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Türkiye Ekonomisinde Getiri Farkı ve Ekonomik Büyüme İlişkisinin Quantile-on-Quantile Regresyon Yöntemiyle İncelenmesi

Year 2023, Volume: 9 Issue: 2, 317 - 329, 04.10.2023
https://doi.org/10.20979/ueyd.1348914

Abstract

Kısa ve uzun vadeli tahvillerin faiz oranları arasındaki farkı yansıtan getiri farkı, Getiri Eğrisi’nin eğimi takip edilerek izlenebilmektedir. Getiri farkı, barındırdığı içsel bilgi yanında iktisadi değişkenlerin gelecekteki seyri ile ilgili piyasalara sinyal verebilmektedir. Bu sinyallerden bir tanesi de gelecekte iktisadi üretimin izleyeceği döngünün yönüdür. Bu çalışmada, Türkiye özelindeki 5 yıl ve 10 yıl vadeli Hazine Tahvili faiz oranları ile 2 yıl vadeli Hazine Tahvili faiz oranları arasındaki getiri farkları hesaplanarak ekonomik büyüme üzerindeki etkileri, Ocak 2006 ile Haziran 2023 dönemini kapsayacak şekilde incelenmektedir. Quantile-on-Quantile Regresyon Yöntemi, Quantile Regresyon Yöntemi ve En Küçük Kareler Yöntemi bulguları, literatürle uyumlu olacak şekilde Getiri Eğrisi’nin eğimi ile ekonomik büyüme arasındaki pozitif ilişkiye işaret etmektedir. Quantile-on-Quantile Regresyon Yöntemi ile elde edilen bulgular, dağılımın asimetrik etkilerini diğer yöntemlere göre daha belirgin olarak ortaya koyabilmektedir. Politika yapıcıların Getiri Eğrisi’nin eğimini yakından takip etmeleri ve bunun yanında uzun vadeli faizlerin kısa vadeli faizleri aşan kısmının iktisadi büyümeyi etkileme derecesini bağımlı ve bağımsız değişkenlerin dağılımını gözeterek değerlendirmeleri önem taşımaktadır.

Thanks

Çalışmamıza sağladıkları katkı ve ayırdıkları değerli zamanları için Sayın Editör ve Hakemlere en içten teşekkürlerimizi sunarız.

