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Yield Curve Macroeconomy Linkage: Turkish Case

Year 2021, Volume: 8 Issue: 2, 197 - 222, 01.07.2021
https://doi.org/10.17541/optimum.799532

Abstract

This study aims to determine the macroeconomic variables affecting the term structure in Turkey. The term structure of interest rates is analyzed through the yield curve. After estimating the yield curve, the macroeconomic determinants of term structure of interest rates in Turkey are analyzed. The analysis is carried out with the Threshold VAR technique which is a nonlinear method. According to the findings of the study, the level parameter of the yield curve is determined by the inflation variable, and the output gap determines the slope parameter. The common determinants of the curvature 1 and curvature 2 parameters are the CDS variable. Besides curvature 1 is affected by the output gap, while curvature 2 is also affected by inflation. However, the relationship between the yield curve and the macroeconomy weakens in the upper regime. The differentiation between the regimes shows that the term structure of interest rates is affected asymmetrically by macroeconomic variables in Turkey.

References

  • Abbritti, M., Dell’Erba, S., Moreno, A., ve Sola, S. (2018). Global Factors in the Term Structure of Interest Rates. International Journal of Central Banking. 14(2): 301-340.
  • Abdymomunov, A., ve Kang, K. H. (2015). The effects of monetary policy regime shifts on the term structure of interest rates. Studies in Nonlinear Dynamics & Econometrics. 19(2): 183-207.
  • Afonso, A., Baxa, J., ve Slavík, M. (2018). Fiscal developments and financial stress: a threshold VAR analysis. Empirical Economics. 54(2): 395-423.
  • Afonso, A., Martins, M. (2012). Level, slope, curvature of the sovereign yield curve, and fiscal behaviour. Journal of Banking and Finance. 36(6): 1789–1807.
  • Aguiar-Conraria, L., Martins, M. M. ve Soares, M. J. (2012). The yield curve and the macro-economy across time and frequencies. Journal of Economic Dynamics and Control. 36(12): 1950-1970.
  • Akıncı, O., Gürcihan, B., Gürkaynak, R., ve Özel, O. (2006). Devlet İç Borçlanma Senetleri İçin Getiri Eğrisi Tahmini. TCMB Çalışma Tebliği. No. 06/08.
  • Ang, A., ve Piazzesi, M. (2003). A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables. Journal of Monetary economics. 50(4): 745-787.
  • Balke, N. S. (2000). Credit and Economic Activity: Credit Regimes and Nonlinear Propagation of Shocks. The Review of Economics and Statistics. 82(2): 344-349.
  • Bekaert, G., Cho, S. ve Moreno, A. (2003). New-Keynesian macroeconomics and the term structure. Columbia University Working Paper.
  • Bekaert, G., Cho, S. ve Moreno, A. (2010). New Keynesian macroeconomics and the term structure. Journal of Money, Credit and Banking: 42(1): 33–62.
  • Bianchi, F., Mumtaz, H. ve Surico. S. (2009). The great moderation of the term structure of UK interest rates. Journal of Monetary Economics. 56(6): 856–871.
  • Byrne, J., Cao, S., ve Korobilis, D. (2015). Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty. MPRA Paper No. 63844: 1-73.
  • Carriero, A., Kapetanios, G. ve Marcellino, M. (2012). Forecasting government bond yields with large Bayesian vector autoregressions. Journal of Banking & Finance. 36(7): 2026–2047.
  • Christensen, J. H. E.,Diebold, F. X. ve Rudebusch, G. D. (2007). The affine arbitrage‐free class of Nelson‐Siegel term structure models. Federal Reserve Bank of San Francisco working paper.
  • Çepni, O., Güney, İ. E., Küçüksaraç, D., ve Yılmaz, M. H. (2018). The Interaction between Yield Curve and Macroeconomic Factors. CBT Research Notes in Economics (No. 1802). Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  • Dar, A. B., Samantaraya, A., ve Shah, F. A. (2014). The predictive power of yield spread: evidence from wavelet analysis. Empirical Economics. 46(3): 887-901.
