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Faiz oranı ve enflasyon belirsizliği ilişkisi

Author

Listed:
  • Nildağ Başak CEYLAN

    (Atılım Üniversitesi)

Abstract

Bu çalışmada, enflasyon ve enflasyon riskinin faiz oranları üzerindeki etkisi toptan eşya fiyat grupları için hareketli otoregresif koşullu değişken varyans regresyon modeli kullanılarak incelenmiştir. Elde edilen bulgular, 1987=100 ve 1994=100 temel yıllı serilerde enflasyonun faiz oranları üzerindeki etkisinin, istatistiksel olarak anlamlı çıkan sonuçların hepsinde pozitif yönlü olduğunu göstermiştir. Modele enflasyon riski eklendiğinde, 1987=100 temel yıllı seride enflasyon riskinin faiz oranı üzerindeki etkisi istatistiksel olarak anlamlı çıkan sonuçların tamamı için pozitif yönlü iken, 1994=100 temel yıllı endekste, etki sektörlerin büyük çoğunluğu için pozitif yönlü, bazı endekslerde ise negatif yönlü çıkmıştır

Suggested Citation

  • Nildağ Başak CEYLAN, 2006. "Faiz oranı ve enflasyon belirsizliği ilişkisi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 21(240), pages 98-114.
  • Handle: RePEc:iif:iifjrn:v:21:y:2006:i:240:p:98-114
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    More about this item

    Keywords

    faiz oranı; enflasyon; enflasyon belirsizliği;

    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
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General

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