References

  • Abdymomunov, A. (2013). Predicting Output Using the Entire Yield Curve. Journal of Macroeconomics, 37, 333-344.
  • Almeida, C., Gomes, R., Leite, A. ve Vicente, J. (2007). Does Curvature Enhance Foresting? Central Bank of Brazil Research Department, Working Paper Series, 155.
  • Apergis, N., Mustafa, G. ve Malik, S. (2023). The Role of the COVID-19 Pandemic in the US Market Volatility: Evidence from the VIX Index. Quarterly Review of Economics and Finance, 89, 27-35.
  • Bauer, M. D. ve Mertens, T. M. (2018). Economic Forecasts with the Yield Curve. FRBSF Economic Letter, 7, 2018-07.
  • Chen, J., Wang, Y. ve Ren, X. (2023). Asymmetric Effect of Financial Stress on China’s Precious Metals Market: Evidence from a Quantile-on-Quantile Regression. Research in International Business and Finance. Advance online publication.
  • Clarida, R., Gali, J. ve Gertler, M. (2000). Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory. The Quarterly Journal of Economics, 115(1), 147-180.
  • Diebold, F. X. ve Li, C. (2006). Forecasting the Term Structure of Government Bond Yields. Journal of Econometrics, 130(2), 337-364.
  • Ge, Z. (2023). The Asymmetric Impact of Oil Price Shocks on China Stock Market: Evidence from Quantile-on-Quantile Regression. Quarterly Review of Economics and Finance, 89, 120-125.
  • Goodfriend, M. ve King, R. G. (2005). The Incredible Volcker Disinflation. Journal of Monetary Economics, 52, 981-1015.
  • Gupta, R., Pierdzioch, C., Selmi, R. ve Wohar, M. E. (2018). Does Partisan Conflict Predict a Reduction in US Stock Market (Realized) Volatility? Evidence from a Quantile-on-Quantile Regression Model. North American Journal of Economics and Finance, 43, 87-96.
  • Haubrich, J. G. ve Dombrosky, A. M. (1996). Predicting Real Growth Using the Yield Curve. Economic Review, 32(1), 26-35.
  • Investing.com. (n.d.a). Turkey 2-Year Bond Historical Data. https://www.investing.com/rates-bonds/turkey-2-year-bond-yield-historical-data (Erişim Tarihi: 25.06.2023)
  • Investing.com. (n.d.b). Turkey 5-Year Bond Historical Data. https://www.investing.com/rates-bonds/turkey-5-year-bond-yield-historical-data (Erişim Tarihi: 25.06.2023)
  • Investing.com. (n.d.c). Turkey 10-Year Bond Historical Data. https://www.investing.com/rates-bonds/turkey-10-year-bond-yield-historical-data (Erişim Tarihi: 25.06.2023)
  • Joo, Y. ve Park, S. Y. (2021). The Impact of Oil Price Volatility on Stock Markets: Evidences from Oil-Importing Countries. Energy Economics, 101, 1-13.
  • Khomo, M. M. ve Aziakpono, M. J. (2007). Forecasting Recession in South Africa: A Comparison of the Yield Curve and Other Economic Indicators. South African Journal of Economics, 75(2), 194-212.
  • Koenker, R. ve Bassett, G. (1978). Regression Quantiles. Econometrica, 46(1), 33-50.
  • Kumar, R. R., Stauvermann, P. J. ve Vu, H. T. T. (2021). The Relationship Between Yield Curve and Economic Activity: An Analysis of G7 Countries. Journal of Risk and Financial Management, 14, 1-23.
  • Min, J. C., Wang, M. C. ve Chang, T. (2022). Revisiting the Taiwan Tourism and Economic Growth Nexus: The Role of the Impact of COVID-19 Using Quantile on Quantile Approach. Applied Economics Letters, 1-5.
  • Mishkin, F. S. (2016). The Economics of Money, Banking, and Financial Markets. United States: Pearson.
  • Naifar, N., Shahzad, S. J. H. ve Hammoudeh, S. (2020). Dynamic Nonlinear Impacts of Oil Price Returns and Financial Uncertainties on Credit Risks of Oil-Exporting Countries. Energy Economics, 88, 1-12.
  • Nelson, C. R. ve Siegel, A. F. (1987). Parsimonious Modeling of Yield Curves. The Journal of Business, 60(4), 473-489.
  • Nyholm, K. (2015). A Rotated Dynamic Nelson-Siegel Model with Macro-Financial Applications. European Central Bank Working Paper No. 1851, September, 1-40.
  • Oboh, V. U. ve Abdulsalam, S. A. (2021). Can the Yield Curve Predict Economic Growth Performance? Empirical Evidence from Nigeria. Research Journal of Finance and Accounting, 12(10), 38-45.
  • Pilbeam, K. (2018). Finance and Financial Markets. London: Palgrave Macmillan Education.
  • Santamaria, D. ve Filis, G. (2019). Tourism Demand and Economic Growth in Spain: New Insights Based on the Yield Curve. Tourism Management, 75, 447-459.
  • Sihombing, P., Siregar, H., Manurung H. A. ve Santosa, P. W. (2012). Determinants of the Indonesia Government Yield Curve. International Journal of Information Technology and Business Management, 25(1), 22-37.
  • Sim, N. ve Zhou, H. (2015). Oil Prices, US Stock Return and the Dependence between Their Quantiles. Journal of Banking and Finance, 55, 1-8.
  • Sui, M., Rengifo, E. W. ve Court, E. (2021). Gold, Inflation and Exchange Rate in Dollarized Economies: A Comparative Study of Turkey, Peru and the United States. International Review of Economics and Finance, 71, 82-99.
  • Tahmiscioğlu, N. A. (2022). Getiri Eğrisi Modellerinin Tahmin Performansının Karşılaştırmalı Analizi: Türkiye Örneği. Türkiye Cumhuriyet Merkez Bankası Piyasalar Genel Müdürlüğü Uzmanlık Tezi, Ankara.
  • Tarkoçin, C. ve Taştan, H. (2008). Getiri Eğrisi Tahmin Yöntemlerinin Türkiye Piyasası için Performanslarının Kıyaslanması. (Yayınlanmamış Makale).
  • TCMB (t.y.). Elektronik Veri Dağıtım Sistemi (EVDS). https://evds2.tcmb.gov.tr (Erişim Tarihi: 25.06.2023)
  • TCMB (2023). 22 Haziran 2023 Tarihli Para Politikası Kurulu Kararı. Türkiye Cumhuriyet Merkez Bankası, Sayı: 2023-2. https://tcmb.gov.tr/wps/wcm/connect/TR/TCMB+TR/Main+Menu/Duyurular/Basin/2023/DUY2023-22 (Erişim Tarihi: 27 Haziran 2023)
  • Tüzün, O. ve Ekinci, R. (2019). Getiri Eğrisi Banka Kârlılığını Nasıl Etkiler? Dinamik Panel Veri Analizi Bulguları. Business and Management Studies, 7(5), 2596-2609.
  • World Government Bonds (2023). Turkey Government Bonds: Yields Curve. http://www.worldgovernmentbonds.com/country/turkey. (Erişim Tarihi: 27.06.2023).
  • Yamak, R. ve Tanrıöver, B. (2009). Faiz Oranı, Getiri Farkı ve Ekonomik Büyüme: Türkiye Örneği (1990-2006). Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 24(1), 43-58.
  • Yang, P. R. (2020). Using the Yield Curve to Forecast Economic Growth. Journal of Forecasting, 39, 1057-1080.

