Reel faiz oranının uzun hafıza modeli ile incelenmesi: Türkiye örneği

Bu çalışmada reel faizin uzun hafıza özelliği Türkiye için 2003:02-2012:03 dönemine ait aylık veriler kullanılarak analiz edilmektedir. Bu çerçevede öncelikle reel faiz serisinin durağanlığı ADF, Phillips Perron ve KPSS birim kök testleri kullanılarak test edilmiştir. Daha sonra ise ARFIMA modeli kullanılarak reel faiz serisinin kesirli bütünleşik bir yapıda olduğu ortaya konmuştur. Çalışmadan elde edilen bulgular Türkiyede ele alınan dönemde reel faizin uzun hafıza özelliği taşıdığına ve oldukça dirençli bir sürece sahip olduğuna işaret etmektedir.

The analysis of the real ınterest rate with long memory model: The case of Turkey

In this study, long memory property of the real interest rate is analyzed for Turkey by using the monthly data for the period 2003:02-2012:03. In this respect, firstly the stationarity of the real interest rate is tested by using the ADF, Phillips Perron and KPSS unit root tests. Afterwards real interest rate is proved to be fractionally integrated by using the ARFIMA model. The findings of the study indicate that the real interest rate in Turkey exhibits long memory and is highly persistent during the period considered.

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