Kamu Borcunun Uzun Dönem Faiz Oranları Üzerindeki Etkisi: OECD Ülkeleri Üzerine Ampirik Bir Uygulama

Yıl 2022, Cilt: 29 Sayı: 1, 159 - 183, 29.03.2022

Sevilay Konya Mahmut Sami Duran

https://doi.org/10.18657/yonveek.1017758

Cited By: 1

Öz

Kamu borçlarında meydana gelen artışlar, büyüme, bütçe açığı, enflasyon gibi pek çok ekonomik değişken üzerinde olumsuz etkilere yol açabilmektedir. Özellikle ortaya çıkan belirsizliklerle birlikte borçlanmanın ortaya çıkaracağı artan maliyet, faiz oranlarının yükselmesine yol açmaktadır. Öte yandan artan faiz oranları yatırım oranlarını azaltarak ekonomik büyüme oranlarının azalmasına yol açmaktadır. Bu nedenle kamu borcu, uzun dönem faiz oranları kanalıyla ülkelerin makroekonomik değişkenlerini de doğrudan etkileyen önemli faktörlerden biri olmaktadır. Uzun dönem faiz oranlarının kamu borcu üzerindeki etkisi bu çalışmanın amacını oluşturmaktadır. Bu amaçla çalışmamızda 15 OECD ülkesinde uzun dönem faiz oranı, kamu borcu, enflasyon ve ekonomik büyüme arasındaki ilişkiyi belirlemek için 1995-2020 dönemine ait yıllık verileri panel veri analizi yöntemleri ile test edilmiştir. Çalışmada uzun dönem faiz oranı ile kamu borcu arasında bir ilişki bulunamamıştır. Ancak nedensellik analizi sonucunda uzun dönem faiz oranı ile kamu borcu arasında karşılıklı nedensellik ilişkisi belirlenmiştir.
Anahtar Kelimeler: Uzun dönem faiz oranı, kamu borcu, panel veri
JEL Sınıflandırması: A10, H50, C32, C33

Anahtar Kelimeler

Uzun dönem faiz oranı, Kamu borcu, panel veri

The Effect of Public Debt On Long-Term Interest Rates: An Empirical Application On OECD Countries

Öz

Increases in public debt may have negative effects on many economic variables such as growth, budget deficit and inflation. The increasing cost of borrowing, especially with the emerging uncertainties, leads to an increase in interest rates. On the other hand, increasing interest rates decrease investment rates and result in a decrease in economic growth rates. For this reason, public debt is a very important factor that directly affects the macroeconomic variables of countries through long-term interest rates. The effect of long-term interest rates on public debt is the aim of this study. For this aim, in our study, annual data for the period 1995-2020 were tested with panel data analysis methods to determine the relationship between long-term interest rate, public debt, inflation and economic growth in 15 OECD countries. In this study, no relationship was found between the long-term interest rate and public debt. However, as a result of the causality analysis, a mutual causality relationship was determined between the long-term interest rate and the public debt.
Key Words: Long term interest rate, government debt, panel data
JEL Classification: A10, H50, C32, C33