  • Diebold, F. X. Li, C. ve Yue, V. Z. (2008). Global yield curve dynamics and interactions: A dynamic nelson-siegel approach. Journal of Econometrics. 146(2): 351-363.
  • Diebold, F.X., Rudebusch, G. ve Aruoba, S.B. (2006). The macroeconomy and the yield curve: a dynamic latent factor approach. Journal of Econometrics. 131: 309–338.
  • Estrella, A., Rodrigues, A. P., ve Schich, S. (2003). How stable is the predictive power of the yield curve? Evidence from Germany and the United States. Review of Economics and Statistics. 85(3): 629-644.
  • Evans, C. L. ve Marshall, D.E. (2007). Economic determinants of the mominal treasury yield curve. Journal of Monetary Economics. 54: 1986-2003.
  • Fry-Mckibbin, R., ve Zheng, J. (2016). Effects of the US monetary policy shocks during financial crises–a threshold vector autoregression approach. Applied Economics. 48(59): 5802-5823.
  • Gallant, A. R., Rossi, P. E., ve Tauchen, G. (1993). Nonlinear dynamic structures. Econometrica: Journal of the Econometric Society. 871-907.
  • Gallegati, M., Ramsey, J. ve Semmler, W. (2014). Interest rate spreads and output: A time scale decomposition analysis using wavelets. Computational Statistics and Data Analysis. 76: 283-290.
  • Garcia, R., ve Luger, R. (2007). The Canadian macroeconomy and the yield curve: an equilibrium‐based approach. Canadian Journal of Economics/Revue canadienne d'économique. 40(2): 561-583.
  • Giacomini, R. ve Rossi, B. (2006). How Stable is the Forecasting Performance of the Yield Curve for Output Growth? Oxford Bulletin of Economics and Statistics. 68: 783-795.
  • Hurn, S., Phillips, P. C., & Shi, S. (2016). Change detection and the causal impact of the yield curve. Journal of Time Series Analysis, 39(6), 966-987.
  • Koop, G., Pesaran, M. H., ve Potter, S. M. (1996). Impulse response analysis in nonlinear multivariate models. Journal of Econometrics. 74(1): 119-147.
  • Lange, R. H. (2018). The term structure of liquidity premia and the macroeconomy in Canada: A dynamic latent-factor approach. International Review of Economics and Finance. 57: 164-182.
  • Levant, J. ve Ma, J. (2017). A dynamic Nelson-Siegel yield curve model with Markov switching. Economic Modelling. 67: 73-87.
  • Nelson, C. R. ve Seigel, A.F. (1987). Parsimonious Modeling of Yield Curves. Journal of Business. 60(3): 473-489.
  • Ojo, M. O., Aguiar-Conraria, L., ve Soares, M. J. (2017). A time-frequency analysis of the Canadian macroeconomy and the yield curve. NIPE Working Paper. 12: 1-24.
  • Öztürk, H. (2018). The shape of sovereign yield curve in an emerging economy: Do macroeconomic or external factors matter? Empirica: 1-30.
  • Rudebusch G. ve Wu, T. (2004). The recent shift in term structure behavior from a noarbitrage macro-finance perspective. Federal Reserve Bankof San Francisco Working Paper. No. 2004-25.
  • Rudebusch, G. D. ve Wu, T. (2008). A macrofinance model of the term structure, monetary policy and the economy. The Economic Journal. 118(530): 906-926.
  • Shen, C. H., ve Chiang, T. C. N. (1999). Retrieving the vanishing liquidity effect—A threshold vector autoregressive model. Journal of Economics and Business. 51(3): 259-277.
  • Startz, R. ve Tsang, K.P. (2010). An Unobserved Components Model of the Yield Curve. Journal of Money Credit Bank. 42(8): 1613–1640.
  • Tsay, R. S. (1998). Testing and modeling multivariate threshold models. Journal of the American Statistical Association. (93): 1188–1202. Wachter, J. (2006). A consumption-based model of the term structure of interest rates, Journal of Financial Economics. 79: 365–399.
  • Xiang, J., Zhu, X., (2013). A regime-switching Nelson–Siegel term structure model and interest rate forecasts. Journal of Financial Econometrics, 11(3): 522–555.

