THE EFFECTS OF INFLATION AND INTEREST RATES ON THE EXCHANGE RATE IN TÜRKİYE: THE ARDL MODEL APPROACH

Öz

Inflation, interest rates and exchange rates are among the most fundamental factors determining the macroeconomic stability of a country. The main objective of this study is to investigate the impact of inflation and interest rates on exchange rates in the Turkish economy. In this context, data on the dollar exchange rate, Consumer Price Index (CPI) and deposit interest rates between January 2005 and October 23 are analyzed. The data are obtained from the Central Bank of the Republic of Türkiye. The methodological approach of the study is based on the Autoregressive Distributed Lag (ARDL) model. The results of the study show that there is a long-run cointegration relationship between the variables and that the error correction model works. The findings reveal that a 1% increase in interest rates increases the dollar exchange rate by 0.19% and a 1% increase in CPI increases the dollar exchange rate by 1.2% in the long run. The study brings a new perspective to the existing literature. In particular, the inclusion of structural breaks in the econometric model allows for a more accurate and comprehensive assessment of these relationships. This approach enables the analysis to produce more realistic results by taking into account important turning points that may have been overlooked in previous studies. In addition to its contribution to the literature, the study is a valuable resource for policymakers.

Anahtar Kelimeler

• Exchange rate
• CPI
• Interest rate
• ARDL.

TÜRKİYE EKONOMİSİNDE ENFLASYON VE FAİZ ORANLARININ DÖVİZ KURU ÜZERİNDEKİ ETKİLERİ: ARDL MODELİ YAKLAŞIMI

Öz

Enflasyon, faiz oranları ve döviz kuru, bir ülkenin makroekonomik istikrarını belirleyen en temel unsurlar arasında yer almaktadır. Bu çalışmanın temel amacı, Türkiye ekonomisinde enflasyon ve faiz oranlarının döviz kurlarına etkisini sorgulamaktır. Bu bağlamda, 2005 Ocak-2023 Ekim dönemi arasında dolar kuru, Tüketici Fiyat Endeksi (TÜFE) ve mevduat faiz oranları verileri incelenmiştir. Veriler, Türkiye Cumhuriyet Merkez Bankası'ndan temin edilmiştir. Çalışmanın metodolojik yaklaşımı, Autoregressive Distributed Lag (ARDL) modeli üzerine kurulmuştur. Çalışmanın sonuçları, değişkenler arasında uzun dönemde bir eşbütünleşme ilişkisi olduğunu ve hata düzeltme modelinin işlediğini göstermektedir. Bulgular, faiz oranlarındaki %1’lik bir artışın uzun dönemde dolar kurunu %0,19, TÜFE'deki %1’lik artışın ise dolar kurunu %1,2 artırdığını ortaya koymaktadır. Çalışma, mevcut literatüre yeni bir perspektif kazandırmaktadır. Özellikle, yapısal kırılmaların ekonometrik modele dâhil edilmesi, bu ilişkilerin daha doğru ve kapsamlı bir şekilde değerlendirilmesine olanak tanımaktadır. Bu yaklaşım, önceki araştırmalarda göz ardı edilebilecek önemli dönüm noktalarını da hesaba katarak, analizlerin daha gerçekçi sonuçlar üretmesini sağlamaktadır. Çalışma, literatüre sunduğu katkının yanı sıra politika yapıcılar için değerli bir kaynak niteliğindedir.

Anahtar Kelimeler

• Döviz kuru
• TÜFE
• Faiz oranı
• ARDL

Kaynakça

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