Publication: Türkiye'de döviz kuru ile faiz oranı arasındaki ilişki
Date
2021
Authors
Küçük, Eda
Journal Title
Journal ISSN
Volume Title
Publisher
İstanbul Kültür Üniversitesi / Lisansüstü Eğitim Enstitüsü / İktisat Ana Bilim Dalı / Yönetim Ekonomisi Bilim Dalı
Abstract
Bir ülkenin ekonomisinin makroekonomik açıdan dengede olabilmesi için döviz kuru ve faiz oranlarının dengede olması gerekmektedir. Bu değişkenler arasındaki dengede meydana gelebilecek bir bozulma ülke ekonomisi açısından negatif sonuçlar doğurmaktadır. Bu bozulma neticesinde ortaya çıkan negatif sonuçların düzeltilmesi için sorunun kaynağının detaylıca incelenmesi gerekmektedir. Unutulmamalıdır ki değişkenleri etkileyen etkenler dünya çapında meydana gelebilecek gelişmeler ve ülkenin ekonomik politikaları ile bağlantılıdır. Bu çalışma toplamda üç ana bölümden oluşmaktadır. Birinci kısımda döviz kuru ve faiz oranları hakkında teorik bilgilere yer verilmiştir. İkinci kısımda ise, Türkiye'nin 2010-2018 yılları arasındaki döviz kuru ve faiz oranları arasındaki bağ ve etkileri incelenmiştir. Üçüncü kısımda ise, bu ilişkiyi ortaya çıkartmak amacıyla ampirik çalışma yapılmıştır. Bu bağlamda Türkiye'nin 2010-2018 yılları arasındaki aylık verileri kullanılarak döviz kuru ve faiz oranı arasındaki ilişkileri Augmented Dickey-Fuller (ADF) Birim Kök Testi bağlamında analizi ile gerçekleştirilmiştir. Ayrıca Tez çalışmamda serilerin durağanlığı VAR modeli ile test edilmiştir. Döviz kuru ve faiz oranları arasındaki uzun vadeli ilişki Johansen Eşbütünleşme Testi ile sınanmıştır. Nedenselliğin belirlenmesi maksadıyla Granger nedensellik testi uygulanmıştır. Ortaya çıkan uzun vadeli ilişkinin yönü içinde Hata Düzeltme Modeline dayalı Granger nedensellik testi uygulanmıştır. İlk olarak değişkenlerin logaritmaları alınmış ve "Augmented Dickey-Fuller Birim Kök Testi" uygulanmıştır. Daha sonra, serilerde durağanlık olmadığı tespit edilmiş ve birinci farkları alınıp tekrardan "Augmented Dickey-Fuller Birim Kök Testi" uygulanıp durağanlık kontrolü yapılmıştır. Karakteristik köklerin birim çember içerisinde yer almasından ötürü tesis edilen VAR modelinde durağanlığın sağlanmış olduğu tespit edilmiştir. Değişkenler arasında kısa vadeli dönemde bir nedensellik ilişkisi olup olmadığı "Granger Nedensellik Testi" ile incelenmiştir. Bu teste göre kısa vadede döviz ve faiz arasında bir nedensellik ilişkisi tespit edilememiştir. Döviz kuru ve Faiz oranları arasındaki uzun vadeli ilişki, "Johansen Eşbütünleşme Testi" ile incelenmiştir. Döviz kuru ve faiz oranı arasında ortaya çıkan uzun vadeli ilişkinin yönünün anlaşılması için "Hata Düzeltme Modeline dayalı Granger Nedensellik Testi" uygulanmıştır. Anahtar Kelimeler: Döviz Kuru, Faiz Oranı, ADF Testi, Granger Nedensellik Testi, Johansen Eşbütünleşme Testi, Hata Düzeltme Modeline dayalı Granger Nedensellik Testi
In order for a country's economy to be in macroeconomic balance, the exchange rate and interest rates must be in balance. Any deterioration in the balance between these variables has negative consequences for the country's economy. In order to correct the negative consequences resulting from this deterioration, the source of the problem should be examined in detail. It should not be forgotten that the factors affecting the variables are linked to the developments that may occur around the world and the economic policies of the country. This study consists of three main sections in total. In the first part, theoretical information about exchange rate and interest rates is given. In the second part, the bond between exchange rates and interest rates and the effects of Turkey between the years 2010-2018 were examined. In the third part, an empirical study has been done to reveal this relationship. In this context, the relations between Turkey using monthly data for the years 2010-2018 the exchange rate and interest rate Augmented Dickey-Fuller (ADF) unit root test was carried out by analyzing the context. In addition, in my thesis, the inertia of the series was tested with the VAR model. The long-term relationship between exchange rate and interest rates has been tested with the Johansen Cointegration