A RESEARCH ON RELATIONS BETWEEN THE INTEREST RATE AND EXCHANGE RATE IN TURKEY Cover Image

TÜRKİYE’DE FAİZ ORANI VE DÖVİZ KURU İLİŞKİSİ ÜZERİNE BİR ARAŞTIRMA
A RESEARCH ON RELATIONS BETWEEN THE INTEREST RATE AND EXCHANGE RATE IN TURKEY

Author(s): Dilara AYLA
Subject(s): National Economy, Evaluation research, Financial Markets
Published by: Bingöl Üniversitesi Sosyal Bilimler Enstitüsü
Keywords: Exchange Rate; Interest Rate; Cointegration; Causality; ECM Method;

Summary/Abstract: This study has designed to investigate the cointegration and causality relationship between short-term real interest rates and average exchange rates for Turkish economy by the period of 2006:Q1-2017:Q4. According to the Engle-Granger cointegration test results, imply that short term real interest rates and average exchange rate variables act together in long term. Whether the model variables with which the cointegration relationship is determined have any causality relationship was tested by Granger causality analysis based on the error correction model. Causality test result concluded that there was not any causal relations between the variables in question in the short term, but there was a mutual causal relations in the long run.

  • Issue Year: 9/2019
  • Issue No: 17
  • Page Range: 289-308
  • Page Count: 20
  • Language: Turkish