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

Yıl 2024, Cilt: 20 Sayı: ICMEB'24 Özel Sayı, 447 - 465, 30.10.2024
https://doi.org/10.17130/ijmeb.1486700

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.

Kaynakça

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  • Akıncı, M., & Yılmaz, Ö. (2016). Enflasyon-faiz oranı takası: Fisher Hipotezi bağlamında Türkiye ekonomisi için dinamik en küçük kareler yöntemi. Sosyoekonomi, 24(27), 33-55.
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THE EFFECTS OF INFLATION AND INTEREST RATES ON THE EXCHANGE RATE IN TÜRKİYE: THE ARDL MODEL APPROACH

Yıl 2024, Cilt: 20 Sayı: ICMEB'24 Özel Sayı, 447 - 465, 30.10.2024
https://doi.org/10.17130/ijmeb.1486700

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.

Kaynakça

  • Ahmed, R. S. (2023). Can exchange rates and interest rates affect macroeconomic indicators (inflation, unemployment & economic growth)? The evidence from Egypt. Al-Mağallah Al-ʿilmiyyaẗ Lil Dirāsāt wa Al-Buḥūṯ Al-Māliyyaẗ wa Al-Tiğāriyyaẗ (Print), 4(1), 849-888.
  • Aji, T. S., Prabowo, P. S., & Canggih, C. (2021). Causality relationship among interest rate, inflation, exchange rate using vector autoregression. Economics, Management and Sustainability, 6(1), 49–60.
  • Akcan, A. T. (2019). Inflation–interest interaction before and after the mortgage crisis: The case of Turkey. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, 7(4), 239–244.
  • Akgül, I., & Özdemir, S. (2018). Enflasyon-faiz oranı ve enflasyon-döviz kuru ikilemi: GEG programı döneminde Türkiye gerçeği. Ege Akademik Bakış, 18(1), 153-165.
  • Akıncı, M., & Yılmaz, Ö. (2016). Enflasyon-faiz oranı takası: Fisher Hipotezi bağlamında Türkiye ekonomisi için dinamik en küçük kareler yöntemi. Sosyoekonomi, 24(27), 33-55.
  • Alacahan, N. D. (2011). Enflasyon hedeflemesi uygulayan ülkelerde enflasyon-döviz kuru ilişkisi ve Türkiye uygulaması. (Yayımlanmamış Doktora Tezi). İstanbul Üniversitesi, Sosyal Bilimler Enstitüsü, İstanbul).
  • Asari, F. F. A. H., Baharuddin, N. S., Jusoh, N., Mohamad, Z., Shamsudin, N., & Jusoff, K. (2011). A vector error correction model (VECM) approach in explaining the relationship between interest rate and inflation rate towards exchange rate volatility in Malaysia. World Applied Sciences Journal, 12(3), 49-56. https://api.semanticscholar.org/CorpusID:12348287
  • Atgür, M., & Altay, N. O. (2015). Enflasyon ve nominal faiz oranı ilişkisi: Türkiye örneği (2004-2013). Yönetim ve Ekonomi, 22(2), 521-533.
  • Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66, 47-78.
  • Bai, J., & Perron, P. (2003). Computation and analysis of multiple structural change models. Journal of Applied Econometrics, 18, 1-22.
  • Bayat, T. (2011). Türkiye'de Fisher etkisinin geçerliliği: Doğrusal olmayan eşbütünleşme yaklaşımı. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 38, 47-60.
  • Boratav, K. (2015). Türkiye İktisat Tarihi. Ankara: İmge Kitabevi.
  • Bozdağlıoğlu, E.Y., & Yılmaz, M. (2017). Türkiye’de enflasyon ve döviz kuru ilişkisi: 1994-2014 yılları arası Bir inceleme. Bitlis Eren Üniversitesi İktisadi ve İdari Bilimler Fakültesi Akademik İzdüşüm Dergisi, 2(3), 1-20.
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  • Lanne, M. (2001). Near unit root and the relationship between inflation and interest rates: A reexamination of the Fisher Effect. Empirical Economies, 26, 357-366.
  • Lebe F., & Özalp, L. F. (2016). Fisher Hipotezinin alternatif faiz oranları ile Türkiye Ekonomisi açısından analizi. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 33(1), 95-122.
