Dolar Kuru ile Tüketici Fiyat Endeksi Arasındaki İlişkinin Archimedean Kapula ile Modellenmesi

Year 2015, Issue: 7, 53 - 62, 11.07.2016

Çiğdem Topçu Gülöksüz

https://doi.org/10.1501/bsad_0000000020

Abstract

Bu çalışmada, tüketici fiyatlarının on iki aylık ortalamalara göre değişimi (TÜFE) ile dolar kuru arasındaki bağımlılık yapısı iki boyutlu Archimedean kapulalar kullanılarak modellenmiştir. Çalışmanın temel varsayımı, bu iki değişken arasındaki bağımlılığın Archimedean kapula ailesine ait olan Gumbel, Clayton ve Frank kapula fonksiyonlarından biriyle modellenebileceğidir. Bağımlılık yapısını modelleyebilecek iki boyutlu Archimedean kapula fonksiyonun tahmini için Genest ve Rivest (1993) çalışmasında önerilen yöntem kullanılmıştır. Bağımlılığı modelleyecek en uygun kapula fonksiyonu, aday kapula fonksiyonlarından her biri ile ampirik kapula fonksiyonu arasındaki uzaklığı minimum yapacak şekilde seçilmiştir. Bulgulara göre, TÜFE ve dolar kuru arasındaki bağımlılık yapısını modelleyen iki boyutlu Archimedean kapula fonksiyonu Gumbel (θ=100) olarak tahmin edilmiş ve değişkenlerin birlikte artmaya eğilimli oldukları görülmüştür.

Keywords

Kapula, Archimedean kapula ailesi, bağımlılık, tüketici fiyat endeksi, döviz kuru

Modelling the Relationship between Dollar Exchange Rate and Consumer Price Index via Archimedean Copula

Abstract

In this paper, the dependence structure between rate of change in twelve months for consumer price indeks
(CPI) and dollar exchange rate is modelled. The main assumption of this study is the dependence structure
between of these two variables can be modelled by one of Gumbel, Clayton and Frank copula functions
that belong to Archimedean copula family. The method that is suggested by Genest anad Rivest (1993) is
used to estimate the bivariate Archimedean copula function that describe dependence structure. The copula
function that provides most approriate fit to data is selected by minimizing the distance between considered
copula function and the emprical copula function. The results show that bivariate Archimedean copula
function that model the dependence structure between CPI and dollar Exchange rate is estimated to be
Gumbel (
ˆ
  100
). Consequently, the variables tend to be increasing together can be said

Keywords

Copula, Archimedean coplua family, dependency, consumer price endex, exchange rates

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