DETERMINING AFFECTING MACROECONOMIC INDICATORS ON INTEREST RATES IN EMERGING COUNTRIES: A COMPARATIVE EXAMINATION UPON CHINA, BRAZIL, AND TURKEY WITH MULTIVARIATE ADAPTIVE REGRESSION SPLINES (MARS)

Abstract

China, Brazil, and Turkey are important emerging countries and have different interest rate trends. China and Brazil enjoyed the lower interest rate of approximately 1.5% and 6.8% respectively whereas Turkey was faced with increasing interest rate problems reaching 23.35% as of 2018 end. The study aims to analyze and define macroeconomic determinants of interest rates. 11 independent variables, yearly data between 2002 and 2018 were examined with the MARS method. The study determines that growth and reserves have effects in China; credits and net export have effects in Brazil whereas inflation and money supply are influential in Turkey on interest rates.

Keywords

• Interest Rate
• Macroeconomic Determinants
• MARS
• China
• Brazil
• Turkey

Kaynakça

1. Akçay, O. C., Alper, C. E. and Özmucur, S. (2018), “Budget Deficit, Inflation and Debt Sustainability: Evidence from Turkey, 1970-2000”. Kibritçioğlu et al. (eds.) Inflation and Disinflation in Turkey, Ashgate Publishing, Hampshire.
2. Akıncı, M. ve Ö. Yılmaz (2016) “Enflasyon-Faiz Oranı Takası: Fisher Hipotezi Bağlamında Türkiye Ekonomisi Için Dinamik En Küçük Kareler Yöntemi”, Sosyoekonomi 24(27): 33-56.
3. Angeloni, I. and A Prati (1993) “Liquidity Effects and the Determinants of Short-Term Interest Rates in Italy (1991-92)”, CEPR Discussion Papers, paper number: 788.
4. Arslanalp, S., Lee, J. and Rawat, U. (2019) “Demographics and Interest Rates in Asia”. Japan and the World Economy, 50: 14-24.
5. Atgür, M. ve Altay, N. O. (2015) “Enflasyon ve Nominal Faiz Oranı İlişkisi: Türkiye Örneği (2004-2013)”, Celal Bayar Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 22(2): 521-533.
6. Aytaç, D. ve Sağlam, M. (2014) “Kamu Açıkları, İç Borç ve Faiz Oranı İlişkisi: Türkiye Örneği”, Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, 9(1): 131-148.
7. Benjamin, D. K. and Kochin, L. A. (1984) “War, Prices, and Interest Rates: A Martial Solution to Gibson's Paradox”. Bordo et al. (eds.), A Retrospective on the Classical Gold Standard 1821-1931, University of Chicago Press.
8. Berument, H. (1999) “The Impact of Inflation Uncertainty on Interest Rates in the UK”, Scottish Journal of Political Economy, 46(2): 207-218.

