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

Yıl 2019, Cilt: 1 Sayı: 4, 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

• Andrieș, A. M., Căpraru, B., Ihnatov, I., & Tiwari, A. K. (2017). The relationship between exchange rates and interest rates in a small open emerging economy: The case of Romania. Economic Modelling, 67, 261-274.
• Basurto, M. G. (2000). The interest rate-exchange rate nexus in the Asian crisis countries. International Monetary Fund.
• Bautista, C. C. (2006). The exchange rate–interest differential relationship in six East Asian countries. Economics Letters, 92(1), 137-142.
• Beng, G. W., & Le Ying, S. (2000). Exchange rate and interest rate differential: the case of the Malaysian Ringgit/US Dollar. Applied Economics Letters, 7(2), 95-97.
• Berument, H., & Günay, A. (2003). Exchange rate risk and interest rate: a case study for Turkey. Open economies review, 14(1), 19-27.
• Brailsford, T., Penm, J. H., & Lai, C. D. (2006). Effectiveness of high interest rate policy on exchange rates: a reexamination of the Asian financial crisis. Advances in Decision Sciences, 2006.
• Byrne, J. P., & Nagayasu, J. (2010). Structural breaks in the real exchange rate and real interest rate relationship. Global Finance Journal, 21(2), 138-151.
• Campbell, J. Y., & Clarida, R. H. (1987, January). The dollar and real interest rates. In Carnegie-Rochester Conference Series on Public Policy (Vol. 27, pp. 103-139). North-Holland.
• Cho, D., & West, K. D. (2003). Interest rates and exchange rates in the Korean, Philippine, and Thai exchange rate crises. In Managing currency crises in emerging markets (pp. 11-36). University of Chicago Press.
• Choi, I., & Park, D. (2008). Causal relation between interest and exchange rates in the Asian currency crisis. Japan and the World Economy, 20(3), 435-452.
• Chow, H. K., & Kim, Y. (2004). The empirical relationship between exchange rates and interest rates in post-crisis Asia.
• Dash, P. (2004). The Relationship between interest rate and exchange rate in India. In Sixth Annual Conference on Money and Finance in the Indian Economy, March (pp. 25-27).
• Dekle, R., Hsiao, C., & Wang, S. (2002). High interest rates and exchange rate stabilization in Korea, Malaysia, and Thailand: an empirical investigation of the traditional and revisionist views. Review of International Economics, 10(1), 64-78.
• Dinçer, H., Yuksel, S., & Adalı, Z. (2018a). Relationship Between Non-Performing Loans, Industry, and Economic Growth of the African Economies and Policy Recommendations for Global Growth. In Globalization and Trade Integration in Developing Countries (pp. 203-228). IGI Global.
• Dinçer, H., Hacıoğlu, Ü., & Yüksel, S. (2018b). Determining Influencing Factors of Currency Exchange Rate for Decision Making in Global Economy Using MARS Method. In Geopolitics and Strategic Management in the Global Economy (pp. 261-273). IGI Global.
• Dinçer, H., Yüksel, S., Pınarbaşı, F., & Çetiner, İ. T. (2019a). Measurement of Economic and Banking Stability in Emerging Markets by Considering Income Inequality and Nonperforming Loans. In Maintaining Financial Stability in Times of Risk and Uncertainty (pp. 49-68). IGI Global.
• Dinçer, H., Yüksel, S., & Kartal, M. T. (2019b). The Role of Bank Interest Rate in the Competitive Emerging Markets to Provide Financial and Economic Stability. Ekonomi, İşletme ve Maliye Araştırmaları Dergisi, 1(2).
• Dinçer, H., Hacıoğlu, Ü., & Yüksel, S. (2017). A Strategic Approach to Global Financial Crisis in Banking Sector: A Critical Appraisal of Banking Strategies Using Fuzzy ANP and Fuzzy Topsis Methods. International Journal of Sustainable Economies Management (IJSEM), 6(1), 1-21.
• Ekinci, E. B. M., Alhan, A., & Ergör, Z. B. (2016). Parametrik Olmayan Regresyon Analizi: Faiz oranı, Enflasyon ve Döviz Kuru Arasındaki İlişkinin İncelenmesi Örneği. Bankacılık ve Sigortacılık Araştırmaları Dergisi, 2(9), 28-37.
• Engel, C., Lee, D., Liu, C., Liu, C., & Wu, S. P. Y. (2019). The uncovered interest parity puzzle, exchange rate forecasting, and Taylor rules. Journal of International Money and Finance, 95, 317-331.
• Engle, R. F., & Granger, C. W. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica: journal of the Econometric Society, 251-276.
