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Getiri farkı resesyonu tahmin edebilir mi? Türkiye sanayi üretimi örneği

Year 2020, - Turkish Economy, 16 - 21, 31.03.2020

Abstract

Farklı vadelerdeki finansal araçların getirilerini kıyaslayan verim eğrisi ya da eğrinin eğimine eşit olan getiri farkı çoğunlukla gelecek dönem ekonomik performansın önemli bir tahmin edicisi olarak kabul edilir. Bu çalışma Türkiye’de 2006-2020 döneminde getiri farkı ile sanayi üretimi yardımıyla hesaplanan durgunluklar arasındaki ilişkiyi incelemektedir. Çalışma, Türkiye’de küresel finansal kriz sonrasındaki dönemi incelemesi ve uzun vadeli tarafta beş yıllık devlet tahvillerinin getirilerini kullanması nedeniyle literatüre katkı sağlamaktadır. Probit yöntemiyle gerçekleştirilen tahmin sonuçlarına göre, incelenen dönemde getiri farkı ile sanayi üretimindeki durgunluklar arasında negatif bir ilişki gözlenmektedir. Getiri farkında meydana gelen artışlar durgunluk ihtimalini arttırmaktadır, bir başka deyişle sanayi üretimini negatif etkilemektedir. Türkiye’de getiri farkı ile sanayi üretimindeki durgunlukların pozitif ilişkide olduğu ancak bu ilişkinin çoğunlukla tersine dönmüş verim eğrisinden kaynaklandığı savunulabilir. Sonuç olarak, Türkiye’de verim eğrisinin vade yapısı bileşenlerinin etkileri incelenirken piyasa şartlarının kontrol edilmesinin oldukça önemli olduğu anlaşılmaktadır.