9. Berument, H., Kılınc, Z. and Özlale, Ü. (2004) “The Effects of Different Inflation Risk Premiums on Interest Rate Spreads”, Physica A: Statistical Mechanics and Its Applications, 333: 317-324.
10. Berument, H. and Malatyalı, K. (2001) “Determinants of Interest Rates in Turkey”, Russian & East European Finance and Trade, 37(1): 5-16.
11. Bikker, J. A. and Vervliet, T. M. (2018) “Bank Profitability and Risk‐Taking under Low Interest Rates”, International Journal of Finance & Economics, 23(1): 3-18.
12. Broga, K. M., Viegas, E. and Jensen, H. J. (2016) “Model Analysis of the Link between Interest Rates and Crashes”, Physica A: Statistical Mechanics and Its Applications, 457: 225-238.
13. Bulut, C. ve Canbolat, Y. B. “2003” Türkiye Ekonomisinde Artan Kamu Açıklarının Enflasyon, Faiz Oranı ve Döviz Kuru Üzerindeki Etkileri”, Journal of Qafqaz University, (12): 13-28.
14. Cao, G., Jiang, M. and He, L. (2018) “Comparative Analysis of Grey Detrended Fluctuation Analysis Methods Based on Empirical Research on China’s Interest Rate Market”, Physica A: Statistical Mechanics and Its Applications, 506: 156-169.
15. Cheung, Y. W.. Tam, D. C. and Yiu, M. S. (2008) “Does the Chinese Interest Rate Follow the US Interest Rate?”, International Journal of Finance & Economics, 13(1): 53-67.
16. Demir, M. ve Sever, E. (2008) “Kamu Iç Borçlanmasının Büyüme, Faiz Ve Enflasyon Oranı Üzerindeki Etkileri”, Elektronik Sosyal Bilimler Dergisi, 7(25): 170-196.
17. Desroches, B. and Francis, M. (2006) “Global Savings, Investment, and World Real Interest Rates”, Bank of Canada Review, (Winter): 3-17.
18. Dinçer, H., Yüksel, S. ve Kartal, M. T. (2019) “The Role of Bank Interest Rate in the Competitive Emerging Markets to Provide Financial and Economic Stability”, Ekonomi, İşletme ve Maliye Araştırmaları Dergisi, 1(2): 103-120.
19. Doğan, B. Eroğlu, Ö. ve Değer, O. (2016) “Enflasyon ve Faiz Oranı Arasındaki Nedensellik İlişkisi: Türkiye Örneği”, Çankırı Karatekin Üniversitesi İİBF Dergisi, 6(1): 405-425.
20. Ekinci, E. B. M., Alhan, A. ve Ergör, Z. B. (2016) “Parametrik Olmayan Regresyon Analizi: Faiz Oranı, Enflasyon ve Döviz Kuru Arasındaki Ilişkinin Incelenmesi Örneği”, Bankacılık ve Sigortacılık Araştırmaları Dergisi, 2(9): 28-37.
21. Entrop, O., Von la Hausse, L. and Wilkens, M. (2017) “Looking beyond Banks’ Average Interest Rate Risk: Determinants of High Exposures”, The Quarterly Review of Economics and Finance, 63: 204-218.
22. Ersoy, İ. (2011) “The Impact of Financial Openness on Financial Development, Growth and Volatility in Turkey: Evidence from the ARDL Bound Tests”, Economic Research-Ekonomska Istraživanja, 24(3): 33-44.
23. Friedman, J. H. (1991) “Multivariate Adaptive Regression Splines”, The Annals of Statistics, 19: 1-141.
24. Goh, A. T. C., Zhang, Y., Zhang, R., Zhang, W. and Xiao, Y. (2017) “Evaluating Stability of Underground Entry-Type Excavations Using Multivariate Adaptive Regression Splines and Logistic Regression”, Tunnelling and Underground Space Technology, 70: 148-154.
25. Gupta, P. and Goyal, A. (2015) “Impact of Oil Price Fluctuations on Indian economy”, OPEC Energy Review: 141-162.
26. Gül, E., Ekinci, A. ve Özer, M. (2007) “Türkiye’de Faiz Oranları ve Döviz Kuru Arasındaki Nedensellik İlişkisi: 1984-2006”, İktisat İşletme ve Finans, 22(251): 21-31.
27. Günay, A. (2001) “Exchange Rate Risk and Interest Rate: A Case Study for Turkey” Unpublished Master Thesis, Bilkent University.
28. Güneş, M, ve Tulçal, R. (2002) “Faiz Oranlarını Etkileyen Faktörlerin Regresyon Analizi ile Tespiti Üzerine Bir Uygulama”, Trakya Üniversitesi Bilimsel Araştırmalar Dergisi, C Serisi, 2(1): 49-56.
29. Hol, S. (2006) “Determinants of Long-Term Interest Rates in the Scandinavian Countries”, Statistics Norway Discussion Paper, paper number: 469.
30. Holston, K., Laubach, T. and Williams, J. C. (2017) “Measuring the Natural Rate of Interest: International Trends and Determinants”, Journal of International Economics, 108: 59-75.
31. Jammazi, R. Ferrer, R., Jareno, F. and Hammoudeh, S. M. (2017) “Main Driving Factors of the Interest Rate-Stock Market Granger Causality”, International Review of Financial Analysis, 52: 260-280.
32. Jardet, C. and Fol, G. L. (2010) “Euro Money Market Interest Rate Dynamics and Volatility: How They Respond to Recent Changes in the Operational Framework”, International Journal of Finance & Economics, 15(4): 316-330.
33. Kanas, A. and Tsiotas, G. (2005) “Real Interest Rates Linkages Between the USA and the UK in the Postwar Period”, International Journal of Finance & Economics, 10(3): 251-262.
