Araştırma Makalesi
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Interest Rate Convergence in BRICS Countries: an Empirical Evaluation

Yıl 2020, , 20 - 33, 30.06.2020
https://doi.org/10.5281/zenodo.3923617

Öz

It is one of the main
research topics of the economics literature that what are the differences
between the economies arising from and how to overcome these differences. And
many theories have been produced on this subject. One of these theories is the
convergence theory put forward by neo-classical economists. Convergence theory
is one of the topics that have been studied both theoretically and empirically
in economic theory in recent years. In this study, whether the real interest
rates of Brazil, Russia, China, India and South Africa economies converged to
the real interest rates of the United States in 1997-2018 periods are examined
by using panel data method. As a result of empirical analysis, there is strong
evidence that only real interest rates convergence in India.

Kaynakça

  • Bayat, T., Tas, S., & Tasar, I. (2017). Energy consumption is a determinant of economic growth in BRICS countries or not. Asian Economic and Financial Review, 7(8), 823-835.
  • Breusch, T., Pagan, A., (1980). The Lagrange multiplier test and its application to model specification in econometrics. Rev. Econ. Stud. 47, 239–253.
  • Camarero, M., Ez, J. O., & Tamarit, C. R. (2002). Tests for interest rate convergence and structural breaks in the EMS: further analysis. Applied Financial Economics, 12(6), 447-456.
  • Caporale, G. M., Kalyvitis, S., & Pittis, N. (1996). Interest rate convergence, capital controls, risk premia and foreign exchange market efficiency in the EMS. Journal of Macroeconomics, 18(4), 693-714.
  • Fase, M. M. G., & Vlaar, P. J. G. (1998). International convergence of capital market interest rates. De Economist, 146(2), 257-269.
  • Frankel, J. A., & Okongwu, C. (1996). Liberalized portfolio capital inflows in emerging markets: Sterilization, expectations, and the incompleteness of interest rate convergence. International Journal of Finance & Economics, 1(1), 1-23.
  • Frömmel, M., & Kruse, R. (2015). Interest rate convergence in the EMS prior to European Monetary Union. Journal of Policy Modeling, 37(6), 990-1004.
  • Fountas, S., & Wu, J. L. (1998). Tests for interest rate convergence and structural breaks in the EMS. Applied Financial Economics, 8(2), 127-132.
  • Fountas, S., & Wu, J. L. (1999). Testing for real interest rate convergence in European countries. Scottish Journal of Political Economy, 46(2), 158-174.
  • Gabrisch, H., & Orlowski, L. T. (2010). Interest rate convergence in euro-candidate countries: Volatility dynamics of sovereign bond yields. Emerging Markets Finance and Trade, 46(6), 69-85.
  • Im, K. S., Lee, J., & Tieslau, M. (2005). Panel LM unit‐root tests with level shifts. Oxford Bulletin of Economics and Statistics, 67(3), 393-419.
  • Jenkins, M. A., & Madzharova, P. (2008). Real interest rate convergence under the euro. Applied Economics Letters, 15(6), 473-476.
  • Lee, J., & Strazicich, M. C. (2003). Minimum Lagrange multiplier unit root test with two structural breaks. Review of Economics and Statistics, 85(4), 1082-1089.
  • Lee, J., & Strazicich, M. C. (2004). Minimum LM unit root test with one structural break. Manuscript, Department of Economics, Appalachian State University, 1-16.
  • Pesaran, Hasem, M., (2004), “General Diagnostic Tests for Cross Section Dependence in Panels”, Working Paper No:0435, University of Cambridge.
  • Pesaran, M. H. (2007). A simple panel unit root test in the presence of cross‐section dependence. Journal of Applied Econometrics, 22(2), 265-312.
  • Pesaran, M.H., Ullah, A., Yamagata, T., (2008). A bias-adjusted LM test of error cross section independence. Econometrics Journal 11, 105–127.
  • Pesaran, M. H., & Yamagata, T. (2008). Testing slope homogeneity in large panels. Journal of Econometrics, 142(1), 50-93.
  • Pigott, C. (1993). International interest rate convergence: A survey of the issues and evidence. Federal Reserve Bank of New York Quarterly Review, 18(4), 24-37.
  • Robertson, P. E., & Ye, L. (2013). On the existence of a middle income trap. University of Western Australia Economics Discussion Paper, No: 13.12.
  • Sander, H., & Kleimeier, S. (2004). Convergence in euro-zone retail banking? What interest rate pass-through tells us about monetary policy transmission, competition and integration. Journal of International Money and Finance, 23(3), 461-492.
  • Şahbaz, A., Adıgüzel, U., Bayat, T., & Kayhan, S. (2014). Relationship between oil prices and exchange rates: the case of Romania. Economic Computation and Economic Cybernetics Studies and Research/Academy of Economic Studies, 48(2), 245-256.
  • Tıraşoğlu, M., & Yurttagüler, İ. M. (2018). BRICS ülkelerinde enflasyon yakınsaması: Kapsamlı bir birim kök testi analizi. Alphanumeric Journal, 6(2), 311-324.
  • Westerlund, J. (2007). Testing for error correction in panel data. Oxford Bulletin of Economics and statistics, 69(6), 709-748.

