Türkiye Ekonomisinde Faiz, Vade Yapısı, Enflasyon İlişkisi

Abstract

The relationship between term structure of interest rates and inflation has been widely discussed after the 1970s in the academic world. Especially for the developed countries, there are variety of analysis defending the opinion that the term structure of interest rates forecasts the future inflation. One of the financial indicators that can be used as a guide for future inflation is the term structure of interest rates in bonds and bills market. In addition to information in the term structure of interest rates, the information endorsed in the financial markets has become important in understanding of relationship between the term structure of interest rates and inflation. This article studies the information content of the term structure of interest rates of Turkish government bonds and bills. Using monthly data from January 2009 to December 2017, this article tests whether the term structure contains information about future interest rates, 1,3,6,9,12 months maturities are taken and formed six different series. After estimating January 2009-December 2017 period, another estimation is made for June 2010-December 2017 period due the affects of global crise in Turkish Economy. To examine the associated relationship the some econometric methods (Ordinary Least Square, Generalized Method of Moment, Autoregressive Conditional Heteroskedasticity Generalized Autoregressive Conditional Heteroskedasticity, Exponential GARCH) are used. Consequently the term structure of nominal interest rates will serve an indicator of future inflationary developments. The results suggest that, the term structure contains some information about future interest rates specially the medium-term segment and results are nearly consistent with the results of the studies for the developed countries.