Examining the Relationship Between Yield Spread and Economic Growth in the Turkish Economy Using the Quantile-on-Quantile Regression Method

Abstract

Yield spread, which reflects the difference between the interest rates of short-term and long-term bonds, can be observed by tracking the slope of the Yield Curve. Besides its inherent informational content, yield spread can also signal to the markets about the future trajectory of economic variables. One of these signals is the direction of the economic cycle that will be followed by economic production in the future. In this study, the effects of yield spread on economic growth are examined by calculating yield spreads between 5-year and 10-year maturity Treasury Bond interest rates with 2-year maturity Treasury Bond interest rates in the context of Türkiye, spanning the period from January 2006 to June 2023. Findings from the Quantile-on-Quantile Regression Method, Quantile Regression Method, and Ordinary Least Squares Method indicate a positive relationship between the slope of the Yield Curve and economic growth, in line with the literature. The findings obtained through the Quantile-on-Quantile Regression Method can more distinctly highlight the asymmetric effects of the distribution compared to other methods. It is important for policymakers to closely monitor the slope of the Yield Curve and evaluate the extent to which the portion of long-term interest rates exceeding short-term interest rates affects economic growth, considering the distribution of dependent and independent variables.

Keywords

• Quantile-on-Quantile Regression Method
• Yield Curve
• Yield Spread
• Economic Growth
• Monetary Policy

Türkiye Ekonomisinde Getiri Farkı ve Ekonomik Büyüme İlişkisinin Quantile-on-Quantile Regresyon Yöntemiyle İncelenmesi

Öz

Kısa ve uzun vadeli tahvillerin faiz oranları arasındaki farkı yansıtan getiri farkı, Getiri Eğrisi’nin eğimi takip edilerek izlenebilmektedir. Getiri farkı, barındırdığı içsel bilgi yanında iktisadi değişkenlerin gelecekteki seyri ile ilgili piyasalara sinyal verebilmektedir. Bu sinyallerden bir tanesi de gelecekte iktisadi üretimin izleyeceği döngünün yönüdür. Bu çalışmada, Türkiye özelindeki 5 yıl ve 10 yıl vadeli Hazine Tahvili faiz oranları ile 2 yıl vadeli Hazine Tahvili faiz oranları arasındaki getiri farkları hesaplanarak ekonomik büyüme üzerindeki etkileri, Ocak 2006 ile Haziran 2023 dönemini kapsayacak şekilde incelenmektedir. Quantile-on-Quantile Regresyon Yöntemi, Quantile Regresyon Yöntemi ve En Küçük Kareler Yöntemi bulguları, literatürle uyumlu olacak şekilde Getiri Eğrisi’nin eğimi ile ekonomik büyüme arasındaki pozitif ilişkiye işaret etmektedir. Quantile-on-Quantile Regresyon Yöntemi ile elde edilen bulgular, dağılımın asimetrik etkilerini diğer yöntemlere göre daha belirgin olarak ortaya koyabilmektedir. Politika yapıcıların Getiri Eğrisi’nin eğimini yakından takip etmeleri ve bunun yanında uzun vadeli faizlerin kısa vadeli faizleri aşan kısmının iktisadi büyümeyi etkileme derecesini bağımlı ve bağımsız değişkenlerin dağılımını gözeterek değerlendirmeleri önem taşımaktadır.

Anahtar Kelimeler

• Quantile-on-Quantile Regresyon Yöntemi
• Getiri Eğrisi
• Getiri Farkı
• Ekonomik Büyüme
• Para Politikası

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