Anahtar Kelimeler

Long term interest rate, government debt, panel data

Kaynakça

• Afşar, M. ve Doğan, E. Uzun Dönem Faiz Oranlarının Belirleyicileri: OECD Ülkelerine Yönelik Bir Panel Veri Analizi. Akademik Bakış Uluslararası Hakemli Sosyal Bilimler Dergisi, (59), 103-115.
• Ardagna, S. (2004). Financial markets' behavior around episodes of large changes in the fiscal stance. https://www.econstor.eu/bitstream/10419/152824/1/ecbwp0390.pdf
• Baltagi, Badi, ve Pesaran, M. Hashem (2007). Heterogeneity and Cross Section Dependence in Panel Data Models: Theory and Applications. Journal of Applied Econometrics, 22(2), 229-232.
• Barro, R. J. (1974). Are government bonds net wealth?, Journal of Political Economy, 82(6), 1095-1117.
• Beetsma, R., Giuliodori, M., Sakalauskaite, I. (2017). Long‐term Interest Rates and Public Debt Maturity. Economica, 84(335), 541-558.
• Bond, Steve ve Markus Eberhardt (2009) Cross-section dependence in nonstationary panel models: a novel estimator, paper presented at the Nordic Econometrics Conference in Lund.
• Breusch, Trevor S. ve Pagan, Adrian R. (1980). The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics. Review of Economic Studies, 47, 239-253.
• Chadha, J. S., Turner, P. ve Zampolli, F. (2013). The interest rate effects of government debt maturity. BIS Working Paper No. 415
• Demir, M. ve Sever, E. (2008). Kamu iç borçlanmasının büyüme, faiz ve enflasyon orani üzerindeki etkileri. Elektronik Sosyal Bilimler Dergisi, 7(25), 170-196.
• Dumitrescu, E-I., ve Hurlin, C. (2012). Testing for Granger Non-causality in Heterogeneous Panels. Economic Modelling, Volume 29, Issue 4, July 2012, Pages 1450-1460.
• Eberhart, M., ve Teal F. (2010). Productivity analysis in the global manufacturing production. Department of Economics, University of Oxford.
• Gamber, E. ve Seliski, J. (2019). The effect of government debt on interest rates. Working Paper 2019-01.
• Göçer, İ. (2013). Ar-Ge Harcamalarının Yüksek Teknolojili Ürün İhracatı, Dış Ticaret Dengesi ve Ekonomik Büyüme Üzerindeki Etkileri. Maliye Dergisi, Sayı 163, 215-240.
• Hadri, K., ve Kurozumi, E. (2012). A simple panel stationarity test in the presence of serial correlation and a common factor. Economics Letters, 115(1), 31-34.
• Hassan, M. Ve Nassar, R. (2015). Empirical investigation of the relationship between long term interest rate and government debt and deficit spending. Journal of Economics and Economic Education Research, 16(1), 258.
• Hsing, Y. (2010). Government Debt and the Long-Term Interest Rate: Application of an Extended Open-Economy Loanable Funds Model to Poland. Managing Global Transitions: International Research Journal, 8(3).
• Kalulumia, P. (2002). Effects of government debt on interest rates: evidence from causality tests in johansen-type models. Université de Sherbrooke, Département d'économique.
• Kinoshita, N. (2006). Government debt and long-term interest rates (No. 2006-2063). International Monetary Fund.
• Laubach, T. (2009). New evidence on the interest rate effects of budget deficits and debt. Journal of the European Economic Association, 7(4), 858-885.
• Pesaran, M. Hashem (2004). General Diagnostic Tests for Cross Section Dependence in Panels, Cambridge Working Papers in Economics No.435, Cambridge.
• Peseran, M. H. (2006), A Simple Panel Unit Root Test in the Presence of Crosssection Dependecy, Cambridge Working Papers in Economics, 0346.
• Pesaran, M. Hashem. (2006). Estimation and Inference in Large Heterogeneous Panels with Multifactor Error Structure. Econometrica, 74, 967-1012.
• Pesaran, M. Hashem (2007). A Simple Panel Unit Root Test in the Presence of Cross-Section Dependence. Journal of Applied Econometrics, 22, 265- 312.
• Pesaran, M. Hashem ve Yamagata, Takashi (2008). Testing Slope Homogeneity in Large Panels. Journal of Econometrics, 142(1), 50-93.
• Pesaran, M. Hashem, Ullah, Aman ve Yamagata, Takashi (2008). A BiasAdjusted LM Test of Error Cross-Section Independence. Econometrics Journal, 11,105-127.
• Marattin, L. ve Salotti, S. (2010). The Euro-dividend: public debt and interest rates in the Monetary Union. Quaderni - Working Papers DSE No. 695
• Ogawa, K., Sterken, E. ve Tokutsu, I. (2016). Public debt, economic growth and the real interest rate: a panel VAR approach to EU and OECD countries. Economic Growth and the Real Interest Rate: A Panel VAR Approach to EU and OECD Countries (January 29, 2016).
• Paesani, P., Strauch, R. ve Kremer, M. (2006). Public debt and long-term interest rates: the case of Germany, Italy and the USA (No. 656). ECB working paper.
• Tanzi, V. Ve Lutz, M. S. (1991). Interest rates and government debt: are the linkages global rather than national? (No. 91-96). International Monetary Fund.
• Westerlund, J. (2007). Testing for error correction in panel data. Oxford Bulletin of Economics and Statistics, 69, 709-748.