ANALYSIS OF THE RELATIONSHIP BETWEEN INFLATION AND INTEREST RATES IN TURKEY: FOURIER APPROACH

Yıl 2019, Sayı: 22, 135 - 146, 01.01.2019

Esra N. Kılcı

https://doi.org/10.18092/ulikidince.426035

Cited By: 4

Öz

2006 yılından itibaren uygulanan enflasyon hedeflemesi programı
doğrultusunda, Türkiye Cumhuriyeti Merkez Bankası’nın temel amacı, fiyat
istikrarını sağlamak ve sürdürmektir. Merkez Bankası’nın bağımsızlığı
prensibinin bir sonucu olarak, TCMB, uygulayacağı para politikasını ve politika
araçlarını belirlemektedir. Bu çerçevede, TCMB fiyat istikrarını sağlamak ve
aynı zamanda fiyat istikrarını tehdit etme potansiyeline sahip finansal
riskleri kontrol etmeye yönelik olarak finansal istikrarı sürdürmek için haftalık
repo oranını, gecelik borçlanma ve borç verme oranları arasindaki faiz oranı
koridorunu ve karşılık oranlarını kullanmaktadır. Bu çalışmanın amacı,
2005-2017 döneminde, faiz oranları (gecelik repo oranları) ve enflasyon (TÜFE)
oranı arasındaki uzun dönemli ilişkiyi Fourier Eş-bütünleşme Testi yardımıyla araştırmaktır.
Çalışma sonuçları, gecelik repo oranları ve TÜFE verisi arasında uzun dönemli
bir ilişki olduğunu göstermektedir. 

Anahtar Kelimeler

Fiyat İstikrarı, TCMB, Faiz Oranları, Enflasyon

ANALYSIS OF THE RELATIONSHIP BETWEEN INFLATION AND INTEREST RATES IN TURKEY: FOURIER APPROACH

Öz

Within the framework of inflation targeting regime officially
implemented since 2006, the primary objective of the Central Bank Republic of
Turkey is to achieve and maintain price stability. As a result of instrumental
independence, the CBRT determines the monetary policy it would implement and
the policy instruments it would use in achieving and maintaining price
stability. In this context, The CBRT uses a policy mix including one-week repo
rate, the interest rate corridor between O/N borrowing and lending rates, and reserve
requirements to achieve price stability and to provide financial stability with
regard to controlling of financial risks which have the potential to threat
price stability. The aim of this study is to investigate the long-term
relationship between the O/N repo rates to approximate interest rates and the
consumer price index to approximate price changes during the period of 2005-2017.
Using monthly data, the Fourier Co-integration Test is employed to test the
relationship between O/N repo rates and CPI. The findings indicate that there
is long-term relationship between O/N repo rates and CPI. 

Anahtar Kelimeler

Price Stability, CBRT, Interest Rates, Inflation

Kaynakça

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