Getiri Eğrisi Makroekonomi Bağlantısı: Türkiye Örneği

Year 2021, Volume: 8 Issue: 2, 197 - 222, 01.07.2021
https://doi.org/10.17541/optimum.799532

Abstract

Bu çalışmanın amacı Türkiye’de faiz oranlarının vade yapısına etki eden makroekonomik değişkenlerin belirlenmesidir. Faiz oranlarının vade yapısı getiri eğrisi aracılığıyla analiz edilmektedir. Getiri eğrisinin tahmin edilmesinin ardından, Türkiye’de faiz oranlarının vade yapısının hangi makroekonomik değişkenler tarafından belirlendiği analiz edilmektedir. Söz konusu analiz, doğrusal olmayan bir yöntem olan; Eşik VAR (Threshold VAR-TVAR) tekniği ile gerçekleştirilmektedir. Çalışmanın bulgularına göre getiri eğrisinin seviye parametresi enflasyon değişkeni tarafından, eğim parametresi ise çıktı açığı tarafından belirlenmektedir. Eğrilik 1 ve eğrilik 2 parametrelerinin ortak belirleyicileri CDS değişkenidir. Ayrıca eğrilik 1 değişkeni çıktı açığından, eğrilik 2 değişkeni ise enflasyon değişkeninden etkilenmektedir. Bununla birlikte üst rejimde getiri eğrisi-makroekonomi ilişkisi zayıflamaktadır. Rejimler arasındaki farklılaşma Türkiye’de faiz oranlarının vade yapısının makroekonomik değişkenlerden asimetrik olarak etkilendiğini göstermektedir.