• Erdoğan, S., Karacan, R., & Alpaslan, B. (2013). Interest Rates, Exchange Rates and Macroeconomic Performance.
• Eroğlu, N., & Kara, F. (2017). Türkiye’de makro ihtiyati para politikası araçlarının makroekonomik değişkenlere etkisinin var analizi ile incelenmesi. İstanbul İktisat Dergisi, 67(2), 59-88.
• Ersin, İ., & Eti, S. (2017). Measuring the Waste-Conscious and Saving Habits of the Youth in Turkey: The Sample of Istanbul Medipol University. International Journal of Islamic Economics and Finance Studies, 3(3).
• Gagnon, J. E., Bayoumi, T., Londono, J. M., Saborowski, C., & Sapriza, H. (2017). Direct and spillover effects of unconventional monetary and exchange rate policies. Open Economies Review, 28(2), 191-232.
• Goldfajn, I., & Baig, T. (1998). Monetary policy in the aftermath of currency crises: the case of Asia. Available at SSRN 142275.
• Gould, D. M., & Kamin, S. B. (2001). The impact of monetary policy on exchange rates during financial crises. Financial crises in emerging markets, 384-420.
• Gumus, I. (2002). Effects of the interest rate defense on exchange rates during the 1994 crisis in Turkey (No. 0214).
• Günaydın, İ. (2004). Vergi-harcama tartışması: Türkiye örneği. Doğuş Üniversitesi Dergisi, 5(1).
• Hamrita, M. E., & Trifi, A. (2011). The relationship between interest rate, exchange rate and stock price: A wavelet analysis. International Journal of Economics and Financial Issues, 1(4), 220-228.
• Hnatkovska, V., Lahiri, A., & Vegh, C. A. (2013). Interest rate and the exchange rate: A non-monotonic tale. European Economic Review, 63, 68-93.
• Kalkavan, H., & Ersin, I. (2019). Determination of Factors Affecting the South East Asian Crisis of 1997 Probit-Logit Panel Regression: The South East Asian Crisis. In Handbook of Research on Global Issues in Financial Communication and Investment Decision Making (pp. 148-167). IGI Global.
• Karaca, O. (2005). Türkiye'de Faiz Oranı ile Döviz Kuru Arasındaki Ilişki: Faizlerin Düşürülmesi Kurları Yükseltirmi? (No. 2005/14). Discussion Paper.
• Kasman, S., Vardar, G., & Tunç, G. (2011). The impact of interest rate and exchange rate volatility on banks' stock returns and volatility: Evidence from Turkey. Economic Modelling, 28(3), 1328-1334.
• Kayhan, S., Bayat, T., & Ugur, A. (2013). Interest Rates and Exchange Rate Relationship in BRIC-T Countries/BRIC-T Ülkelerinde Faiz Orani ve Döviz Kuru Iliskisi. Ege Akademik Bakis, 13(2), 227.
• Kraay, A. (2000). Do high interest rates defend currencies during speculative attacks?. The World Bank.
• Kurum, M , Oktar, S . (2019). Zorunlu Karşılık Politikasının Enflasyon Üzerindeki Etkisi: Türkiye Örneği. Ekonomi İşletme ve Maliye Araştırmaları Dergisi, 1 (3) , 186-204.
• Li, H., & Chiang, T. C. (2017). Regime Switching on the Relationship Between Stock Returns and Currency Values: Evidence From the 1997 Asian Crisis. In Handbook of Investors' Behavior During Financial Crises (pp. 257-276). Academic Press.
• Meese, R., & Rogofp, K. (1988). Was it real? The exchange rate‐interest differential relation over the modern floating‐rate period. the Journal of Finance, 43(4), 933-948.
• Saraç, T. B., & Karagöz, K. (2016). Impact of short-term interest rate on exchange rate: the case of Turkey. Procedia economics and finance, 38, 195-202.
• Sever, E., & Mızrak, Z. (2007). Döviz kuru enflasyon ve faiz oranı arasındaki ilişkiler: Türkiye uygulaması.SÜ İİBF Sosyal ve Ekonomik Araştırmalar Dergisi.(13), 264-283.
• Tang, T. C. (2010). Real exchange rates and real interest differentials: The case of a transitional economy-Cambodia (No. 08-10). Monash University, Department of Economics.
• Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of econometrics, 66(1-2), 225-250.
• Vithessonthi, C. (2014). Monetary policy and the first-and second-moment exchange rate change during the global financial crisis: Evidence from Thailand. Journal of International Financial Markets, Institutions and Money, 29, 170-194.