Frequency domain approach and short run and long run causality test: Evidence from Turkey for interest rate and exchange rate relationship

Bu çalışmada spektral analiz çerçevesinde frekans alanı yaklaşımı kullanılarak 1987:1-2008:1 periyodunda Türkiye'de Merkez Bankası'nın para politikası aracı olarak kullandığı kısa vadeli nominal faiz oranları ile nominal döviz kurlan arasında ilişkinin yönü ve boyutu analiz edilmiştir. Elde edilen bulgulara göre döviz kurundan faiz değişkenine doğru nedensellik ilişkisi sadece kısa dönemde geçerliyken bu ilişki; kriz öncesi, kriz dönemi ve sonrasında toplam 45 ay etkisini sürdürmüştür. Nedensellik ilişkisi coe(1.49, 1.94) frekanslan arasında ya da 1998:1-2001:3 periyodunda gözükmektedir. Uzun dönemde ise bu etki yerini döviz kurundan faiz oranlanna bırakmıştır.

Anahtar Kelimeler:

Türkiye, frekans, spektral analizler

Frekans alanı yaklaşımı ile kısa ve uzun dönemli nedensellik testi: Faiz-kur ilişkisi ve Türkiye örneği

Relationship between short term nominal interest rates and nominal exchange rates that the Central Bank in Turkey used as a means of monetary policy tool during the period of 1987:1-2008:1 was analysed by using frequency domain approach within the framework of spectral analysis. According to the findings, the causal relationship from the exchange rate to the interest rate was valid only for the short run, whereas this relationship was effective for totally 45 months before, during and after the crisis. The causal relationship was seen between the (1.49, 1.94) frequencies. However, in the long run this effect left its place to interest rates.

Keywords:

Turkey, frequency, spectral analysis,

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