Getiri farkı resesyonu tahmin edebilir mi? Türkiye sanayi üretimi örneği

Year 2020, - Turkish Economy, 16 - 21, 31.03.2020

Uğur Akkoç

Abstract

Farklı vadelerdeki finansal araçların getirilerini kıyaslayan verim eğrisi ya da eğrinin eğimine eşit olan getiri farkı çoğunlukla gelecek dönem ekonomik performansın önemli bir tahmin edicisi olarak kabul edilir. Bu çalışma Türkiye’de 2006-2020 döneminde getiri farkı ile sanayi üretimi yardımıyla hesaplanan durgunluklar arasındaki ilişkiyi incelemektedir. Çalışma, Türkiye’de küresel finansal kriz sonrasındaki dönemi incelemesi ve uzun vadeli tarafta beş yıllık devlet tahvillerinin getirilerini kullanması nedeniyle literatüre katkı sağlamaktadır. Probit yöntemiyle gerçekleştirilen tahmin sonuçlarına göre, incelenen dönemde getiri farkı ile sanayi üretimindeki durgunluklar arasında negatif bir ilişki gözlenmektedir. Getiri farkında meydana gelen artışlar durgunluk ihtimalini arttırmaktadır, bir başka deyişle sanayi üretimini negatif etkilemektedir. Türkiye’de getiri farkı ile sanayi üretimindeki durgunlukların pozitif ilişkide olduğu ancak bu ilişkinin çoğunlukla tersine dönmüş verim eğrisinden kaynaklandığı savunulabilir. Sonuç olarak, Türkiye’de verim eğrisinin vade yapısı bileşenlerinin etkileri incelenirken piyasa şartlarının kontrol edilmesinin oldukça önemli olduğu anlaşılmaktadır.

Keywords

Verim eğrisi, Getiri farkı, Sanayi üretimi, Resesyon, Faiz

Does the Yield Spread Predict Recession? A Case of the Turkish Industrial Production

Abstract

The yield curve that compares the returns of financial instruments with different maturities, or the difference in return equal to the slope of the curve, is often considered an important predictor of future economic performance. This study examines the relationship between the recession of industrial production and yield spread in Turkey during the period 2006-2020. It contributes to the literature because of the two reasons: The period of investigation is in the aftermath of the global financial crisis in Turkey, and on the long-term side it uses the return on five-year government bonds. According to the estimation results made by the Probit method, it proposes a positive relationship between the yield spread and the recessions in industrial production. Rising the spread increases the probability of recession, in other words, it negatively affects industrial production. It can be argued that there is a positive relationship between spread and the possibility of a recession in industrial production on Turkey, so this link caused by an inverted yield curve. inverted yield curve causes a negative-positive relationship. As a result, controlling the market structure while investigating the effect of the term structure of the yield curve in Turkey is very important.

Keywords

Yield curve, Spread, Industrial production, Recession, Interest rate

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