Year 2018, Volume 5, Issue 3, Pages 977 - 990 2018-12-27

TÜRKİYE’DE ENFLASYON BELİRSİZLİĞİ İLE FAİZ ORANI ARASINDAKİ NEDENSELLİK İLIŞKİSİ: KAYAN PENCERE NEDENSELLİK TESTİ
THE CASUAL RELATIONSHIP BETWEEN INFLATION UNCERTAINTY AND INTEREST RATE IN TURKEY: ROLLING WINDOW CAUSALITY TEST

Fatih CEYLAN [1] , Osman TÜZÜN [2] , Ramazan EKİNCİ [3] , Işıl EREM CEYLAN [4]

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Bu çalışmanın amacı enflasyon belirsizliğinin piyasa faiz oranı (benchmark) üzerindeki etkisini analiz etmektir. Bu çerçevede ekonomide genel faiz düzeyini gösteren ve para piyasasında karar birimlerinin tercihleri sonucunda oluşan iki yıllık devlet tahvilinin faiz oranı temel değişken olarak alınmıştır. Enflasyon belirsizliği Tüketici Fiyat Endeksi’nden (TÜFE) Friedman’ın yaklaşımına dayalı olarak GARCH yöntemi kullanılarak koşullu varyanstan türetilmiş ve açıklayıcı değişken olarak kullanılmıştır. Piyasa faiz oranının kullanılması, enflasyon ve enflasyon belirsizliğine karşı piyasa karar birimlerinin davranışına ait bilgiyi içerdiğinden, elde edilen bulgular politika önerisi açısından önem kazanmaktadır.

Bu çalışmada 2000M05-2016M11 dönemine ait veri seti kullanılarak enflasyon belirsizliğinin piyasa faiz oranı üzerindeki etkisi Hill (2007)’nin geliştirdiği kayan pencere nedensellik yaklaşımına dayalı olarak incelenmiştir. Çalışmanın bulgularına göre 2005M04 ve 2006M05 dönemleri arasında enflasyon belirsizliğinden faiz oranlarına doğru nedensellik ilişkisi söz konusudur. Diğer yandan, 2013M03 ve 2015M12-2016M09 dönemlerinde faiz oranlarından enflasyon belirsizliğine doğru nedensellik ilişkisi gözlemlenmiştir. 

The aim of this study is to analyse the impact of inflation uncertainty on the volatility of benchmark interest rate which is the market indicator. In this context, the interest rate of two-year government bonds, which shows general interest rate in the economy and which occurs as a result of the preferences of decision-making units in the money market is considered as a basic variable. Inflation uncertainty is derived from Consumer Price Index (CPI) depending on Friedman’s Approach and is used as an explanatory variable. Because the use of benchmark interest rate includes the knowledge regarding the behaviour of the market decision-making units to inflation and inflation uncertainty, the results obtained are of great importance with regards to the policy proposals.

In this study, the effect of inflation uncertainty on the volatility of benchmark interest rate is examined by the volatility and structural break models for the period of 2005:M4-2016:M11. The findings of the study have shown that there is a causal relationship from inflation uncertainty to interest rates between 2005:4 and 2006:5. Additionally, a causal relation from interest rates to inflation uncertainty is observed in the periods of 2013:3 and 2015:12-2016:9.

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Primary Language en
Subjects Management
Journal Section Research Articles
Authors

Orcid: 0000-0002-3685-2032
Author: Fatih CEYLAN
Institution: DOKUZ EYLUL UNIVERSITY, FACULTY OF ECONOMICS AND ADMINISTRATIVE SCIENCES
Country: Turkey


Orcid: 0000-0002-4765-6985
Author: Osman TÜZÜN (Primary Author)
Institution: DOKUZ EYLUL UNIVERSITY, FACULTY OF ECONOMICS AND ADMINISTRATIVE SCIENCES
Country: Turkey


Orcid: 0000-0001-7420-9841
Author: Ramazan EKİNCİ
Institution: DOKUZ EYLUL UNIVERSITY, FACULTY OF ECONOMICS AND ADMINISTRATIVE SCIENCES
Country: Turkey


Orcid: 0000-0001-6825-8495
Author: Işıl EREM CEYLAN
Institution: UŞAK ÜNİVERSİTESİ, İKTİSADİ VE İDARİ BİLİMLER FAKÜLTESİ
Country: Turkey


Dates

Publication Date: December 27, 2018

APA CEYLAN, F , TÜZÜN, O , EKİNCİ, R , EREM CEYLAN, I . (2018). THE CASUAL RELATIONSHIP BETWEEN INFLATION UNCERTAINTY AND INTEREST RATE IN TURKEY: ROLLING WINDOW CAUSALITY TEST. Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 5 (3), 977-990. DOI: 10.30798/makuiibf.420613