Akademik Veri Yönetim Sistemi
Uluslararası Yönetim İktisat ve İşletme Kongresi'24, Zonguldak, Türkiye, 9 - 10 Mayıs 2024, ss.1-2
Inflation, interest rate
and exchange rate variables are important for the macroeconomic stability of
countries. High inflation has been a major problem in Turkey, especially since
the 1980s. Volatility in exchange rates, on the other hand, increases the
vulnerability of the economy and paves the way for financial crises. The
instability in interest rates also negatively affects the national economy,
especially in terms of investment decisions. The aim of this study is to reveal
the interrelationships among exchange rates, inflation and interest rates in
the Turkish economy. In this framework, dollar exchange rate, CPI and deposit
interest rates between January 2005 and October 23 are used as the data set.
The data were obtained from the Central Bank's EDS website. ARDL method was
used as the methodology in the study. The difference of the study from the
literature is that structural breaks are included in the econometric model.
According to the findings of the study, there is a long-run cointegration
relationship between the variables. Moreover, it is observed that the error
correction model works. In other words, short-run deviations are eliminated in
the long run and the equilibrium relationship is restored. It takes
approximately 9 months to eliminate these deviations. In the long run, a 1%
increase in the interest rate increases the dollar exchange rate by approximately
0.19%. A 1% increase in the CPI increases the dollar exchange rate by
approximately 1.2%. In addition, structural breaks in August 2006, February
2015 and March 2020 were found to be statistically significant. In the short
run, a 1% increase in interest rates leads to an increase of approximately
0.17% in exchange rates. A 1% increase in CPI increases exchange rates by
approximately 0.94% in the short run.