References

  • Abbritti, M., Dell’Erba, S., Moreno, A., ve Sola, S. (2018). Global Factors in the Term Structure of Interest Rates. International Journal of Central Banking. 14(2): 301-340.
  • Abdymomunov, A., ve Kang, K. H. (2015). The effects of monetary policy regime shifts on the term structure of interest rates. Studies in Nonlinear Dynamics & Econometrics. 19(2): 183-207.
  • Afonso, A., Baxa, J., ve Slavík, M. (2018). Fiscal developments and financial stress: a threshold VAR analysis. Empirical Economics. 54(2): 395-423.
  • Afonso, A., Martins, M. (2012). Level, slope, curvature of the sovereign yield curve, and fiscal behaviour. Journal of Banking and Finance. 36(6): 1789–1807.
  • Aguiar-Conraria, L., Martins, M. M. ve Soares, M. J. (2012). The yield curve and the macro-economy across time and frequencies. Journal of Economic Dynamics and Control. 36(12): 1950-1970.
  • Akıncı, O., Gürcihan, B., Gürkaynak, R., ve Özel, O. (2006). Devlet İç Borçlanma Senetleri İçin Getiri Eğrisi Tahmini. TCMB Çalışma Tebliği. No. 06/08.
  • Ang, A., ve Piazzesi, M. (2003). A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables. Journal of Monetary economics. 50(4): 745-787.
  • Balke, N. S. (2000). Credit and Economic Activity: Credit Regimes and Nonlinear Propagation of Shocks. The Review of Economics and Statistics. 82(2): 344-349.
  • Bekaert, G., Cho, S. ve Moreno, A. (2003). New-Keynesian macroeconomics and the term structure. Columbia University Working Paper.
  • Bekaert, G., Cho, S. ve Moreno, A. (2010). New Keynesian macroeconomics and the term structure. Journal of Money, Credit and Banking: 42(1): 33–62.
  • Bianchi, F., Mumtaz, H. ve Surico. S. (2009). The great moderation of the term structure of UK interest rates. Journal of Monetary Economics. 56(6): 856–871.
  • Byrne, J., Cao, S., ve Korobilis, D. (2015). Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty. MPRA Paper No. 63844: 1-73.
  • Carriero, A., Kapetanios, G. ve Marcellino, M. (2012). Forecasting government bond yields with large Bayesian vector autoregressions. Journal of Banking & Finance. 36(7): 2026–2047.
  • Christensen, J. H. E.,Diebold, F. X. ve Rudebusch, G. D. (2007). The affine arbitrage‐free class of Nelson‐Siegel term structure models. Federal Reserve Bank of San Francisco working paper.
  • Çepni, O., Güney, İ. E., Küçüksaraç, D., ve Yılmaz, M. H. (2018). The Interaction between Yield Curve and Macroeconomic Factors. CBT Research Notes in Economics (No. 1802). Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  • Dar, A. B., Samantaraya, A., ve Shah, F. A. (2014). The predictive power of yield spread: evidence from wavelet analysis. Empirical Economics. 46(3): 887-901.
  • Diebold, F. X. Li, C. ve Yue, V. Z. (2008). Global yield curve dynamics and interactions: A dynamic nelson-siegel approach. Journal of Econometrics. 146(2): 351-363.
  • Diebold, F.X., Rudebusch, G. ve Aruoba, S.B. (2006). The macroeconomy and the yield curve: a dynamic latent factor approach. Journal of Econometrics. 131: 309–338.
  • Estrella, A., Rodrigues, A. P., ve Schich, S. (2003). How stable is the predictive power of the yield curve? Evidence from Germany and the United States. Review of Economics and Statistics. 85(3): 629-644.
  • Evans, C. L. ve Marshall, D.E. (2007). Economic determinants of the mominal treasury yield curve. Journal of Monetary Economics. 54: 1986-2003.
  • Fry-Mckibbin, R., ve Zheng, J. (2016). Effects of the US monetary policy shocks during financial crises–a threshold vector autoregression approach. Applied Economics. 48(59): 5802-5823.
  • Gallant, A. R., Rossi, P. E., ve Tauchen, G. (1993). Nonlinear dynamic structures. Econometrica: Journal of the Econometric Society. 871-907.
  • Gallegati, M., Ramsey, J. ve Semmler, W. (2014). Interest rate spreads and output: A time scale decomposition analysis using wavelets. Computational Statistics and Data Analysis. 76: 283-290.
  • Garcia, R., ve Luger, R. (2007). The Canadian macroeconomy and the yield curve: an equilibrium‐based approach. Canadian Journal of Economics/Revue canadienne d'économique. 40(2): 561-583.
  • Giacomini, R. ve Rossi, B. (2006). How Stable is the Forecasting Performance of the Yield Curve for Output Growth? Oxford Bulletin of Economics and Statistics. 68: 783-795.
  • Hurn, S., Phillips, P. C., & Shi, S. (2016). Change detection and the causal impact of the yield curve. Journal of Time Series Analysis, 39(6), 966-987.
  • Koop, G., Pesaran, M. H., ve Potter, S. M. (1996). Impulse response analysis in nonlinear multivariate models. Journal of Econometrics. 74(1): 119-147.
  • Lange, R. H. (2018). The term structure of liquidity premia and the macroeconomy in Canada: A dynamic latent-factor approach. International Review of Economics and Finance. 57: 164-182.
  • Levant, J. ve Ma, J. (2017). A dynamic Nelson-Siegel yield curve model with Markov switching. Economic Modelling. 67: 73-87.
  • Nelson, C. R. ve Seigel, A.F. (1987). Parsimonious Modeling of Yield Curves. Journal of Business. 60(3): 473-489.
  • Ojo, M. O., Aguiar-Conraria, L., ve Soares, M. J. (2017). A time-frequency analysis of the Canadian macroeconomy and the yield curve. NIPE Working Paper. 12: 1-24.
  • Öztürk, H. (2018). The shape of sovereign yield curve in an emerging economy: Do macroeconomic or external factors matter? Empirica: 1-30.
  • Rudebusch G. ve Wu, T. (2004). The recent shift in term structure behavior from a noarbitrage macro-finance perspective. Federal Reserve Bankof San Francisco Working Paper. No. 2004-25.
  • Rudebusch, G. D. ve Wu, T. (2008). A macrofinance model of the term structure, monetary policy and the economy. The Economic Journal. 118(530): 906-926.
  • Shen, C. H., ve Chiang, T. C. N. (1999). Retrieving the vanishing liquidity effect—A threshold vector autoregressive model. Journal of Economics and Business. 51(3): 259-277.
  • Startz, R. ve Tsang, K.P. (2010). An Unobserved Components Model of the Yield Curve. Journal of Money Credit Bank. 42(8): 1613–1640.
  • Tsay, R. S. (1998). Testing and modeling multivariate threshold models. Journal of the American Statistical Association. (93): 1188–1202. Wachter, J. (2006). A consumption-based model of the term structure of interest rates, Journal of Financial Economics. 79: 365–399.
  • Xiang, J., Zhu, X., (2013). A regime-switching Nelson–Siegel term structure model and interest rate forecasts. Journal of Financial Econometrics, 11(3): 522–555.
There are 38 citations in total.

