Makroekonomik Göstergeler ve Ülke Risk Primi İlişkisinin İncelenmesi: Türkiye Örneği

Bu çalışmanın amacı, Türkiye’deki makroekonomik göstergeler/değişkenler ile ülke risk primi arasındaki ilişkiyi incelemektir. Türkiye’nin Ocak 2003 – Haziran 2017 dönemi arasındaki aylık verileri kullanılarak, ülke risk primi ile döviz kuru oynaklığı, dış borç/ihracat oranı, kısa dönem faiz oranı ve enflasyon oranı arasındaki ilişki Vektör Hata Düzeltme Modeliyle (VECM) incelenmiştir. Sonuçlara göre, Türkiye için, ülke risk primi ile seçilmiş makroekonomik değişkenler arasında uzun dönemli bir nedensellik ilişkisi bulunmamıştır. Ülke risk primi ile kısa dönem faiz oranları dışındaki diğer makroekonomik değişkenler arasında ise kısa dönemli tek yönlü bir nedensellik ilişkisi mevcuttur.

Investigation of Relationship Between Macroeconomic Indicators and Sovereign Risk Premium: Case of Turkey

The purpose of this study is to examine the relationship between macroeconomic indicators/variables and sovereign risk premium in Turkey. The relationship between sovereign risk premium and exchange rate volatility, external debt/exports ratio, short-term interest rate, inflation rate has been analyzed with the Vector Error Correction Model (VECM) using monthly data for the period between January 2003 – June 2017. Results for Turkey show that there is not a long term causality relationship between sovereign risk premium and selected macroeconomic variables. When looking at the causality relationship of the short term, that there is one-directional causality between sovereign risk premium and macroeconomic variables except interest rate.

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