Abstract
Exchange Rate, Inflation and Interest Rate Relationship in Turkey: 2009-2017 Application
In this study, the relationship between exchange rate, inflation and interest rate was analyzed within the framework of VAR model. In this context, monthly data for the period 2009:01-2017:12 were used. In this study, the expanded Dickey-fuller unit root test was applied to ensure the stability of the series. The Granger Causality Test was performed to find the causality relationship between the variables. Accordingly, the exchange rate the reason why both inflation and interest, concluded that the inflation cause of interest. To determine the relationship between the variables with the VAR (Vector Autoregressive Model) model, impact-response graphs and variance decomposition table were created. According to the impact-response analysis, a shock the exchange rate was interest negative for 12 periods, whereas inflation was negative for the 6th period. In addition, a shocking event in inflation, the interest had a positive response, for two period. According to the variance decomposition table, the most important factor on the inflation and interest rate was the exchange rate
Keywords
Exchange rate, ınflation, ınterest rate, unit root test, granger causality.
