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The relationship between foreign exchange rate, interest rate and inflation in Turkey: ARDL approach

Year 2021, Volume: 3 Issue: 1, 19 - 23, 30.06.2021

Yaşar Turna Abdulvahap Özcan

Abstract

Different policies at various times in order to ensure price stability in Turkey were applied. The policies implemented in the fight against inflation have been effective in some periods, while in some periods, the increase in inflation has continued. For this reason, the phenomenon of inflation and the factors that cause inflation have attracted wide interest in the literature. The interest rate in Turkey's economy and the exchange rate as macroeconomic variables in this study that examined the effects on inflation, the 2005Q1-2019Q2 period between obtained from the Central Bank database inflation, exchange rate and analyzed using data on the rate of interest is made. ARDL (Auto-Regressive Distributed Lag) model was used to test the relationship between variables in the study. Accordingly, when the test results are analyzed ARDL Turkey in exchange rates and interest rates in the short and long term variable has concluded that the cause inflation.

Keywords

Exchange Rate Inflation Interest rate

References

  • Abasimi, I., Li, X., Salim, A. and Vorlak, L. (2018). the dynamics of inflation, money growth, exchange rates and interest rates in Ghana, Journal of Business Management and Economic Research, 2(6): 21-32.
  • Akel, V. and Gazel, S., (2014). Döviz kurlari ile BIST sanayi endeksi arasindaki eş bütünleşme ilişkisi: Bir ARDL sinir testi yaklaşimi, J. of Erciyes University, Faculty of Economics and Administrative Sciences, 44: 23-4.
  • Chıaraah, A. and Nkegbe, P. K., (2014). Gdp growth, money growth, exchange rate and inflation in Ghan”, Journal of Contemporary Issues in Business Research ISSN 2305-8277 (Online), 3(2): 75-87.
  • Doğan, B., Eroğlu, Ö. and Değer, O. (2016). Enflasyon ve faiz orani arasindaki nedensellik ilişkisi: Türkiye örneği, Çankırı Karatekin University Journal of The Faculty of Economics and Administrative Sciences, http://dx.doi.org/10.18074/cnuiibf.258.
  • Dogru, T., Isik, C. and Sirakaya-Turk, E. (2019). The balance of trade and exchange rates: Theory and contemporary evidence from tourism, Tourism Management, 74: 12-23.
  • Ebiringa, O. T. and Anyaogu, N. B. (2014). Exchange rate, inflation and interest rates relationships: An autoregressive distributed lag analysis, Journal of Economics and Development Studies, 2(2): 263-279.
  • Isik, C., Radulescu, M. and Fedajev, A. (2019). The effects of exchange rate depreciations and appreciations on the tourism trade balance: The case of Spain, Eastern Journal of European Studies, 10(1).
  • Kaya H. (2018). 2001 Krizi sonrasi Türkiye’de döviz kuru ve enflasyon ilişkisi: Döviz kuru geçiş etkisinin VAR analizi, Journal of Ankara University Faculty of Political Sciences, 73: 841 – 865.
  • McCallum B. T., Nelson E., (1999). Nominal Income Targeting in an Open Economy Optimizing Model, Journal of Monetary Economics 43: 553–578.
  • Mercan, M. (2013). Enflasyon ve nominal faiz oranlari arasindaki uzun dönem ilişkinin fisher hipotezi çerçevesinde test edilmesi: Türkiye örneği, Atatürk University Journal of Economics and Administrative Sciences, 27(4).
  • Mpofu, T. R. (2011). Money supply, interest rate, exchange rate and oil price influence on inflation in South Africa, Corporate Ownership & Control / 8(3).
  • Muço, M., Sanfey, P. and Taci, A. (2004). Inflation, exchange rates and the role of monetary policy in Albania, European Bank for Reconstruction and Development, Working paper No. 88.
  • Nucu, A. E. (2011). The relationship between exchange rate and key macroeconomic indicators. case study: Romania, The Romanian Economic Journal: no. 41.
  • Pesaran, M.H., Shin, Y. and Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships, Journal Of Applied Econometrics, 16: 289–326.
  • Sargent T. J. and Wallace N. (1981). Some unpleasant monetarist arithmetic, Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall. 5(3).
  • Syzdykova, A. (2016). Döviz kuru ve enflasyon arasindaki ilişki: BRIC ülkeleri örneği, Journal of International Management and Social Researches ISSN:2148-1415.
  • Şahin, İ. and Karanfil, M. (2015). Türkiye ekonomisinde 1980-2013 dönemi para arzinin enflasyon üzerindeki etkisi, Business and Economics Research Journal, 6(4): 97-113.
  • Taban, S. and Şengür, M. (2016). Türkiye’de enflasyonun kaynağinin belirlenmesine yönelik ekonometrik bir analiz, Journal of Erciyes University Faculty of Economics and Administrative Sciences, 47: 47-64.
  • Tariq, M. A., Mahmood, M. T. and Bashir, T. (2015). Impact of interest rate, inflation and money supply on exchange rate volatility in Pakistan. World Applied Sciences Journal 33 (4): 620-630.
  • Tunalı, H. and Erönal, Y. (2016). Enflasyon ve faiz orani ilişkisi: türkiye’de fisher etkisinin geçerliliği, Journal of Süleyman Demirel University Faculty of Economics and Administrative Sciences, 21(4): 415-1431.
  • Türkiye Cumhuriyet Merkez Bankası (2013). Enflasyon ve fiyat istikrari raporu, www.tcmb.gov.tr, (date of access:22.01.2020). 01.2020)