Examining the Relationship Between Yield Spread and Economic Growth in the Turkish Economy Using the Quantile-on-Quantile Regression Method

Year 2023, Volume: 9 Issue: 2, 317 - 329, 04.10.2023
https://doi.org/10.20979/ueyd.1348914

Abstract

Yield spread, which reflects the difference between the interest rates of short-term and long-term bonds, can be observed by tracking the slope of the Yield Curve. Besides its inherent informational content, yield spread can also signal to the markets about the future trajectory of economic variables. One of these signals is the direction of the economic cycle that will be followed by economic production in the future. In this study, the effects of yield spread on economic growth are examined by calculating yield spreads between 5-year and 10-year maturity Treasury Bond interest rates with 2-year maturity Treasury Bond interest rates in the context of Türkiye, spanning the period from January 2006 to June 2023. Findings from the Quantile-on-Quantile Regression Method, Quantile Regression Method, and Ordinary Least Squares Method indicate a positive relationship between the slope of the Yield Curve and economic growth, in line with the literature. The findings obtained through the Quantile-on-Quantile Regression Method can more distinctly highlight the asymmetric effects of the distribution compared to other methods. It is important for policymakers to closely monitor the slope of the Yield Curve and evaluate the extent to which the portion of long-term interest rates exceeding short-term interest rates affects economic growth, considering the distribution of dependent and independent variables.