34. Karaca, O. (2005) “Türkiye'de Faiz Oranı ile Döviz Kuru Arasındaki Ilişki: Faizlerin Düşürülmesi Kurları Yükseltir Mi?”, Turkish Economic Association Discussion Paper, paper number: 2005/14.
35. Kartal, M. T. (2019) “Türkiye’de Kredi Faizlerini Etkileyen Faktörlerin Belirlenmesi: MARS Yöntemiyle Bir Analiz”, Bankacılar Dergisi, (108): 24-41.
36. Knot, K. (1995) “On the Determination of Real Interest Rates in Europe”, Empirical Economics, 20(3): 479-500.
37. Mehra, Y. P. (1996) “Monetary Policy and Long-Term Interest Nates”, Economic Quarterly, 82(3): 27-49.
38. Mitchell, K. and Pearce, D. K. (2017) “Direct Evidence on Sticky Information from the Revision Behavior of Professional Forecasters”, Southern Economic Journal, 84(2): 637-653.
39. Muinhos, M. K. and Nakane, M. I. (2006) “Comparing Equilibrium Real Interest Rates: Different Approaches to Measure Brazilian Rates”, Banco Central do Brasil Discussion Paper, paper number: 101.
40. Obeng, S. K. and Sakyi, D. (2017) “Macroeconomic Determinants of Interest Rate Spreads in Ghana”, African Journal of Economic and Management Studies, 8(1): 76-88.
41. Onanuga, A. T. and Shittu, A. M. (2010) “Determinants of Interest Rates in Nigeria: An Error Correction Model”, Journal of Economics and International Finance, 2(11): 261-271.
42. Öztürk, N. ve Durgut, D. (2011) “Faiz Oranlarının Belirleyicileri: Türkiye Için Ampirik Bir Analiz”, Uluslararası Alanya İşletme Fakültesi Dergisi, 3(1): 117-144.
43. Patnaik, I. and Vasudevan, D. (1999) “Interest Rate Determination: An Error Correction Model”, National Council of Applied Economic Research.
44. Poddar, T., Goswami, M., Sole, J. and Icaza, V. E. (2006) “Interest Rate Determination in Lebanon”, International Monetary Fund Working Paper, paper number: 6-94.
45. Ratti, R A. and Vespignani, J. L. (2016) “Oil Prices and Global Factor Macroeconomic Variables, Energy Economics, 59: 198-212.
46. Sephton, P. (2001) “Forecasting Recessions: CAN WE DO BETTER on MARS?”, Review Federal Reserve Bank of Saint Louis, 83(2): 39-49.
47. Sever, E. ve Mızrak, Z. (007) “Döviz Kuru, Enflasyon ve Faiz Oranı Arasındaki İlişkiler: Türkiye Uygulaması”, SÜ İİBF Sosyal ve Ekonomik Araştırmalar Dergisi, 1(13): 264-283.
48. Shapiro, A. F. (2018) “Labor Force Participation, Interest Rate Shocks, and Unemployment Dynamics in Emerging Economies”, Journal of Development Economics, 133: 346-374.
49. Shaukat, B., Zhu, O. and Khan, M. J. (2019) “Real Interest Rate and Economic Growth: A Statistical Exploration for Transitory Economies”, Physica A: Statistical Mechanics and Its Applications, (534): 1-22.
50. Tanrıöver, B. ve Yamak, N. (2015) “Nominal Faiz Oranı-Genel Fiyat Düzeyi İlişkisinin Gibson Paradoksu Çerçevesinde Analizi”, Maliye Dergisi, 168: 186-200.
51. Taşbaşı, A. Ş. (2014) “Küçük Açık Ekonomilerde Döviz Kuru ile Faiz Oranı Arasındaki Oynaklık Değiş-Tokuşunun Kestirimi: Hong Kong Örneği”, MÜ İİB Dergisi, 36(1): 103-117.
52. Taylor, J. B. and Wieland, V. (2016) “Finding the Equilibrium Real Interest Rate in a Fog of Policy Deviations”, Business Economics, 51(3): 147-154.
53. The Central Bank of the Republic of Turkey (2019) EVDS, https://evds2.tcmb.gov.tr, 20.11.2019.
54. Torun, M. ve Karanfil, M. (2016) “1980-2013 Dönemi Türkiye Ekonomisinde Enflasyon ve Faiz Oranı Arasındaki İlişki”, Yönetim Bilimleri Dergisi, 14(27): 473-490.
55. Tumwine, S. Sejjaaka, S., Bbaale, E. and Kamukama, N. (2018) “Determinants of Interest Rate in Emerging Markets: A Study of Banking Financial Institutions in Uganda”, World Journal of Entrepreneurship, Management and Sustainable Development, 14(3): 267-290.
56. Tunalı, H. ve Erönal, Y. Y. (2016) “Enflasyon ve Faiz Oranı İlişkisi: Türkiye'de Fisher Etkisinin Geçerliliği”, Süleyman Demirel University Journal of Faculty of Economics & Administrative Sciences, 21(4): 1415-1431.
57. Wang, Q. and Hu, Y. (2015) “Cross-Correlation between Interest Rates and Commodity Prices”, Physica A: Statistical Mechanics and its Applications, 428: 80-89.
58. World Bank (2019) Open Data, https://data.worldbank.org/indicator, 20.11.2019.
59. Yüksel, S. (2017), “Strategies Out of Global Recession in Emerging Markets: An Application for 2008 Global Crisis”. Hacıoğlu et al. (eds.) Global Business Strategies in Crisis, Springer, Cham.
60. Yüksel, S. and Zengin, S. (2016) “Identifying the Determinants of Interest Rate Risk of the Banks: A Case of Turkish Banking Sector”, International Journal of Research in Business and Social Science, 5(6): 12-28.