  • Lee, J., & Strazicich, M.C. (2003), Minimum lagrange multiplier unit root test with two structural breaks. The Review of Economics and Statistics, 85(4), 1082-1089.
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  • Mazlum, N. (2020). 1980-2018 dönemi Türkiye ekonomisi ve dış ticaretinin gelişim seyri. Gümrük ve Ticaret Dergisi, 7(22)
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  • Monfared, S. S., & Akın, F. (2017). The relationship between exchage rates and inflation: The case of Iran. European Journal of Sustainable Development, 6(4):329-340.
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  • Olgun, M. E. (2022). Interest rate and inflation: Is there a Fisher or Neo-Fisher Effect? Evidence from Turkey, Yönetim Bilimleri Dergisi, 20(45), 759-775.
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  • Özbek, S. (2022). Enflasyon, faiz, ve döviz kuru ilişkisi: Seçilmiş gelişmiş ve gelişmekte olan ülkeler örneği. Ankara: İKSAD Yayınevi
  • Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57, 1361-1401.
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  • Shastri, S. ve Shastri, S. (2016). Exchange rate interest rate linkages in India: An empirical investigation, Journal of Financial Economic Policy, 8(4), 443-457.
  • Si, D. K., Li, X. L., & Ge, X. (2020). On the link between the exchange rates and interest rate differentials in China: evidence from an asymmetric wavelet analysis. Empir Econ, 59, 2925–2946.
  • Singh, V. V., & Saxena, S. P. (2022). Causal analysis of the relationship among inflation, interest rate and exchange rate: evidence from India. Int J Foreign Trade Int Bus, 4(2), 45-51.
  • Sumantri, V., D., S., & Fadli, F. (2022). Analysis of macroeconomic variables affecting inflation and exchange rates. Integrated Journal of Business and Economics, 6(2), 102-102. doi: 10.33019/ijbe.v6i2.417.
  • Terzi, H. & Kurt, S. (2007). Türkiye'de dolarizasyon sürecinde döviz kuru ve enflasyon ilişkisi. Ekonomik Yaklasim, 18(64), 1-22.
  • Torun, M., & Karanfil, M. (2016). 1980-2013 dönemi Türkiye Ekonomisinde enflasyon ve faiz oranı arasındaki ilişki. Yönetim Bilimleri Dergisi, 14(27), 473-490.
  • Türk, E., & Çetin, A. (2015). Dövı̇z kurundan fı̇yatlara geçı̇ş etkı̇sı̇nı̇n Granger Nedensellı̇k Testı̇ ı̇le incelenmesı̇ Türkı̇ye Örneğı̇. Kırıkkale Üniversitesi Sosyal Bilimler Dergisi, 5(1), 27-38.
  • Uribe, M. (2017). The Neo-Fisher Effect in the United States and Japan. National Bureau of Economic Research, Working Paper 23977, 1-30.
  • Yılancı, V. (2009). Fisher Hipotezinin Türkiye için sınanması: Doğrusal olmayan eşbütünleşme analizi. Atatürk Üniversitesi İİBF Dergisi, 23, 205-213.
  • Zulfikar, A. L., & Fajri, A. F. M. S. (2023). Causality analysis of the money supply and interest rate and its effect on inflation and investment in Indonesia. The Es Economics and Entrepreneurship, 1(03), 98–103.
Toplam 96 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Ekonometrik ve İstatistiksel Yöntemler
Bölüm Araştırma Makaleleri
Yazarlar

Gülgün Çiğdem 0000-0001-5353-8638

Atilla Aydın 0000-0002-9265-5930

Erken Görünüm Tarihi 24 Ekim 2024
Yayımlanma Tarihi 30 Ekim 2024
Gönderilme Tarihi 20 Mayıs 2024
Kabul Tarihi 25 Eylül 2024
Yayımlandığı Sayı Yıl 2024 Cilt: 20 Sayı: ICMEB'24 Özel Sayı

Kaynak Göster

APA Çiğdem, G., & Aydın, A. (2024). TÜRKİYE EKONOMİSİNDE ENFLASYON VE FAİZ ORANLARININ DÖVİZ KURU ÜZERİNDEKİ ETKİLERİ: ARDL MODELİ YAKLAŞIMI. Uluslararası Yönetim İktisat Ve İşletme Dergisi, 20(ICMEB’24 Özel Sayı), 447-465. https://doi.org/10.17130/ijmeb.1486700