References

  • Akıncı, Ö., Gürcihan, B., Gürkaynak, R. ve Özel, Ö. (2006). Yield curve estimation for Turkish treasury debt instruments. Central Bank of Turkey.
  • Alper, C. E., Akdemir, A. ve Kazimov, K. (2004). Estimating Yield Curves in Turkey: Factor Analysis Approach. Bogazici University ISS/EC-2004-04.
  • Andrews, D. W. (1988). Chi-square diagnostic tests for econometric models: Introduction and applications. Journal of Econometrics, 37(1): 135-156.
  • Ang, A., Piazzesi, M. ve Wei, M. (2006). What does the yield curve tell us about GDP growth?. Journal of Econometrics, 131(1-2): 359-403.
  • Artis, M. J., Kontolemis, Z. G., ve Osborn, D. R. (1997). Business cycles for G7 and European countries. The Journal of Business, 70(2), 249-279.
  • Benzoni, L., Chyruk, O. ve Kelley, D. (2018). Why does the yield-curve slope predict recessions?. Available at SSRN 3271363.
  • Berk, J. M. (1998). The information content of the yield curve for monetary policy: A survey. De Economist, 146(2): 303-320.
  • Bernard, H. ve Gerlach, S. (1998). Does the term structure predict recessions? The international evidence. International Journal of Finance & Economics, 3(3): 195-215.
  • Chauvet, M. ve Piger, J. M. (2003). Identifying business cycle turning points in real time. Review-Federal Reserve Bank OF Saint Louis, 85(2): 47-60.
  • Chauvet, M. ve Potter, S. M. (2001). Forecasting recessions using the yield curve, University of California at Riverside, Department of Economic. WP.01-17.
  • Chen Z., Iqbal A. ve Lai H. (2011). Forecasting the Probability of US Recessions: a Probit and Dynamic Factor Modelling Approach. Canadian Journal of Economics, Canadian Economics Association, 44(2): 651-672, May
  • Cooper, D. H., Fuhrer, J. C. ve Olivei, G. P. Predicting Recessions Using the Yield Curve: The Role of the Stance of Monetary Policy Predicting Recessions Using the Yield Curve: The Role of the Stance of Monetary Policy. Federal Reserve Bank of Boston.
  • Cozier, B. V. ve Tkacz, G. (1994). The term structure and real activity in Canada (pp. 94-3). Bank of Canada Working Paper 94-3.
  • Dotsey, M. (1998). The predictive content of the interest rate term spread for future economic growth. FRB Richmond Economic Quarterly, 84(3):31-51. Estrella, A. ve Hardouvelis, G. A. (1991). The term structure as a predictor of real economic activity. The Journal of Finance, 46(2): 555-576.
  • Estrella, A. ve Mishkin, F. S. (1997). The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank. European Rconomic Review, 41(7), 1375-1401.
  • Estrella, A. ve Mishkin, F. S. (1998). Predicting US recessions: Financial variables as leading indicators. Rev. of Economics and Statistics, 80(1): 45-61.
  • Estrella, A. ve Trubin, M. (2006). The yield curve as a leading indicator: Some practical issues. Current Issues in Economics and Finance, 12(5).
  • Fama, E. F. (1990). Term-structure forecasts of interest rates, inflation and real returns. Journal of Monetary Economics, 25(1): 59-76.
  • Funke, N. (1997). Yield spreads as predictors of recessions in a core European economic area. Applied Economics Letters, 4(11), 695-697.
  • Hamilton, J. D. ve Kim, D. H. (2002). A re-examination of the predictability of the yield spread for real economic activity. Journal of Money, Credit, and Banking, 34(2): 340-360.
  • Hardouvelis, G. A., ve Malliaropulos, D. (2004). The yield spread as a symmetric predictor of output and inflation.
  • Harvey, C. R. (1988). The real term structure and consumption growth. Journal of Financial Economics, 22(2): 305-333.
  • Hosmer, D. W., Lemeshow, S. ve Sturdivant, R. X. (1989). Logistic regression for matched case-control studies. içinde Applied logistic regression. John Wiley & Sons. New York.
  • Hu, Z. (1993). The yield curve and real activity. Staff Papers, 40(4): 781-806.
  • Işık, C. (2013). Türkiye İmalat Sanayiinde Rekabet Derecesi ve Yoğunlaşma Düzeyi. EKEV Akademi Dergisi, c, 17, 57.
  • Işık, C. (2016). Türkiye’de toplam faktör verimliliği ve ekonomik büyüme ilişkisi. Verimlilik Dergisi, (2): 45-56.
  • Ismihan, M. ve Özcan, K. M. (2006). Türkiye ekonomisinde büyümenin kaynakları: 1960-2004. Iktisat Isletme ve Finans, 21(241): 74-86.
  • Kaya, H. (2013). The yield curve and the macroeconomy: Evidence from Turkey. Economic Modelling, 32: 100-107.
  • Liu, W., ve Moench, E. (2014). What Predicts U.S. Recessions? Staff Reports 691, Federal Reserve Bank of New York
  • Mejia-Reyes, P. (1999). Classical business cycles in Latin America: turning points, asymmetries and international synchronisation. Estudios Económicos, 265-297.
  • Mishkin, F. S. (1990). Yield curve (No. w3550). National Bureau of Economic Research.
  • NBER (2010). Business Cycle Dating Committee, National Bureau of Economic Research. https://www.nber.org/cycles/sept2010.html
  • Omay, T. (2011). Can Term Structure of Interest Rate Predict Inflation and Real Economic Activity: Nonlinear Evidence from Turkey?. In Nonlinear and Complex Dynamics (pp. 269-294). Springer, New York, NY.
  • Omay, T. (2011). Can Term Structure of Interest Rate Predict Inflation and Real Economic Activity: Nonlinear Evidence from Turkey?. In Nonlinear and Complex Dynamics (pp. 269-294). Springer, New York, NY.
  • Ozturk, H., ve Pereira, L. F. V. (2013). Yield curve as a predictor of recessions: Evidence from panel data. Emerging Markets Finance and Trade, 49(sup5), 194-212.
  • Özcan, H. (2011). Getiri Eğrisi ve Reel Aktivite. Yüksek Lisans Tezi. Anakara Üniversitesi, İktisat Bölümü, Ankara.
  • Plosser, C. I., ve Rouwenhorst, K. G. (1994). International term structures and real economic growth. Journal of monetary economics, 33(1): 133-155.
  • Sahinbeyoglu, G. ve Yalcin, C. (2000) The term structure of interest rates: does it tell about future inflation, Discussion Papers 0002, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  • Telatar, E., Telatar, F. ve Ratti, R.A., (2003). On the predictive power of the term structure of interest rates for future inflation changes in the presence of political instability: the Turkish economy. Journal of Policy Modeling 25, 931–946.
  • Wright, J. H. (2006). The yield curve and predicting recessions.
  • Yamak, R. ve Tanrıöver, B. (2009). Faiz Oranı, Getiri Farkı Ve Ekonomik Büyüme: Türkiye Örneği (1990-2006). Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi, 24(1): 43-58.
  • Yazgan, E. ve Kaya, H. (2010). Has inflation targeting increased predictive power of term structure about future inflation: evidence from an emerging market?.
  • Yoldas, E. (2002). Empirical Assessment of Term Structure Estimation Methods: An Application on Turkish Bond Market. Yüksek Lisans Tezi. Marmara Üniversitesi, İktisat Bölümü, Istanbul.

