Economic Policy Uncertainty, Interest Rates And Inflation: Evidence From Selected Latin American Emerging Markets

Year 2022, Volume: 7 Issue: 2, 578 - 590, 30.12.2022

Deniz Aytaç , Taha Bahadır Saraç

Abstract

In this study, the relationship between the economic policy uncertainty index, interest and inflation rates between 1998 and 2020 in Latin American countries, Colombia, Chile, Mexico and Brazil, which are among the emerging markets, was analyzed with the TVP-VAR model. As a result of TVP-VAR analysis, it was concluded that there is a positive relationship between inflation, interest rates and economic policy uncertainty index in the short run in Colombia, Chile and Brazil. In the Mexican economy, on the other hand, it has been determined that there is a positive relationship between the inflation rate and the economic policy uncertainty index in the short run and a negative relationship with interest rates. As the period gets longer, the relationship between the variables changes positively. In addition, it was concluded that the effect of the economic policy uncertainty index on inflation and interest rates in the countries examined in the study is close to 0 in the long run. In Colombia, Chile, Brazil and Mexico, inflation and interest rates affect the economic policy uncertainty index, may cause uncertainty in variables, and economic expectations may be adversely affected by this situation.

Keywords

EPU, Inflation, Interest Rate, TVP-VAR

Ekonomik Politika Belirsizliği, Faiz Oranları ve Enflasyon:Seçili Latin Amerika Yükselen Piyasalarından Bulgular

Abstract

Bu çalışmada, gelişmekte olan piyasalar içinde yer alan Latin Amerika ülkelerinden, Kolombiya, Şili, Meksika ve Brezilya'da 1998-2020 yılları arasında ekonomi politikası belirsizlik endeksi, faiz ve enflasyon oranları arasındaki ilişki TVP-VAR modeli ile analiz edilmiştir. TVP-VAR analizi sonucunda Kolombiya, Şili ve Brezilya'da kısa dönemde enflasyon, faiz oranları ve ekonomi politikası belirsizlik endeksi arasında pozitif bir ilişki olduğu sonucuna varılmıştır. Meksika ekonomisinde ise kısa dönemde enflasyon oranı ile ekonomi politikası belirsizlik endeksi arasında pozitif, faiz oranları ile negatif bir ilişkinin olduğu tespit edilmiştir. Dönem uzadıkça değişkenler arası ilişki poztife doğru değişim göstermektedir. Ayrıca çalışmada incelenen ülkelerde ekonomi politikası belirsizlik endeksinin enflasyon ve faiz oranları üzerindeki etkisinin uzun dönemde 0'a yakın olduğu sonucuna ulaşılmıştır. Kolombiya, Şili, Brezilya ve Meksika'da enflasyon ve faiz oranları ekonomi politikası belirsizlik endeksini etkilemekte, değişkenlerde belirsizliğe yol açabilmekte ve ekonomik beklentiler bu durumdan olumsuz etkilenebilmektedir.

Keywords

EPU, Enflasyon, Faiz Oranı, TVP-VAR

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