Enflasyon, Döviz Kuru ve Faiz Beklentileri İlişkisi: Türkiye Üzerine Fourier Toda Yamamoto Nedensellik Analizi

Abstract

İktisat teorisinde enflasyon, döviz kuru ve faiz değişkenleri birbiriyle nedensel ilişkiyle bağlı kavramlardır. Birbiriyle yakın ilişkisi olan bu kavramların beklenti tahminlerinin de birbiri ile nedensel ilişkide olması gerektiği beklenir. Bu varsayımdan yola çıkarak Türkiye Cumhuriyet Merkez Bankası veri tabanından Temmuz 2013 ve Ocak 2026 veri dönemine ait beklenti tahminleri ile veri seti oluşturulmuştur. Fourier ADL eş bütünleşme testi uygulanarak değişkenler arasında uzun dönemli ilişki olduğu tespit edilmiştir. Sonrasında ise Fourier Toda Yamamoto testi ile de nedensellik ilişkileri araştırılmıştır. Buna göre enflasyon ve faiz arasında çift yönlü, döviz kuru ve faiz arasında çift yönlü ilişki tespit edilmiştir. Enflasyon ve döviz kuru arasında ise döviz kurundan enflasyona doğru tek yönlü nedensellik tespit edilmiştir.

Keywords

• Enflasyon beklentileri
• Döviz kuru beklentileri
• Faiz beklentileri
• Fourier ADL
• Fourier Toda Yamamoto

The Relationship between Inflation, Exchange Rate, and Interest Rate Expectations: A Fourier-Toda-Yamamoto Causality Analysis on Türkiye

Abstract

In economic theory, inflation, exchange rate, and interest rate variables are causally related concepts. Given their close relationship, it is expected that the forecasts for these variables should also be causally related. Based on this assumption, a dataset was created using expectation forecasts from the Central Bank of the Republic of Turkey database for the data period between July 2013 and January 2026. A Fourier ADL cointegration test was applied to determine a long-term relationship between the variables. Subsequently, the causality relationships were investigated using the Fourier Toda Yamamoto test. According to these results, a bidirectional relationship was found between inflation and interest rates, and between exchange rate and interest rates. A unidirectional causality was found between inflation and the exchange rate, from the exchange rate to inflation.

Keywords

• Inflation expectations
• Exchange rate expectations
• Interest rate expectations
• Fourier ADL
• Fourier Toda Yamamoto

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