19 Mayıs Sosyal Bilimler Dergisi

Yazarlar: Sibel FETTAHOĞLU, Aydın ATEŞ

Konular:İşletme Finans

Anahtar Kelimeler:Yield curve,Industrial production,VAR analysis

Özet: Industrial production is an important activity that strengthens a country in its development and in the international arena. It is also a component of GDP and contributes to the growth of national income and affects other sectors significantly. The concept expressed as a yield differential or yield curve is the difference between long-run and short-run interest rates. The yield difference is used to predict how economic performance will be in the future. Generally expressed that a positive yield curve in other words the return of an asset in the long term is above the return of the short term assets causes an increase in the national income for the next period. Additionally it is expected that there may be a contraction in the national income in the following periods when there is a negative yield curve. The purpose of the study is to test whether the difference in income affects industrial production, and if so, in what way. The analysis data is for the period of March 2006 - August 2020 and consists of 174 data on a monthly basis. In order to calculate the difference in yield, 5-year bond interest has been taken in the long term and 2-year bond interest has been used in the short term. Industrial production data were included in the analysis by taking seasonally adjusted industrial production. In the created analysis, first the VAR model was established and then Granger causality analysis was performed. Impact response graphs were examined. As a result of the analysis, one-way causality between the difference in return and industrial production has been concluded. The unidirectional causality from the difference in yield to industrial production reveals that industrial production is affected by bond rates in the long and short term.

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