The relationship between foreign exchange rate, interest rate and inflation in Turkey: ARDL approach

Year 2021, Volume: 3 Issue: 1, 19 - 23, 30.06.2021

Yaşar Turna Abdulvahap Özcan

Abstract

Türkiye’de fiyat istikrarının sağlanabilmesi için çeşitli dönemlerde farklı politikalar uygulanmıştır. Enflasyonla mücadelede uygulanan politikalar bazı dönemlerde etkili olmuş, bazı dönemlerde ise etkisiz kalarak enflasyondaki yükselme devam etmiştir. Bu nedenle enflasyon olgusu ve enflasyona neden olan faktörler literatürde geniş bir ilgi alanı bulmuştur. Türkiye ekonomisinde faiz oranı ve döviz kuru gibi makroekonomik değişkenlerin enflasyon üzerindeki etkilerinin incelendiği bu çalışmada, 2005Q1-2019Q2 dönemleri arasında TCMB veri tabanından elde edilen enflasyon, döviz kuru ve faiz oranına ilişkin veriler kullanılarak analiz yapılmıştır. Çalışmada değişkenler arasındaki ilişkinin test edilmesi amacıyla ARDL (Auto-Regressive Distributed Lag) modeli kullanılmıştır. Buna göre ARDL testi sonuçları incelendiğinde Türkiye’ de döviz kuru ve faiz oranı değişkenlerinin kısa ve uzun dönemde enflasyona neden olduğu sonucuna ulaşılmıştır.