References

  • Abdymomunov, A. (2013). Predicting Output Using the Entire Yield Curve. Journal of Macroeconomics, 37, 333-344.
  • Almeida, C., Gomes, R., Leite, A. ve Vicente, J. (2007). Does Curvature Enhance Foresting? Central Bank of Brazil Research Department, Working Paper Series, 155.
  • Apergis, N., Mustafa, G. ve Malik, S. (2023). The Role of the COVID-19 Pandemic in the US Market Volatility: Evidence from the VIX Index. Quarterly Review of Economics and Finance, 89, 27-35.
  • Bauer, M. D. ve Mertens, T. M. (2018). Economic Forecasts with the Yield Curve. FRBSF Economic Letter, 7, 2018-07.
  • Chen, J., Wang, Y. ve Ren, X. (2023). Asymmetric Effect of Financial Stress on China’s Precious Metals Market: Evidence from a Quantile-on-Quantile Regression. Research in International Business and Finance. Advance online publication.
  • Clarida, R., Gali, J. ve Gertler, M. (2000). Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory. The Quarterly Journal of Economics, 115(1), 147-180.
  • Diebold, F. X. ve Li, C. (2006). Forecasting the Term Structure of Government Bond Yields. Journal of Econometrics, 130(2), 337-364.
  • Ge, Z. (2023). The Asymmetric Impact of Oil Price Shocks on China Stock Market: Evidence from Quantile-on-Quantile Regression. Quarterly Review of Economics and Finance, 89, 120-125.
  • Goodfriend, M. ve King, R. G. (2005). The Incredible Volcker Disinflation. Journal of Monetary Economics, 52, 981-1015.
  • Gupta, R., Pierdzioch, C., Selmi, R. ve Wohar, M. E. (2018). Does Partisan Conflict Predict a Reduction in US Stock Market (Realized) Volatility? Evidence from a Quantile-on-Quantile Regression Model. North American Journal of Economics and Finance, 43, 87-96.
  • Haubrich, J. G. ve Dombrosky, A. M. (1996). Predicting Real Growth Using the Yield Curve. Economic Review, 32(1), 26-35.
  • Investing.com. (n.d.a). Turkey 2-Year Bond Historical Data. https://www.investing.com/rates-bonds/turkey-2-year-bond-yield-historical-data (Erişim Tarihi: 25.06.2023)
  • Investing.com. (n.d.b). Turkey 5-Year Bond Historical Data. https://www.investing.com/rates-bonds/turkey-5-year-bond-yield-historical-data (Erişim Tarihi: 25.06.2023)
  • Investing.com. (n.d.c). Turkey 10-Year Bond Historical Data. https://www.investing.com/rates-bonds/turkey-10-year-bond-yield-historical-data (Erişim Tarihi: 25.06.2023)
  • Joo, Y. ve Park, S. Y. (2021). The Impact of Oil Price Volatility on Stock Markets: Evidences from Oil-Importing Countries. Energy Economics, 101, 1-13.
  • Khomo, M. M. ve Aziakpono, M. J. (2007). Forecasting Recession in South Africa: A Comparison of the Yield Curve and Other Economic Indicators. South African Journal of Economics, 75(2), 194-212.
  • Koenker, R. ve Bassett, G. (1978). Regression Quantiles. Econometrica, 46(1), 33-50.
  • Kumar, R. R., Stauvermann, P. J. ve Vu, H. T. T. (2021). The Relationship Between Yield Curve and Economic Activity: An Analysis of G7 Countries. Journal of Risk and Financial Management, 14, 1-23.
  • Min, J. C., Wang, M. C. ve Chang, T. (2022). Revisiting the Taiwan Tourism and Economic Growth Nexus: The Role of the Impact of COVID-19 Using Quantile on Quantile Approach. Applied Economics Letters, 1-5.
  • Mishkin, F. S. (2016). The Economics of Money, Banking, and Financial Markets. United States: Pearson.
  • Naifar, N., Shahzad, S. J. H. ve Hammoudeh, S. (2020). Dynamic Nonlinear Impacts of Oil Price Returns and Financial Uncertainties on Credit Risks of Oil-Exporting Countries. Energy Economics, 88, 1-12.
