ANALYSIS OF THE RELATIONSHIP BETWEEN INFLATION AND INTEREST RATES IN TURKEY: FOURIER APPROACH

2006 yılından itibaren uygulanan enflasyon hedeflemesi programı doğrultusunda, Türkiye Cumhuriyeti Merkez Bankası’nın temel amacı, fiyat istikrarını sağlamak ve sürdürmektir. Merkez Bankası’nın bağımsızlığı prensibinin bir sonucu olarak, TCMB, uygulayacağı para politikasını ve politika araçlarını belirlemektedir. Bu çerçevede, TCMB fiyat istikrarını sağlamak ve aynı zamanda fiyat istikrarını tehdit etme potansiyeline sahip finansal riskleri kontrol etmeye yönelik olarak finansal istikrarı sürdürmek için haftalık repo oranını, gecelik borçlanma ve borç verme oranları arasindaki faiz oranı koridorunu ve karşılık oranlarını kullanmaktadır. Bu çalışmanın amacı, 2005-2017 döneminde, faiz oranları (gecelik repo oranları) ve enflasyon (TÜFE) oranı arasındaki uzun dönemli ilişkiyi Fourier Eş-bütünleşme Testi yardımıyla araştırmaktır. Çalışma sonuçları, gecelik repo oranları ve TÜFE verisi arasında uzun dönemli bir ilişki olduğunu göstermektedir. 

ANALYSIS OF THE RELATIONSHIP BETWEEN INFLATION AND INTEREST RATES IN TURKEY: FOURIER APPROACH

Within the framework of inflation targeting regime officially implemented since 2006, the primary objective of the Central Bank Republic of Turkey is to achieve and maintain price stability. As a result of instrumental independence, the CBRT determines the monetary policy it would implement and the policy instruments it would use in achieving and maintaining price stability. In this context, The CBRT uses a policy mix including one-week repo rate, the interest rate corridor between O/N borrowing and lending rates, and reserve requirements to achieve price stability and to provide financial stability with regard to controlling of financial risks which have the potential to threat price stability. The aim of this study is to investigate the long-term relationship between the O/N repo rates to approximate interest rates and the consumer price index to approximate price changes during the period of 2005-2017. Using monthly data, the Fourier Co-integration Test is employed to test the relationship between O/N repo rates and CPI. The findings indicate that there is long-term relationship between O/N repo rates and CPI. 

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