmanın amacı Türkiye’de faiz oranlarının vade yapısına etki eden makroekonomik değişkenlerin belirlenmesidir. Faiz oranlarının vade yapısı getiri eğrisi aracılığıyla analiz edilmektedir. Getiri eğrisinin tahmin edilmesinin ardından, Türkiye’de faiz oranlarının vade yapısının hangi makroekonomik değişkenler tarafından belirlendiği analiz edilmektedir. Söz konusu analiz, doğrusal olmayan bir yöntem olan; Eşik VAR (Threshold VAR-TVAR) tekniği ile gerçekleştirilmektedir. Çalışmanın bulgularına göre getiri eğrisinin seviye parametresi enflasyon değişkeni tarafından, eğim parametresi ise çıktı açığı tarafından belirlenmektedir. Eğrilik 1 ve eğrilik 2 parametrelerinin ortak belirleyicileri CDS değişkenidir. Ayrıca eğrilik 1 değişkeni çıktı açığından, eğrilik 2 değişkeni ise enflasyon değişkeninden etkilenmektedir. Bununla birlikte üst rejimde getiri eğrisi-makroekonomi ilişkisi zayıflamaktadır. Rejimler arasındaki farklılaşma Türkiye’de faiz oranlarının vade yapısının makroekonomik değişkenlerden asimetrik olarak etkilendiğini göstermektedir.

Keywords

Para Politikası, Getiri Eğrisi, Eşik VAR (T-VAR)

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