Türkiye’de Döviz Kuru ve Faiz Oranı İlişkisinin Zaman Serisi Analizi ile İncelenmesi
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2022-01-18
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info:eu-repo/semantics/openAccess
Özet
Döviz kuru ve faiz, küreselleşen dünya ekonomilerinde ilgi odağı olan önemli makroekonomik değişkenlerdendir. Döviz kuru ve faiz oranı arasındaki ilişki, iktisat politikalarının belirlenmesi ve etkinliğindeki rolü sebebiyle ekonomik ve politik anlamda önem arz etmektedir. Literatürde döviz kuru ve faiz ilişkisini inceleyen birçok çalışma mevcut fakat çalışma sonuçları kullanılan yöntem, ülke ve incelenen döneme göre farklılıklar göstermektedir. Bu çalışmada, döviz kuru ve faiz oranı arasındaki ilişki teorik olarak açıklanmış ve Türkiye ekonomisinde döviz kuru ve faiz arasındaki ilişkinin 2005-2020 dönemi aylık veriler ile ampirik analizi yapılmıştır. Analizde zaman serisi yöntemi ile ARDL sınır testinden yararlanılmış ve bu doğrultuda değişkenlerin ADF ve PP testleri ile durağanlıkları belirlenip ARDL sınır testi yardımıyla uzun dönem ilişkisi karşılıklı olarak analiz edilmiştir. Analiz sonucunda değişkenler arasında eşbütünleşik bir ilişki olduğu ve faiz ile döviz arasında istatistiki açıdan anlamlı bir ilişki olduğu sonucuna varılmıştır.
Exchange rate and interest rate are the important macroeconomic variables that are in the focus of attention in globalizing World economies. The relationship between the exchange rate and the interest rate is important economically and politically due to their roles in the determination and effectiveness of economic policies. There are many studies in the literature examining the relationship between exchange rate and the interest rate, but the results of the studies differ according to the used method , the country and the period studied. In this study, the relationship between the exchange rate and interest rate is explained theoretically and empirical analysis of the relationship between exchange rate and interest rate in the Turkish economy is made utilizing monthly data for the period 2005-2020. In the analysis, the ARDL bound test with the time series method is used, and in this direction, the stationarity of the variables are determined by the ADF and PP tests, and the long-term relationship of the ARDL bound tests are analyzed. As a result of the analysis, it is concluded that there is a cointegrated relationship between the variables and that there is a statistically significant relationship between the interest and the exchange rate."
Exchange rate and interest rate are the important macroeconomic variables that are in the focus of attention in globalizing World economies. The relationship between the exchange rate and the interest rate is important economically and politically due to their roles in the determination and effectiveness of economic policies. There are many studies in the literature examining the relationship between exchange rate and the interest rate, but the results of the studies differ according to the used method , the country and the period studied. In this study, the relationship between the exchange rate and interest rate is explained theoretically and empirical analysis of the relationship between exchange rate and interest rate in the Turkish economy is made utilizing monthly data for the period 2005-2020. In the analysis, the ARDL bound test with the time series method is used, and in this direction, the stationarity of the variables are determined by the ADF and PP tests, and the long-term relationship of the ARDL bound tests are analyzed. As a result of the analysis, it is concluded that there is a cointegrated relationship between the variables and that there is a statistically significant relationship between the interest and the exchange rate."
Açıklama
Anahtar Kelimeler
Döviz Kuru, Faiz Oranı, ARDL, Exchange Rate, Interest Rate, ARDL
