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

Yıl 2019, , 335 - 346, 18.12.2019

Serhat Yüksel , Hasan Dinçer , Özgür Kıyak

https://doi.org/10.38009/ekimad.586440

Cited By: 7

Öz

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.

Anahtar Kelimeler

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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