  • Nelson, C. R. ve Siegel, A. F. (1987). Parsimonious Modeling of Yield Curves. The Journal of Business, 60(4), 473-489.
  • Nyholm, K. (2015). A Rotated Dynamic Nelson-Siegel Model with Macro-Financial Applications. European Central Bank Working Paper No. 1851, September, 1-40.
  • Oboh, V. U. ve Abdulsalam, S. A. (2021). Can the Yield Curve Predict Economic Growth Performance? Empirical Evidence from Nigeria. Research Journal of Finance and Accounting, 12(10), 38-45.
  • Pilbeam, K. (2018). Finance and Financial Markets. London: Palgrave Macmillan Education.
  • Santamaria, D. ve Filis, G. (2019). Tourism Demand and Economic Growth in Spain: New Insights Based on the Yield Curve. Tourism Management, 75, 447-459.
  • Sihombing, P., Siregar, H., Manurung H. A. ve Santosa, P. W. (2012). Determinants of the Indonesia Government Yield Curve. International Journal of Information Technology and Business Management, 25(1), 22-37.
  • Sim, N. ve Zhou, H. (2015). Oil Prices, US Stock Return and the Dependence between Their Quantiles. Journal of Banking and Finance, 55, 1-8.
  • Sui, M., Rengifo, E. W. ve Court, E. (2021). Gold, Inflation and Exchange Rate in Dollarized Economies: A Comparative Study of Turkey, Peru and the United States. International Review of Economics and Finance, 71, 82-99.
  • Tahmiscioğlu, N. A. (2022). Getiri Eğrisi Modellerinin Tahmin Performansının Karşılaştırmalı Analizi: Türkiye Örneği. Türkiye Cumhuriyet Merkez Bankası Piyasalar Genel Müdürlüğü Uzmanlık Tezi, Ankara.
  • Tarkoçin, C. ve Taştan, H. (2008). Getiri Eğrisi Tahmin Yöntemlerinin Türkiye Piyasası için Performanslarının Kıyaslanması. (Yayınlanmamış Makale).
  • TCMB (t.y.). Elektronik Veri Dağıtım Sistemi (EVDS). https://evds2.tcmb.gov.tr (Erişim Tarihi: 25.06.2023)
  • TCMB (2023). 22 Haziran 2023 Tarihli Para Politikası Kurulu Kararı. Türkiye Cumhuriyet Merkez Bankası, Sayı: 2023-2. https://tcmb.gov.tr/wps/wcm/connect/TR/TCMB+TR/Main+Menu/Duyurular/Basin/2023/DUY2023-22 (Erişim Tarihi: 27 Haziran 2023)
  • Tüzün, O. ve Ekinci, R. (2019). Getiri Eğrisi Banka Kârlılığını Nasıl Etkiler? Dinamik Panel Veri Analizi Bulguları. Business and Management Studies, 7(5), 2596-2609.
  • World Government Bonds (2023). Turkey Government Bonds: Yields Curve. http://www.worldgovernmentbonds.com/country/turkey. (Erişim Tarihi: 27.06.2023).
  • Yamak, R. ve Tanrıöver, B. (2009). Faiz Oranı, Getiri Farkı ve Ekonomik Büyüme: Türkiye Örneği (1990-2006). Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 24(1), 43-58.
  • Yang, P. R. (2020). Using the Yield Curve to Forecast Economic Growth. Journal of Forecasting, 39, 1057-1080.
There are 37 citations in total.

Details

Primary Language Turkish
Subjects Applied Economics (Other)
Journal Section Research Articles
Authors

Göktuğ Şahin 0000-0001-9925-9132

Afşin Şahin 0000-0001-7389-5923

Early Pub Date September 15, 2023
Publication Date October 4, 2023
Submission Date August 23, 2023
Published in Issue Year 2023 Volume: 9 Issue: 2

Cite

APA Şahin, G., & Şahin, A. (2023). Türkiye Ekonomisinde Getiri Farkı ve Ekonomik Büyüme İlişkisinin Quantile-on-Quantile Regresyon Yöntemiyle İncelenmesi. Uluslararası Ekonomi Ve Yenilik Dergisi, 9(2), 317-329. https://doi.org/10.20979/ueyd.1348914

International Journal of Economics and Innovation

Karadeniz Technical University, Department of Economics, 61080, Trabzon/Türkiye
28816