THE CASUAL RELATIONSHIP BETWEEN INFLATION UNCERTAINTY AND INTEREST RATE IN TURKEY: ROLLING WINDOW CAUSALITY TEST

Year 2018, Volume: 5 Issue: 3, 977 - 990, 27.12.2018

Fatih Ceylan Osman Tüzün , Ramazan Ekinci , İşıl Erem Ceylan

https://doi.org/10.30798/makuiibf.420613

Cited By: 1

Abstract

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.

Keywords

Inflation Uncertainty, Interest Rate, Rolling Window Causality Test

TÜRKİYE’DE ENFLASYON BELİRSİZLİĞİ İLE FAİZ ORANI ARASINDAKİ NEDENSELLİK İLIŞKİSİ: KAYAN PENCERE NEDENSELLİK TESTİ

Abstract

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. 

Keywords

Enflasyon Belirsizliği, Faiz Oranı, Kayan Pencere Nedensellik Testi

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