With Copula function analysis of structure dependence relation between Exchange rate of dollars and Deposit rate of Turkey

Abstract

Objective: In this study, for relation between exchange rate of dollar and deposit rate of Turkey, we used copula function modelling. Material and Methods: For study, data set that gotten from Turkey central bank in the between 2005-2017 years used. Results: Recently, rapidly increasing of exchange rate of dollars has been effected deposit rate. In our study, according to data sets, there is a positively relation between exchange rate of dollars and deposit rate. Hence, response of central bank has been showed positively for deposit rate in the increasing of exchange rate of dollars. Throughout study, dependency between exchange rate of dollar and deposit rate obtained positively, namely Kendall Tau ( T= 0.751 ) and Spearman’s Rho ( P= 0.912 ). This dependency modelled copula function. For this modelling, Chi-Square test that is Goodness-of-fit used. Conclusion: As result of this test, for our data set is suitable with parameter Joe copula family which is supported positive tail dependence.

Keywords

• Copula function,Deposit rate,Exchange rate of dollars,Goodness-of-fit test Kendall Tau

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