TÜRKİYE’DE ENFLASYON VE MERKEZ BANKASI FAİZ ORANLARI ARASINDAKİ İLİŞKİNİN ANALİZİ: FOURIER YAKLAŞIMI

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, nihai hedefi olan fiyat istikrarını sağlamak için uygulayacağı para politikasını ve politika araçlarını serbestçe 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 arasındaki faiz oranı koridorunu ve karşılık oranlarını kullanmaktadır. Bu çalışmanın amacı, 2005-2017 döneminde, merkez bankası faiz oranları (gecelik repo oranları) ve enflasyon (TÜFE) oranı arasındaki nedensellik ilişkisini Fourier Granger Causality Test yardımıyla araştırmaktır. Çalışma sonuçları, gecelik repo oranları ve TÜFE oranı arasında tek yönlü bir nedensellik ilişkisi olduğuna işaret etmektedir.

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

Within the framework of inflation targeting program officially implemented since 2006, the primary objective ofthe Central Bank of Republic of Turkey is to achieve and maintain price stability. As a result of instrumentalindependence, the CBRT determines, at its own discretion, the monetary policy it would implement and the policyinstruments it would use in achieving and maintaining price stability. In this context, The CBRT uses a policy mixincluding one-week repo rate, the interest rate corridor between O/N borrowing and lending rates as well asreserve requirements to achieve price stability and to provide financial stability with regard to controlling offinancial risks which have the potential to threat price stability. The aim of this study is to investigate the longterm relationship between the O/N repo rates to approximate central bank interest rates and the consumer priceindex to approximate inflation during the period of 2005-2017. Using monthly data, the Fourier Granger CausalityTest is employed to test the relationship between O/N repo rates and CPI. The findings indicate that there is a oneway causality relationship from O/N repo rates to CPI.

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