Faiz Oranlarının Vade Yapısı ve Resesyon Tahmini: Gelişmekte Olan Ülke Örnekleri

Abstract

Developing countries have become the focus of foreign investments with the removal of restrictions on free movement of capital in global market. Although these countries have been considerably integrated to global financial markets since the 1990s, risks arising from uncertainty and volatility have been prominent for investors. Therefore, the assessment of risk in emerging markets and forecasting economic conditions have become important. Reflecting current and future expectations, interest rates used at conjunctural analysis are considered to be an important indicator. The aim of this study is to analyze the predictive power of the term structure of interest rates with updated data set, which includes impacts of global economic crisis originated from the US between 2007 – 2009. To this end, the spread differentials are obtained for South Africa, Turkey and Mexico and probit model is used to estimate recession probability. Although results of empirical analysis indicate that yield curve is a tool to forecast recession in South Africa, Turkey and Mexico, forecasting capability is considerably limited due to high inflation, economic and political uncertainties and volatility in financial indicators.