Yıl 2018, Cilt 5, Sayı 3, Sayfalar 977 - 990 2018-12-27

TÜRKİYE’DE ENFLASYON BELİRSİZLİĞİ İLE FAİZ ORANI ARASINDAKİ NEDENSELLİK İLIŞKİSİ: KAYAN PENCERE NEDENSELLİK TESTİ
THE CASUAL RELATIONSHIP BETWEEN INFLATION UNCERTAINTY AND INTEREST RATE IN TURKEY: ROLLING WINDOW CAUSALITY TEST

Fatih CEYLAN [1] , Osman TÜZÜN [2] , Ramazan EKİNCİ [3] , Işıl EREM CEYLAN [4]

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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. 

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.

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Orcid: 0000-0002-3685-2032
Yazar: Fatih CEYLAN
Kurum: DOKUZ EYLUL UNIVERSITY, FACULTY OF ECONOMICS AND ADMINISTRATIVE SCIENCES
Ülke: Turkey


Orcid: 0000-0002-4765-6985
Yazar: Osman TÜZÜN (Sorumlu Yazar)
Kurum: DOKUZ EYLUL UNIVERSITY, FACULTY OF ECONOMICS AND ADMINISTRATIVE SCIENCES
Ülke: Turkey


Orcid: 0000-0001-7420-9841
Yazar: Ramazan EKİNCİ
Kurum: DOKUZ EYLUL UNIVERSITY, FACULTY OF ECONOMICS AND ADMINISTRATIVE SCIENCES
Ülke: Turkey


Orcid: 0000-0001-6825-8495
Yazar: Işıl EREM CEYLAN
Kurum: UŞAK ÜNİVERSİTESİ, İKTİSADİ VE İDARİ BİLİMLER FAKÜLTESİ
Ülke: Turkey


Bibtex @araştırma makalesi { makuiibf420613, journal = {Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi}, issn = {}, eissn = {2149-1658}, address = {Mehmet Akif Ersoy Üniversitesi}, year = {2018}, volume = {5}, pages = {977 - 990}, doi = {10.30798/makuiibf.420613}, title = {THE CASUAL RELATIONSHIP BETWEEN INFLATION UNCERTAINTY AND INTEREST RATE IN TURKEY: ROLLING WINDOW CAUSALITY TEST}, key = {cite}, author = {EKİNCİ, Ramazan and TÜZÜN, Osman and EREM CEYLAN, Işıl and CEYLAN, Fatih} }
APA CEYLAN, F , TÜZÜN, O , EKİNCİ, R , EREM CEYLAN, I . (2018). THE CASUAL RELATIONSHIP BETWEEN INFLATION UNCERTAINTY AND INTEREST RATE IN TURKEY: ROLLING WINDOW CAUSALITY TEST. Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 5 (3), 977-990. DOI: 10.30798/makuiibf.420613
MLA CEYLAN, F , TÜZÜN, O , EKİNCİ, R , EREM CEYLAN, I . "THE CASUAL RELATIONSHIP BETWEEN INFLATION UNCERTAINTY AND INTEREST RATE IN TURKEY: ROLLING WINDOW CAUSALITY TEST". Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 5 (2018): 977-990 <http://dergipark.gov.tr/makuiibf/issue/41626/420613>
Chicago CEYLAN, F , TÜZÜN, O , EKİNCİ, R , EREM CEYLAN, I . "THE CASUAL RELATIONSHIP BETWEEN INFLATION UNCERTAINTY AND INTEREST RATE IN TURKEY: ROLLING WINDOW CAUSALITY TEST". Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 5 (2018): 977-990
RIS TY - JOUR T1 - THE CASUAL RELATIONSHIP BETWEEN INFLATION UNCERTAINTY AND INTEREST RATE IN TURKEY: ROLLING WINDOW CAUSALITY TEST AU - Fatih CEYLAN , Osman TÜZÜN , Ramazan EKİNCİ , Işıl EREM CEYLAN Y1 - 2018 PY - 2018 N1 - doi: 10.30798/makuiibf.420613 DO - 10.30798/makuiibf.420613 T2 - Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi JF - Journal JO - JOR SP - 977 EP - 990 VL - 5 IS - 3 SN - -2149-1658 M3 - doi: 10.30798/makuiibf.420613 UR - http://dx.doi.org/10.30798/makuiibf.420613 Y2 - 2018 ER -
EndNote %0 Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi THE CASUAL RELATIONSHIP BETWEEN INFLATION UNCERTAINTY AND INTEREST RATE IN TURKEY: ROLLING WINDOW CAUSALITY TEST %A Fatih CEYLAN , Osman TÜZÜN , Ramazan EKİNCİ , Işıl EREM CEYLAN %T THE CASUAL RELATIONSHIP BETWEEN INFLATION UNCERTAINTY AND INTEREST RATE IN TURKEY: ROLLING WINDOW CAUSALITY TEST %D 2018 %J Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi %P -2149-1658 %V 5 %N 3 %R doi: 10.30798/makuiibf.420613 %U 10.30798/makuiibf.420613
ISNAD CEYLAN, Fatih , TÜZÜN, Osman , EKİNCİ, Ramazan , EREM CEYLAN, Işıl . "TÜRKİYE’DE ENFLASYON BELİRSİZLİĞİ İLE FAİZ ORANI ARASINDAKİ NEDENSELLİK İLIŞKİSİ: KAYAN PENCERE NEDENSELLİK TESTİ". Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 5 / 3 (Aralık 2018): 977-990. http://dx.doi.org/10.30798/makuiibf.420613