Test. The Granger Causality Test was applied to determine causality. Granger Causality Test based on Error Correction Model was applied in the direction of the resulting long-term relationship. First, the logarithms of the variables were taken and the "Augmented Dickey-Fuller Unit Root Test" was applied. Later, it was determined that there was no stationarity in the series and the first differences were taken and the "Augmented Dickey-Fuller Unit Root Test" was applied again and the stationarity was checked. Since the characteristic roots are located in the unit circle, it has been determined that the stability has been achieved in the VAR model established. Whether there is a causality relationship between the variables in the short term was examined with the "Granger Causality Test". According to this test, a causality relationship between currency and interest could not be determined in the short term. The long-term relationship between exchange rate and interest rates has been analyzed using the "Johansen Cointegration Test". "Granger Causality Test based on Error Correction Model" has been applied to understand the direction of the long-term relationship that arises between the exchange rate and the interest rate. Keywords: Exchange Rate, Interest Rate, ADF Test, Granger Causality Test, Johansen Cointegration Test, Granger Causality Test based on Error Correction Model
In order for a country's economy to be in macroeconomic balance, the exchange rate and interest rates must be in balance. Any deterioration in the balance between these variables has negative consequences for the country's economy. In order to correct the negative consequences resulting from this deterioration, the source of the problem should be examined in detail. It should not be forgotten that the factors affecting the variables are linked to the developments that may occur around the world and the economic policies of the country. This study consists of three main sections in total. In the first part, theoretical information about exchange rate and interest rates is given. In the second part, the bond between exchange rates and interest rates and the effects of Turkey between the years 2010-2018 were examined. In the third part, an empirical study has been done to reveal this relationship. In this context, the relations between Turkey using monthly data for the years 2010-2018 the exchange rate and interest rate Augmented Dickey-Fuller (ADF) unit root test was carried out by analyzing the context. In addition, in my thesis, the inertia of the series was tested with the VAR model. The long-term relationship between exchange rate and interest rates has been tested with the Johansen Cointegration Test. The Granger Causality Test was applied to determine causality. Granger Causality Test based on Error Correction Model was applied in the direction of the resulting long-term relationship. First, the logarithms of the variables were taken and the "Augmented Dickey-Fuller Unit Root Test" was applied. Later, it was determined that there was no stationarity in the series and the first differences were taken and the "Augmented Dickey-Fuller Unit Root Test" was applied again and the stationarity was checked. Since the characteristic roots are located in the unit circle, it has been determined that the stability has been achieved in the VAR model established. Whether there is a causality relationship between the variables in the short term was examined with the "Granger Causality Test". According to this test, a causality relationship between currency and interest could not be determined in the short term. The long-term relationship between exchange rate and interest rates has been analyzed using the "Johansen Cointegration Test". "Granger Causality Test based on Error Correction Model" has been applied to understand the direction of the long-term relationship that arises between the exchange rate and the interest rate. Keywords: Exchange Rate, Interest Rate, ADF Test, Granger Causality Test, Johansen Cointegration Test, Granger Causality Test based on Error Correction Model
Description
Keywords
Ekonomi, Economics