Keywords

Exchange Rate Inflation Interest rate ARDL

References

  • Abasimi, I., Li, X., Salim, A. and Vorlak, L. (2018). the dynamics of inflation, money growth, exchange rates and interest rates in Ghana, Journal of Business Management and Economic Research, 2(6): 21-32.
  • Akel, V. and Gazel, S., (2014). Döviz kurlari ile BIST sanayi endeksi arasindaki eş bütünleşme ilişkisi: Bir ARDL sinir testi yaklaşimi, J. of Erciyes University, Faculty of Economics and Administrative Sciences, 44: 23-4.
  • Chıaraah, A. and Nkegbe, P. K., (2014). Gdp growth, money growth, exchange rate and inflation in Ghan”, Journal of Contemporary Issues in Business Research ISSN 2305-8277 (Online), 3(2): 75-87.
  • Doğan, B., Eroğlu, Ö. and Değer, O. (2016). Enflasyon ve faiz orani arasindaki nedensellik ilişkisi: Türkiye örneği, Çankırı Karatekin University Journal of The Faculty of Economics and Administrative Sciences, http://dx.doi.org/10.18074/cnuiibf.258.
  • Dogru, T., Isik, C. and Sirakaya-Turk, E. (2019). The balance of trade and exchange rates: Theory and contemporary evidence from tourism, Tourism Management, 74: 12-23.
  • Ebiringa, O. T. and Anyaogu, N. B. (2014). Exchange rate, inflation and interest rates relationships: An autoregressive distributed lag analysis, Journal of Economics and Development Studies, 2(2): 263-279.
  • Isik, C., Radulescu, M. and Fedajev, A. (2019). The effects of exchange rate depreciations and appreciations on the tourism trade balance: The case of Spain, Eastern Journal of European Studies, 10(1).
  • Kaya H. (2018). 2001 Krizi sonrasi Türkiye’de döviz kuru ve enflasyon ilişkisi: Döviz kuru geçiş etkisinin VAR analizi, Journal of Ankara University Faculty of Political Sciences, 73: 841 – 865.
  • McCallum B. T., Nelson E., (1999). Nominal Income Targeting in an Open Economy Optimizing Model, Journal of Monetary Economics 43: 553–578.
  • Mercan, M. (2013). Enflasyon ve nominal faiz oranlari arasindaki uzun dönem ilişkinin fisher hipotezi çerçevesinde test edilmesi: Türkiye örneği, Atatürk University Journal of Economics and Administrative Sciences, 27(4).
  • Mpofu, T. R. (2011). Money supply, interest rate, exchange rate and oil price influence on inflation in South Africa, Corporate Ownership & Control / 8(3).
  • Muço, M., Sanfey, P. and Taci, A. (2004). Inflation, exchange rates and the role of monetary policy in Albania, European Bank for Reconstruction and Development, Working paper No. 88.
  • Nucu, A. E. (2011). The relationship between exchange rate and key macroeconomic indicators. case study: Romania, The Romanian Economic Journal: no. 41.
  • Pesaran, M.H., Shin, Y. and Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships, Journal Of Applied Econometrics, 16: 289–326.
  • Sargent T. J. and Wallace N. (1981). Some unpleasant monetarist arithmetic, Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall. 5(3).
  • Syzdykova, A. (2016). Döviz kuru ve enflasyon arasindaki ilişki: BRIC ülkeleri örneği, Journal of International Management and Social Researches ISSN:2148-1415.
  • Şahin, İ. and Karanfil, M. (2015). Türkiye ekonomisinde 1980-2013 dönemi para arzinin enflasyon üzerindeki etkisi, Business and Economics Research Journal, 6(4): 97-113.
  • Taban, S. and Şengür, M. (2016). Türkiye’de enflasyonun kaynağinin belirlenmesine yönelik ekonometrik bir analiz, Journal of Erciyes University Faculty of Economics and Administrative Sciences, 47: 47-64.
  • Tariq, M. A., Mahmood, M. T. and Bashir, T. (2015). Impact of interest rate, inflation and money supply on exchange rate volatility in Pakistan. World Applied Sciences Journal 33 (4): 620-630.
  • Tunalı, H. and Erönal, Y. (2016). Enflasyon ve faiz orani ilişkisi: türkiye’de fisher etkisinin geçerliliği, Journal of Süleyman Demirel University Faculty of Economics and Administrative Sciences, 21(4): 415-1431.
  • Türkiye Cumhuriyet Merkez Bankası (2013). Enflasyon ve fiyat istikrari raporu, www.tcmb.gov.tr, (date of access:22.01.2020). 01.2020)
There are 21 citations in total.

Details

Primary Language English
Subjects Economics
Journal Section Research Articles
Authors

Yaşar Turna 0000-0002-3972-9099

Abdulvahap Özcan 0000-0002-9784-1898

Publication Date June 30, 2021
Submission Date April 22, 2020
Published in Issue Year 2021 Volume: 3 Issue: 1

Cite

APA Turna, Y., & Özcan, A. (2021). The relationship between foreign exchange rate, interest rate and inflation in Turkey: ARDL approach. Journal of Ekonomi, 3(1), 19-23.
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