Details

Primary Language Turkish
Subjects Economics
Journal Section Articles
Authors

Osman Tuzun 0000-0002-4765-6985

Hakan Kahyaoğlu 0000-0002-6031-7494

Publication Date July 1, 2021
Submission Date September 24, 2020
Published in Issue Year 2021 Volume: 8 Issue: 2

Cite

APA Tuzun, O., & Kahyaoğlu, H. (2021). Getiri Eğrisi Makroekonomi Bağlantısı: Türkiye Örneği. Optimum Ekonomi Ve Yönetim Bilimleri Dergisi, 8(2), 197-222. https://doi.org/10.17541/optimum.799532
AMA Tuzun O, Kahyaoğlu H. Getiri Eğrisi Makroekonomi Bağlantısı: Türkiye Örneği. OJEMS. July 2021;8(2):197-222. doi:10.17541/optimum.799532
Chicago Tuzun, Osman, and Hakan Kahyaoğlu. “Getiri Eğrisi Makroekonomi Bağlantısı: Türkiye Örneği”. Optimum Ekonomi Ve Yönetim Bilimleri Dergisi 8, no. 2 (July 2021): 197-222. https://doi.org/10.17541/optimum.799532.
EndNote Tuzun O, Kahyaoğlu H (July 1, 2021) Getiri Eğrisi Makroekonomi Bağlantısı: Türkiye Örneği. Optimum Ekonomi ve Yönetim Bilimleri Dergisi 8 2 197–222.
IEEE O. Tuzun and H. Kahyaoğlu, “Getiri Eğrisi Makroekonomi Bağlantısı: Türkiye Örneği”, OJEMS, vol. 8, no. 2, pp. 197–222, 2021, doi: 10.17541/optimum.799532.
ISNAD Tuzun, Osman - Kahyaoğlu, Hakan. “Getiri Eğrisi Makroekonomi Bağlantısı: Türkiye Örneği”. Optimum Ekonomi ve Yönetim Bilimleri Dergisi 8/2 (July 2021), 197-222. https://doi.org/10.17541/optimum.799532.
JAMA Tuzun O, Kahyaoğlu H. Getiri Eğrisi Makroekonomi Bağlantısı: Türkiye Örneği. OJEMS. 2021;8:197–222.
MLA Tuzun, Osman and Hakan Kahyaoğlu. “Getiri Eğrisi Makroekonomi Bağlantısı: Türkiye Örneği”. Optimum Ekonomi Ve Yönetim Bilimleri Dergisi, vol. 8, no. 2, 2021, pp. 197-22, doi:10.17541/optimum.799532.
Vancouver Tuzun O, Kahyaoğlu H. Getiri Eğrisi Makroekonomi Bağlantısı: Türkiye Örneği. OJEMS. 2021;8(2):197-222.

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