Identifying The Influences of Interest Policies of Central Banks on Currency Exchange Rates: A Cointegration and Causality Analysis on Turkey

Abstract

In this study, it is aimed to determine whether the interest rate policy applied by CBRT is effective on the exchange rate. In this context, the CBRT's benchmark interest rate and weighted average funding cost are considered regarding interest rate. Additionally, with respect to the currency exchange rate, the dollar rate is used in the analysis. Also, monthly data for the period 2011: 01-2018: 02 belonging to the mentioned variables are taken into the account. On the other hand, Engle-Granger cointegration and Toda Yamamoto causality analysis are utilized to achieve the stated goal. As a result, it has been determined that the interest rate policy applied by the CBRT is effective on the exchange rate, but this relationship is not in the dimension of causality. These results give information that some other factors rather than interest rate also affect exchange rate. Hence, it is recommended that these factors should also be considered in addition to the interest rate in order to manage the volatility in the exchange rate in Turkey.

Keywords

• Interest Rate,Exchange Rate,The Central Bank,Engle Granger Cointegration Analysis,Toda Yamamoto Causality Analysis

Merkez Bankalarının Faiz Politikalarının Döviz Kuru Üzerindeki Etkisinin Belirlenmesi: Türkiye Üzerine Bir Eşbütünleşme ve Nedensellik Analizi

Öz

Bu çalışmada TCMB tarafından uygulanan faiz politikasının döviz kuru üzerinde etkili olup olmadığının belirlenmesi amaçlanmıştır. Bu kapsamda, faiz oranı değişkeni için TCMB’nin gösterge faiz oranı ve ağırlıklı ortalama fon maliyeti (AOFM), döviz kuru değişkeni için ise dolar kuru dikkate alınmıştır. Söz konusu değişkenlere ait 2011:01-2018:02 dönem aralığındaki aylık veriler kullanılmıştır. Öte yandan, belirtilen amaca ulaşabilmek için Engle-Granger eşbütünleşme ve Toda Yamamoto nedensellik analizlerinden faydalanılmıştır. Sonuç olarak, TCMB tarafından uygulanan faiz politikasının döviz kuru üzerinde etkili olduğu, fakat bu ilişkinin nedensellik boyutunda olmadığı belirlenmiştir. Belirtilen bu sonuç Türkiye’deki döviz kuru üzerinde faiz oranı dışında da etkili olan başka faktörlerin bulunduğu bilgisini vermektedir. Netice itibarıyla, Türkiye’deki döviz kuru değişikliklerinin kontrol altına alınabilmesi için araç olarak sadece faiz oranının kullanılmaması, diğer başka faktörlerin de dikkate alınması ilgili problemin çözümünde daha etkili olacaktır.

Anahtar Kelimeler

• Faiz Oranı,Döviz Kuru,Merkez Bankası,Engle Granger Eşbütünleşme Analizi,Toda Yamamoto Nedensellik Analizi

Kaynakça

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