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Analysis of Causality Relationships Between Policy Interest Rates, Exchange Rate Volatility, CDS Spreads, and Consumer Confidence in Türkiye

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  • Halit YALÇIN

Abstract

Consumers' confidence or distrust in the economy can be an important indicator in predicting future economic developments. Therefore, this study analyzes the causality relationships between the consumer confidence index, credit risk premium (CDS), exchange rate volatility and policy interest rate for the period 2012:01-2024:12 using the Toda-Yamamoto causality test. According to the causality test results, the causality relationships from policy interest rate, exchange rate volatility and credit risk premium to consumer confidence index, from credit risk premium to policy interest rate, from policy interest rate and credit risk premium to exchange rate volatility and from the consumer confidence index and policy interest rate to credit risk premium are statistically significant. Moreover, no significant causality relationship was found from consumer confidence index to policy rate and exchange rate volatility, and from exchange rate volatility to policy rate and credit risk premium.

Suggested Citation

  • Halit YALÇIN, 2026. "Analysis of Causality Relationships Between Policy Interest Rates, Exchange Rate Volatility, CDS Spreads, and Consumer Confidence in Türkiye," Fiscaoeconomia, Tubitak Ulakbim JournalPark (Dergipark), issue 1.
    • Handle: RePEc:fis:journl:260115
    DOI: 10.25295/fsecon.1710310
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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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