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

Halit Yalã‡in

Fiscaoeconomia, 2026, issue 1

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.

Keywords: Exchange Rate; Consumer Confidence Index; Policy Rate; CDS; Monetary Policy (search for similar items in EconPapers)
JEL-codes: C32 E43 E52 F31 (search for similar items in EconPapers)
Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:fis:journl:260115

DOI: 10.25295/fsecon.1710310

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