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

Öz

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.

Anahtar Kelimeler

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

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

Öz

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

Anahtar Kelimeler

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

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