Does the Yield Spread Predict Recession? A Case of the Turkish Industrial Production

Year 2020, - Turkish Economy, 16 - 21, 31.03.2020

Abstract

The yield curve that compares the returns of financial instruments with different maturities, or the difference in return equal to the slope of the curve, is often considered an important predictor of future economic performance. This study examines the relationship between the recession of industrial production and yield spread in Turkey during the period 2006-2020. It contributes to the literature because of the two reasons: The period of investigation is in the aftermath of the global financial crisis in Turkey, and on the long-term side it uses the return on five-year government bonds. According to the estimation results made by the Probit method, it proposes a positive relationship between the yield spread and the recessions in industrial production. Rising the spread increases the probability of recession, in other words, it negatively affects industrial production. It can be argued that there is a positive relationship between spread and the possibility of a recession in industrial production on Turkey, so this link caused by an inverted yield curve. inverted yield curve causes a negative-positive relationship. As a result, controlling the market structure while investigating the effect of the term structure of the yield curve in Turkey is very important.

References

  • Akıncı, Ö., Gürcihan, B., Gürkaynak, R. ve Özel, Ö. (2006). Yield curve estimation for Turkish treasury debt instruments. Central Bank of Turkey.
  • Alper, C. E., Akdemir, A. ve Kazimov, K. (2004). Estimating Yield Curves in Turkey: Factor Analysis Approach. Bogazici University ISS/EC-2004-04.
  • Andrews, D. W. (1988). Chi-square diagnostic tests for econometric models: Introduction and applications. Journal of Econometrics, 37(1): 135-156.
  • Ang, A., Piazzesi, M. ve Wei, M. (2006). What does the yield curve tell us about GDP growth?. Journal of Econometrics, 131(1-2): 359-403.
  • Artis, M. J., Kontolemis, Z. G., ve Osborn, D. R. (1997). Business cycles for G7 and European countries. The Journal of Business, 70(2), 249-279.
  • Benzoni, L., Chyruk, O. ve Kelley, D. (2018). Why does the yield-curve slope predict recessions?. Available at SSRN 3271363.
  • Berk, J. M. (1998). The information content of the yield curve for monetary policy: A survey. De Economist, 146(2): 303-320.
  • Bernard, H. ve Gerlach, S. (1998). Does the term structure predict recessions? The international evidence. International Journal of Finance & Economics, 3(3): 195-215.
  • Chauvet, M. ve Piger, J. M. (2003). Identifying business cycle turning points in real time. Review-Federal Reserve Bank OF Saint Louis, 85(2): 47-60.
  • Chauvet, M. ve Potter, S. M. (2001). Forecasting recessions using the yield curve, University of California at Riverside, Department of Economic. WP.01-17.
  • Chen Z., Iqbal A. ve Lai H. (2011). Forecasting the Probability of US Recessions: a Probit and Dynamic Factor Modelling Approach. Canadian Journal of Economics, Canadian Economics Association, 44(2): 651-672, May
  • Cooper, D. H., Fuhrer, J. C. ve Olivei, G. P. Predicting Recessions Using the Yield Curve: The Role of the Stance of Monetary Policy Predicting Recessions Using the Yield Curve: The Role of the Stance of Monetary Policy. Federal Reserve Bank of Boston.
  • Cozier, B. V. ve Tkacz, G. (1994). The term structure and real activity in Canada (pp. 94-3). Bank of Canada Working Paper 94-3.
  • Dotsey, M. (1998). The predictive content of the interest rate term spread for future economic growth. FRB Richmond Economic Quarterly, 84(3):31-51. Estrella, A. ve Hardouvelis, G. A. (1991). The term structure as a predictor of real economic activity. The Journal of Finance, 46(2): 555-576.
  • Estrella, A. ve Mishkin, F. S. (1997). The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank. European Rconomic Review, 41(7), 1375-1401.
  • Estrella, A. ve Mishkin, F. S. (1998). Predicting US recessions: Financial variables as leading indicators. Rev. of Economics and Statistics, 80(1): 45-61.
  • Estrella, A. ve Trubin, M. (2006). The yield curve as a leading indicator: Some practical issues. Current Issues in Economics and Finance, 12(5).
