THE NEXUS BETWEEN NOMINAL INTEREST RATE AND EXCHANGE RATE. THE CASE OF TURKEY 1987-2016

Öz

Çalışma, nominal faiz oranı ile döviz kuru arasındaki ilişkiyi ve döviz kurundaki dalgalanmaları belirleyen faktörleri ve bunun Türkiye'deki nominal faiz oranına etkisini incelemiştir. Araştırma, 1987'den 2016'ya kadar bir zaman serisi verisi kullanmıştır. Belirlenen hedefleri elde etmek için benimsenen anahtar zaman serileri ve ekonometrik model, Etki Tepki Fonksyonu ETF , Varyans Ayrıştırma ve Granger Nedensellik testi idi. VAR modelinin analizinde kullanılan önemli makroekonomik değişkenler nominal faiz oranı, döviz kuru, geniş para arzı M2 , GSYİH deflatörü ve enflasyon deflatörü olmuştur. Sonuçlar, şokların etkisinin bütünüyle zaman tüketilmemesini gösterir. Bu, değişkenlerin hata oluştuktan sonra denge seviyesine dönmediği anlamına gelir. Böylece, nominal faiz oranının başlangıçta artması, yabancı paranın değer kaybına yol açarak, ihracatı engelleyerek, yerli üretimde bir azalmaya yol açmaktadır. Choleski'nin ayrışması, iç piyasadaki döviz kurlarının olduğunu göstermektedir. Bununla birlikte, Granger nedensellik testi, geniş para arzının M2 faiz oranına neden olduğunu göstermektedir. Herhangi bir artışın dolaşımdaki para arzındaki azalmaya yol açtığı anlamına gelir. Araştırma, doğrudan yabancı yatırımları teşvik ederek güçlü para ve maliye politikalarının teşvik edilmesini önermektedir. Türk parasının aşırı değer kaybını telafi etmek için, para otoriteleri faiz oranını yükseltmelidir. Bu, yabancı sermayeyi çekecek ve piyasadaki para arzındaki düşüşle enflasyonu azaltacaktır.

Anahtar Kelimeler

• Anathar kelmeler: Etki tepki fonksyonu,Granger nedensellik,nominal Faiz oranı,dövüz kuru oranı

NOMİNAL FAİZ ORANI VE DÖVÜZ KURU ORANI ARASINDAKİ İLİŞKİ.TÜRKİYE ÖRNEĞİ 1987-2016

Abstract

The study critically sifted the nexus between nominal interest rate and exchange rate and factors that determines the exchange rate fluctuations and its impact on the nominal interest rate in Turkey. The research employed a time series data spanning from 1987 to 2016. The key time series and econometric model adopted to obtain the set objectives were the Impulse Response Function IRF , Variance Decomposition and Granger Causality test. The macroeconomic variables employed in the analysis were the nominal interest rate, exchange rate, broad money supply M2 , GDP deflator and inflation deflator. The results reveals that the impact of shocks is not totally consumed overtime. This means that the variables do not return to their equilibrium level after the occurrence of the error term. Thus an increase in nominal interest rate at the beginning period leads to the depreciation of the foreign currency, which hinders exports and leads to a decrease in domestic production. The decomposition of Choleski shows that the exchange rate contributes little in determining the interest rate on the Turkish domestic market. However, the Granger causality test indicates that broad money supply M2 causes the interest rate. Meaning that any increase in interest rate leads to a decrease in money supply in circulation. In order to remedy the excessive depreciation of the Turkish currency, the monetary authorities must increase the interest rate in the very short term. This would attract foreign capital and reduce inflation through a reduction in the supply of money in the market.

Keywords

• Keywords: Impulse Response Function,Causality,Nominal Interest Rate,Exchange Rate

Kaynakça

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