A RESEARCH ON RELATIONS BETWEEN THE INTEREST RATE AND EXCHANGE RATE IN TURKEY

Öz

This study has designed to investigate the cointegration and causality relationship between short-term real interest rates and average exchange rates for Turkish economy by the period of 2006:Q1-2017:Q4. According to the Engle-Granger cointegration test results, imply that short term real interest rates and average exchange rate variables act together in long term. Whether the model variables with which the cointegration relationship is determined have any causality relationship was tested by Granger causality analysis based on the error correction model. Causality test result concluded that there was not any causal relations between the variables in question in the short term, but there was a mutual causal relations in the long run. When an evaluation is made in the context of the findings obtained from the analysis, it can be interpreted that these two variables are a stimulating variable for each other. As a matter of fact, the existence of the cointegration and causality relationship between these variables, which are among the main determinants of the economic conjuncture, are important in terms of macroeconomic balance elements. For this reason, it can be said that especially the economies of developing countries should take decisions to determine the role on interest rates and exchange rate in order to increase the capacity of resistance against economic shocks.

Anahtar Kelimeler

• Exchange Rate,Cointegration,Causality,ECM Method,Interest Rate

TÜRKİYE’DE FAİZ ORANI VE DÖVİZ KURU İLİŞKİSİ ÜZERİNE BİR ARAŞTIRMA

Öz

Bu çalışma, Türkiye ekonomisinde 2006:Q1-2017:Q4 dönemi kısa vadeli reel faiz oranları ve ortalama döviz kurları arasındaki eşbütünleşme ve nedensellik ilişkilerinin incelenmesi amacıyla tasarlanmıştır. Bu kapsamda yapılan Engle-Granger eşbütünleşme testi sonuçlarına göre kısa dönemli reel faiz oranları ile ortalama döviz kuru değişkenlerinin uzun dönemde birlikte hareket ettikleri tespit edilmiştir. Aralarında eşbütünleşme ilişkisi tespit edilen model değişkenlerinin herhangi bir nedensellik ilişkisine sahip olup olmadığı ise hata düzeltme modeline dayalı Granger nedensellik analizi yardımıyla sınanmıştır. Nedensellik analizi sonucunda, değişkenlerin kısa dönemde herhangi bir nedensellik ilişkisi içerisinde olmadıkları tespit edilmekle birlikte uzun dönemde karşılıklı nedensellik ilişkisinin olduğu sonucuna ulaşılmıştır. Analiz sonucunda ulaşılan bulgular bağlamında bir değerlendirme yapıldığında söz konusu her iki değişkenin de birbirleri için uyarıcı bir değişken olduğu yorumu yapılabilecektir. Nitekim ekonomik konjonktürün temel belirleyicileri arasında yer alan bu değişkenler arasındaki eşbütünleşme ve nedensellik ilişkisinin varlığı makroekonomik denge unsurları açısından önem arz etmektedir. Bu sebeple özellikle gelişmekte olan ülke ekonomilerinin ekonomik şoklar karşısındaki direnç kapasitesinin arttırılması noktasında faiz oranları ve döviz kuru üzerindeki rolünü belirleyebilecek nitelikte kararlar alması gerektiği söylenebilecektir.

Anahtar Kelimeler

• Döviz Kuru,Faiz Oranı,Eşbütünleşme,Nedensellik,Hata Düzeltme Yöntemi

Kaynakça

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