BRICS Ülkelerinde Faiz Oranı Yakınsaması: Ampirik Bir Değerlendirme

Yıl 2020, , 20 - 33, 30.06.2020
https://doi.org/10.5281/zenodo.3923617

Öz

Ekonomiler
arası gelişmişlik farklılıklarının nelerden kaynaklandığı ve bu farkların nasıl
giderileceği iktisat literatürünün temel araştırma konularından bir olmuş ve
konu ile ilgili birçok teori üretilmiştir.
Bu teorilerden biri de neo-klasik
iktisatçılar tarafından ortaya atılan yakınsama teorisidir. Yakınsama teorisi, iktisat teorisinde son yıllarda hem teorik hem
de ampirik olarak çalışılan konuların başında gelmektedir. Bu çalışmada
1997-2018 döneminde Brezilya, Rusya, Çin, Hindistan ve Güney Afrika ekonomilerinin
reel faiz oranlarının Amerika Birleşik Devletleri reel faiz oranlarına
yakınsama yaşayıp yaşamadıkları panel veri yöntemi kullanılarak
incelenmektedir. Ampirik analizler sonucunda yalnızca Hindistan reel faiz
oranlarının yakınsadığına yönelik güçlü kanıtlar bulunmaktadır. 

Kaynakça

  • Bayat, T., Tas, S., & Tasar, I. (2017). Energy consumption is a determinant of economic growth in BRICS countries or not. Asian Economic and Financial Review, 7(8), 823-835.
  • Breusch, T., Pagan, A., (1980). The Lagrange multiplier test and its application to model specification in econometrics. Rev. Econ. Stud. 47, 239–253.
  • Camarero, M., Ez, J. O., & Tamarit, C. R. (2002). Tests for interest rate convergence and structural breaks in the EMS: further analysis. Applied Financial Economics, 12(6), 447-456.
  • Caporale, G. M., Kalyvitis, S., & Pittis, N. (1996). Interest rate convergence, capital controls, risk premia and foreign exchange market efficiency in the EMS. Journal of Macroeconomics, 18(4), 693-714.
  • Fase, M. M. G., & Vlaar, P. J. G. (1998). International convergence of capital market interest rates. De Economist, 146(2), 257-269.
  • Frankel, J. A., & Okongwu, C. (1996). Liberalized portfolio capital inflows in emerging markets: Sterilization, expectations, and the incompleteness of interest rate convergence. International Journal of Finance & Economics, 1(1), 1-23.
  • Frömmel, M., & Kruse, R. (2015). Interest rate convergence in the EMS prior to European Monetary Union. Journal of Policy Modeling, 37(6), 990-1004.
  • Fountas, S., & Wu, J. L. (1998). Tests for interest rate convergence and structural breaks in the EMS. Applied Financial Economics, 8(2), 127-132.
  • Fountas, S., & Wu, J. L. (1999). Testing for real interest rate convergence in European countries. Scottish Journal of Political Economy, 46(2), 158-174.
  • Gabrisch, H., & Orlowski, L. T. (2010). Interest rate convergence in euro-candidate countries: Volatility dynamics of sovereign bond yields. Emerging Markets Finance and Trade, 46(6), 69-85.
  • Im, K. S., Lee, J., & Tieslau, M. (2005). Panel LM unit‐root tests with level shifts. Oxford Bulletin of Economics and Statistics, 67(3), 393-419.
  • Jenkins, M. A., & Madzharova, P. (2008). Real interest rate convergence under the euro. Applied Economics Letters, 15(6), 473-476.
  • Lee, J., & Strazicich, M. C. (2003). Minimum Lagrange multiplier unit root test with two structural breaks. Review of Economics and Statistics, 85(4), 1082-1089.
  • Lee, J., & Strazicich, M. C. (2004). Minimum LM unit root test with one structural break. Manuscript, Department of Economics, Appalachian State University, 1-16.
  • Pesaran, Hasem, M., (2004), “General Diagnostic Tests for Cross Section Dependence in Panels”, Working Paper No:0435, University of Cambridge.
  • Pesaran, M. H. (2007). A simple panel unit root test in the presence of cross‐section dependence. Journal of Applied Econometrics, 22(2), 265-312.
  • Pesaran, M.H., Ullah, A., Yamagata, T., (2008). A bias-adjusted LM test of error cross section independence. Econometrics Journal 11, 105–127.
  • Pesaran, M. H., & Yamagata, T. (2008). Testing slope homogeneity in large panels. Journal of Econometrics, 142(1), 50-93.
  • Pigott, C. (1993). International interest rate convergence: A survey of the issues and evidence. Federal Reserve Bank of New York Quarterly Review, 18(4), 24-37.
  • Robertson, P. E., & Ye, L. (2013). On the existence of a middle income trap. University of Western Australia Economics Discussion Paper, No: 13.12.
  • Sander, H., & Kleimeier, S. (2004). Convergence in euro-zone retail banking? What interest rate pass-through tells us about monetary policy transmission, competition and integration. Journal of International Money and Finance, 23(3), 461-492.
  • Şahbaz, A., Adıgüzel, U., Bayat, T., & Kayhan, S. (2014). Relationship between oil prices and exchange rates: the case of Romania. Economic Computation and Economic Cybernetics Studies and Research/Academy of Economic Studies, 48(2), 245-256.
  • Tıraşoğlu, M., & Yurttagüler, İ. M. (2018). BRICS ülkelerinde enflasyon yakınsaması: Kapsamlı bir birim kök testi analizi. Alphanumeric Journal, 6(2), 311-324.
  • Westerlund, J. (2007). Testing for error correction in panel data. Oxford Bulletin of Economics and statistics, 69(6), 709-748.
Toplam 24 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Yavuz Özek 0000-0003-4517-4875

Yayımlanma Tarihi 30 Haziran 2020
Yayımlandığı Sayı Yıl 2020

Kaynak Göster

APA Özek, Y. (2020). BRICS Ülkelerinde Faiz Oranı Yakınsaması: Ampirik Bir Değerlendirme. Academic Knowledge, 3(1), 20-33. https://doi.org/10.5281/zenodo.3923617

20808






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