The Inflation-Interest Rate Relationship In The Turkish Economy: Evidence of Cointegration And Granger Causality

Erkan Sarsıcı

Makale detayları

The Inflation-Interest Rate Relationship In The Turkish Economy: Evidence of Cointegration And Granger Causality

Yazarlar:

Erkan Sarsıcı

Yayıncı:

Burdur Mehmet Akif Ersoy University

Ana Başlıklar:

Finans

Dergi:

Bucak İşletme Fakültesi Dergisi Vol.8 Issue 1, pp.27-39

Belge Tipi:

Makale

Yayın Tarihi:

4/2025

Belge Dili:

İngilizce

Document ID (Org No.):

2001346448

pISSN:

2687-3826

Anahtar kelimeler:

Özet:

 This study examines the relationship between inflation and interest rates in Türkiye using monthly data from 2012M01 to 2024M12. Lee-Strazizichs results show that the series are sensitive to various structural break points. This result indicates that structural changes caused by economic shocks affect the Turkish economy. The results of the Engle-Granger, Phillips-Ouliaris, and Johansen tests based on the VECM show long-run relationships among the variables. Moreover, there is a significant positive correlation between interest rates and inflation, as shown by the cointegration coefficients of FMOLS, DOLS, and CCR. VECM-based Granger results show the causal relationship between inflation and interest rates in the short run. This study contributes to the literature by demonstrating a two-way relation between long-term inflation and interest rates. Depending on the breakdown of the differentials, interest rates have little impact on inflation. The research findings indicate that inflation is the root cause of the economys problems. Therefore, to resolve economic problems and ensure sustainable stability, the emphasis should be on combating inflation, and coordination between monetary and fiscal policies should be ensured.

 This study examines the relationship between inflation and interest rates in Türkiye using monthly data from 2012M01 to 2024M12. Lee-Strazizichs results show that the series are sensitive to various structural break points. This result indicates that structural changes caused by economic shocks affect the Turkish economy. The results of the Engle-Granger, Phillips-Ouliaris, and Johansen tests based on the VECM show long-run relationships among the variables. Moreover, there is a significant positive correlation between interest rates and inflation, as shown by the cointegration coefficients of FMOLS, DOLS, and CCR. VECM-based Granger results show the causal relationship between inflation and interest rates in the short run. This study contributes to the literature by demonstrating a two-way relation between long-term inflation and interest rates. Depending on the breakdown of the differentials, interest rates have little impact on inflation. The research findings indicate that inflation is the root cause of the economys problems. Therefore, to resolve economic problems and ensure sustainable stability, the emphasis should be on combating inflation, and coordination between monetary and fiscal policies should be ensured.

 This study examines the relationship between inflation and interest rates in Türkiye using monthly data from 2012M01 to 2024M12. Lee-Strazizichs results show that the series are sensitive to various structural break points. This result indicates that structural changes caused by economic shocks affect the Turkish economy. The results of the Engle-Granger, Phillips-Ouliaris, and Johansen tests based on the VECM show long-run relationships among the variables. Moreover, there is a significant positive correlation between interest rates and inflation, as shown by the cointegration coefficients of FMOLS, DOLS, and CCR. VECM-based Granger results show the causal relationship between inflation and interest rates in the short run. This study contributes to the literature by demonstrating a two-way relation between long-term inflation and interest rates. Depending on the breakdown of the differentials, interest rates have little impact on inflation. The research findings indicate that inflation is the root cause of the economys problems. Therefore, to resolve economic problems and ensure sustainable stability, the emphasis should be on combating inflation, and coordination between monetary and fiscal policies should be ensured.

 Bu çalışma, 2012M01den 2024M12ye kadar aylık veriler kullanarak Türkiyede enflasyon ve faiz oranları arasındaki ilişkiyi incelemektedir. Lee-Strazizichin sonuçları, serinin çeşitli yapısal kırılma noktalarına duyarlı olduğunu göstermektedir. Bu sonuç, ekonomik şokların yol açtığı yapısal değişikliklerin Türkiye ekonomisi üzerindeki etkisini göstermektedir. VECMe dayalı Engle-Granger, Phillips-Ouliaris ve Johansen testlerinin sonuçları, değişkenler arasında uzun vadeli ilişkiler göstermektedir. Ayrıca, FMOLS, DOLS ve CCRnin eşbütünleşme katsayılarıyla gösterildiği gibi, faiz oranları ve enflasyon arasında anlamlı bir pozitif korelasyon vardır. VECM tabanlı Granger sonuçları, enflasyon ve faiz oranları arasında kısa vadede nedensel ilişki olduğunu göstermektedir. Bu çalışma, uzun vadeli enflasyon ve faiz oranları arasındaki iki yönlü ilişkiyi göstererek literatüre katkıda bulunmaktadır. Diferansiyellerin bozulmasına bağlı olarak, faiz oranlarının enflasyon üzerinde çok az etkisi vardır. Araştırma bulguları, ekonominin sorununun enflasyondan kaynaklandığını göstermektedir. Dolayısıyla ekonomik sorunların çözümü ve sürdürülebilir istikrarın sağlanması için enflasyonla mücadeleye ağırlık verilmeli, para ve maliye politikaları arasında eşgüdüm sağlanmalıdır.

Makale detayları

The Inflation-Interest Rate Relationship In The Turkish Economy: Evidence of Cointegration And Granger Causality

Yazarlar:

Erkan Sarsıcı

Yayıncı:

Burdur Mehmet Akif Ersoy University

Ana Başlıklar:

Finans

Dergi:

Bucak İşletme Fakültesi Dergisi Vol.8 Issue 1, pp.27-39

Belge Tipi:

Makale

Yayın Tarihi:

4/2025

Belge Dili:

İngilizce

Document ID (Org No.):

2001346448

pISSN:

2687-3826

Inflation

Interest rate

Engle-Granger

Phillips-Ouliaris

DOLSEnflasyon

Faiz Oranı

Engle-Granger

Phillips-Ouliaris

DOLS

Sayı

Makale detayları

Yazarlar: Erkan Sarsıcı

Yayıncı: Burdur Mehmet Akif Ersoy University

Ana Başlıklar: Finans

Dergi: Bucak İşletme Fakültesi Dergisi Vol.8 Issue 1, pp.27-39

Belge Tipi: Makale

Yayın Tarihi: 4/2025

Belge Dili: İngilizce

Document ID (Org No.): 2001346448

pISSN: 2687-3826

Sayı

Yazarlar:

Erkan Sarsıcı

Yayıncı:

Burdur Mehmet Akif Ersoy University

Ana Başlıklar:

Finans

Dergi:

Bucak İşletme Fakültesi Dergisi Vol.8 Issue 1, pp.27-39

Belge Tipi:

Makale

Yayın Tarihi:

4/2025

Belge Dili:

İngilizce

Document ID (Org No.):

2001346448

pISSN:

2687-3826