Modelling of the Weighted Average Funding Cost of the CBRT: LNV-ARMA Approach

Year 2022, Volume: 30 Issue: 54, 243 - 256, 25.10.2022

Şiyar Canpolat

https://doi.org/10.17233/sosyoekonomi.2022.04.13

Abstract

In this study, we model the monthly time series of the Central Bank of the Republic of Turkey’s Weighted Average Funding Cost (Interest Rate) for the period between 2011:01-2020:12. In this framework, we establish and compare the linear and the nonlinear based various autoregressive (integrated) moving average models in two separate groups and investigate the most suitable model for the series. After all, we reveal that the relevant interest rate series can be modelled best with the LNV-ARMA(2,1) model for the related period. The first novelty of this study is that we model the relevant interest rate itself instead of investigating the relationship of this interest rate with the other macroeconomic variables. The second novelty of this study is that we circumvent the unit root problem and establish a more explanatory time series model by applying the LNV methodology.

Keywords

CBRT WAFC, LNV Methodology, ARIMA Models, Time Series, Turkey

TCMB Ağırlıklı Ortalama Fonlama Maliyetinin Modellenmesi: LNV-ARMA Yaklaşımı

Abstract

Bu çalışmada, 2011:01-2020:12 dönemine ait Türkiye Cumhuriyet Merkez Bankası Ağırlıklı Ortalama Fonlama Maliyeti (Faiz Oranı) aylık zaman serisi modellenmiştir. Bu çerçevede, iki ayrı grupta doğrusal ve doğrusal olmayan temelli çeşitli otoregresif (bütünleşik) hareketli ortalama modelleri kurularak karşılaştırılmış ve seriye en uygun model araştırılmıştır. Sonuç olarak, ilgili faiz oranı serisinin bahsi geçen dönem için en iyi LNV-ARMA(2,1) modeli ile modellenebileceği ortaya konmuştur. Bu çalışmanın ilk yeniliği, bu faiz oranının diğer makroekonomik değişkenlerle ilişkisini araştırmak yerine ilgili faiz oranının kendisini modellememizdir. Bu çalışmanın ikinci yeniliği, LNV metodolojisini uygulayarak birim kök sorununu aşmamız ve daha açıklayıcı bir zaman serisi modeli oluşturmamızdır.

Keywords

TCMB AOFM, LNV Metodolojisi, ARIMA Modelleri, Zaman Serileri, Türkiye

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