  • Fama, E. F. (1990). Term-structure forecasts of interest rates, inflation and real returns. Journal of Monetary Economics, 25(1): 59-76.
  • Funke, N. (1997). Yield spreads as predictors of recessions in a core European economic area. Applied Economics Letters, 4(11), 695-697.
  • Hamilton, J. D. ve Kim, D. H. (2002). A re-examination of the predictability of the yield spread for real economic activity. Journal of Money, Credit, and Banking, 34(2): 340-360.
  • Hardouvelis, G. A., ve Malliaropulos, D. (2004). The yield spread as a symmetric predictor of output and inflation.
  • Harvey, C. R. (1988). The real term structure and consumption growth. Journal of Financial Economics, 22(2): 305-333.
  • Hosmer, D. W., Lemeshow, S. ve Sturdivant, R. X. (1989). Logistic regression for matched case-control studies. içinde Applied logistic regression. John Wiley & Sons. New York.
  • Hu, Z. (1993). The yield curve and real activity. Staff Papers, 40(4): 781-806.
  • Işık, C. (2013). Türkiye İmalat Sanayiinde Rekabet Derecesi ve Yoğunlaşma Düzeyi. EKEV Akademi Dergisi, c, 17, 57.
  • Işık, C. (2016). Türkiye’de toplam faktör verimliliği ve ekonomik büyüme ilişkisi. Verimlilik Dergisi, (2): 45-56.
  • Ismihan, M. ve Özcan, K. M. (2006). Türkiye ekonomisinde büyümenin kaynakları: 1960-2004. Iktisat Isletme ve Finans, 21(241): 74-86.
  • Kaya, H. (2013). The yield curve and the macroeconomy: Evidence from Turkey. Economic Modelling, 32: 100-107.
  • Liu, W., ve Moench, E. (2014). What Predicts U.S. Recessions? Staff Reports 691, Federal Reserve Bank of New York
  • Mejia-Reyes, P. (1999). Classical business cycles in Latin America: turning points, asymmetries and international synchronisation. Estudios Económicos, 265-297.
  • Mishkin, F. S. (1990). Yield curve (No. w3550). National Bureau of Economic Research.
  • NBER (2010). Business Cycle Dating Committee, National Bureau of Economic Research. https://www.nber.org/cycles/sept2010.html
  • Omay, T. (2011). Can Term Structure of Interest Rate Predict Inflation and Real Economic Activity: Nonlinear Evidence from Turkey?. In Nonlinear and Complex Dynamics (pp. 269-294). Springer, New York, NY.
  • Omay, T. (2011). Can Term Structure of Interest Rate Predict Inflation and Real Economic Activity: Nonlinear Evidence from Turkey?. In Nonlinear and Complex Dynamics (pp. 269-294). Springer, New York, NY.
  • Ozturk, H., ve Pereira, L. F. V. (2013). Yield curve as a predictor of recessions: Evidence from panel data. Emerging Markets Finance and Trade, 49(sup5), 194-212.
  • Özcan, H. (2011). Getiri Eğrisi ve Reel Aktivite. Yüksek Lisans Tezi. Anakara Üniversitesi, İktisat Bölümü, Ankara.
  • Plosser, C. I., ve Rouwenhorst, K. G. (1994). International term structures and real economic growth. Journal of monetary economics, 33(1): 133-155.
  • Sahinbeyoglu, G. ve Yalcin, C. (2000) The term structure of interest rates: does it tell about future inflation, Discussion Papers 0002, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  • Telatar, E., Telatar, F. ve Ratti, R.A., (2003). On the predictive power of the term structure of interest rates for future inflation changes in the presence of political instability: the Turkish economy. Journal of Policy Modeling 25, 931–946.
  • Wright, J. H. (2006). The yield curve and predicting recessions.
  • Yamak, R. ve Tanrıöver, B. (2009). Faiz Oranı, Getiri Farkı Ve Ekonomik Büyüme: Türkiye Örneği (1990-2006). Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi, 24(1): 43-58.
  • Yazgan, E. ve Kaya, H. (2010). Has inflation targeting increased predictive power of term structure about future inflation: evidence from an emerging market?.
  • Yoldas, E. (2002). Empirical Assessment of Term Structure Estimation Methods: An Application on Turkish Bond Market. Yüksek Lisans Tezi. Marmara Üniversitesi, İktisat Bölümü, Istanbul.
There are 43 citations in total.

Details

Primary Language Turkish
Subjects Economics
Journal Section Research Articles
Authors

Uğur Akkoç

Publication Date March 31, 2020
Submission Date April 19, 2020
Published in Issue Year 2020 - Turkish Economy

Cite

APA Akkoç, U. (2020). Getiri farkı resesyonu tahmin edebilir mi? Türkiye sanayi üretimi örneği. Journal of Ekonomi16-21.

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