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Journals / Doğuş Üniversitesi Dergisi / 2026 / Cilt: 27 Sayı: 1

IS REAL INTEREST RATE PARITY VALID FOR FRAGILE FIVE COUNTRIES? A THRESHOLD COINTEGRATION TEST

KIRILGAN BEŞLİ ÜLKELERİ İÇİN REEL FAİZ PARİTESİ GEÇERLİ MİDİR? EŞİK DEĞERLİ EŞBÜTÜNLEŞME TESTİ

Yaşar Serhat Yaşgül(MARMARA ÜNİVERSİTESİ, İKTİSAT FAKÜLTESİ, İKTİSAT BÖLÜMÜ)0000-0001-6039-2155
Pages
860–872
Publication Date
2026-03-23
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

The results demonstrate that real interest rate parity does not hold for Brazil and Turkey, whereas it is valid for Indonesia, South Africa, and India.

📌 3 Key Takeaways

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Objective & Hypothesis:This study investigates the validity of the Real Interest Rate Parity hypothesis for the “Fragile Five” economies—Turkey, Brazil, Indonesia, South Africa, and India—using monthly data from 2006:05 to 2021:08.
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Key Findings & Data:The globalization process has increased capital mobility and financial integration.
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Conclusion & Impact:The results demonstrate that real interest rate parity does not hold for Brazil and Turkey, whereas it is valid for Indonesia, South Africa, and India.
🔬Design:Modeling & Simulation
📍Scope:2006 Verileri
⚙️Variables:Reel Faiz Paritesi · Kırılgan Beşli · Doğrusal Olmayan Modeller

Abstract

This study investigates the validity of the Real Interest Rate Parity hypothesis for the “Fragile Five” economies—Turkey, Brazil, Indonesia, South Africa, and India—using monthly data from 2006:05 to 2021:08. The globalization process has increased capital mobility and financial integration. In this context, testing real interest rate parity has become an important indicator for policy-makers. Employing the threshold cointegration test of Li and Lee (2010), the analysis accounts for nonlinear adjustments and regime shifts often neglected in linear models. The results demonstrate that real interest rate parity does not hold for Brazil and Turkey, whereas it is valid for Indonesia, South Africa, and India. This divergence highlights the role of macro-financial stability, inflation dynamics, and policy credibility in determining the long-run parity of real interest rates. In Turkey and Brazil, the rejection of real interest rate parity is linked to high inflation volatility, unpredictable policy actions, and vulnerability to capital flow shocks. Conversely, the evidence of real interest rate parity in the other three countries suggests a more consistent alignment between interest rates, inflation, and exchange rate dynamics. The findings imply that a uniform policy approach towards emerging markets may overlook critical country-specific risks. Instead, differentiated strategies tailored to national vulnerabilities provide a more effective framework for sustaining financial stability and integration.

Özet

Bu çalışma, 2006:05–2021:08 dönemine ait aylık verilerle, “Kırılgan Beşli” ülkeleri (Türkiye, Brezilya, Endonezya, Güney Afrika ve Hindistan) için reel faiz oranı paritesi hipotezinin geçerliliğini araştırmaktadır. Küreselleşme süreci, sermaye hareketliliğini ve finansal entegrasyonu artırmıştır. Bu bağlamda, reel faiz paritesinin test edilmesi, politika yapıcılar için önemli bir gösterge olmuştur. Çalışmada, Li ve Lee (2010) tarafından geliştirilen eşik değerli ADL eşbütünleşme testi kullanılarak doğrusal olmayan dinamikler dikkate alınmıştır. Elde edilen bulgular, Brezilya ve Türkiye’de reel faiz paritesinin geçerli olmadığını; Endonezya, Güney Afrika ve Hindistan’da ise hipotezin doğrulandığını ortaya koymaktadır. Sonuçlar, finansal entegrasyon düzeyi, enflasyon oynaklığı ve politika güvenilirliğinin reel faiz oranı paritesinin geçerliliğinde belirleyici olduğunu göstermektedir. Türkiye ve Brezilya’da hipotezin reddedilmesi, yüksek risk primleri ve öngörülemez para politikalarıyla ilişkilendirilirken; diğer üç ülkede daha istikrarlı makroekonomik yapıların etkili olduğu görülmektedir. Çalışma, bu farklılıkların politika önerilerinde tek tip yaklaşım yerine ülke bazlı stratejilerin gerekliliğini vurgulamaktadır.

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Cite This Article

Yaşgül, Y. S. (2026). IS REAL INTEREST RATE PARITY VALID FOR FRAGILE FIVE COUNTRIES? A THRESHOLD COINTEGRATION TEST. Doğuş Üniversitesi Dergisi, Cilt: 27 Sayı: 1, 860–872. https://doi.org/10.31671/doujournal.1821893

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