FOURIER EVIDENCE ON THE RELATIONSHIP OF EXCHANGE RATE AND INFLATION IN TURKIYE

Meral Çabaş

Makale detayları

FOURIER EVIDENCE ON THE RELATIONSHIP OF EXCHANGE RATE AND INFLATION IN TURKIYE

Yazarlar:

Meral Çabaş

Yayıncı:

Erciyes University

Ana Başlıklar:

Enflasyon

Dergi:

Erciyes Akademi Vol.37 Issue 4, pp.1898-1912

Belge Tipi:

Makale

Yayın Tarihi:

12/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001307684

pISSN:

2757-7031

Anahtar kelimeler:

Özet:

 In this study, the effect of exchange rate on inflation was analyzed econometrically with monthly data for the period 2010M11-2023M5 in Turkiye. Fourier functions, which are capable of capturing slow structural changes, were used in the analyses. First, the stationarity tests of the variables were tested with the Fourier KPSS FKPSS unit root test, and it was observed that they became stationary at the first difference that they contain a unit root at the level. Fourier Shin FSHIN cointegration test was used to test the long-term relationships of difference stationary variables. According to the findings, the variables move together in the long run. The coefficients of the long-term relationship between the variables were estimated with FMOLS and DOLS coefficient estimators. In the long run, a 1 increase in the exchange rate causes a 0.86 increase in inflation. In the last stage of the analysis, the causality relationship between the variables was tested with the Fourier Toda-Yamamoto FTY test. The findings indicate a double-sided causal relationship between exchange rate and inflation in Turkiye.

 In this study, the effect of exchange rate on inflation was analyzed econometrically with monthly data for the period 2010M11-2023M5 in Turkiye. Fourier functions, which are capable of capturing slow structural changes, were used in the analyses. First, the stationarity tests of the variables were tested with the Fourier KPSS FKPSS unit root test, and it was observed that they became stationary at the first difference that they contain a unit root at the level. Fourier Shin FSHIN cointegration test was used to test the long-term relationships of difference stationary variables. According to the findings, the variables move together in the long run. The coefficients of the long-term relationship between the variables were estimated with FMOLS and DOLS coefficient estimators. In the long run, a 1 increase in the exchange rate causes a 0.86 increase in inflation. In the last stage of the analysis, the causality relationship between the variables was tested with the Fourier Toda-Yamamoto FTY test. The findings indicate a double-sided causal relationship between exchange rate and inflation in Turkiye.

 In this study, the effect of exchange rate on inflation was analyzed econometrically with monthly data for the period 2010M11-2023M5 in Turkiye. Fourier functions, which are capable of capturing slow structural changes, were used in the analyses. First, the stationarity tests of the variables were tested with the Fourier KPSS FKPSS unit root test, and it was observed that they became stationary at the first difference that they contain a unit root at the level. Fourier Shin FSHIN cointegration test was used to test the long-term relationships of difference stationary variables. According to the findings, the variables move together in the long run. The coefficients of the long-term relationship between the variables were estimated with FMOLS and DOLS coefficient estimators. In the long run, a 1 increase in the exchange rate causes a 0.86 increase in inflation. In the last stage of the analysis, the causality relationship between the variables was tested with the Fourier Toda-Yamamoto FTY test. The findings indicate a double-sided causal relationship between exchange rate and inflation in Turkiye.

 Bu çalışmada Türkiyede 2010M11-2023M5 dönemi aylık verilerle döviz kurunun enflasyona etkisi ekonometrik olarak incelenmiştir. Analizlerde yavaş gerçekleşen yapısal değişimleri yakalama kabiliyeti yüksek Fourier fonksiyonlarından yararlanılmıştır. İlk olarak değişkenlerin durağanlık sınamaları Fourier KPSS FKPSS birim kök testiyle test edilmiş ve düzeyde birim kök içerdikleri birinci farklarında durağanlaştıkları gözlenmiştir. Fark durağan değişkenlerin uzun dönemli ilişkilerini test etmek için Fourier Shin FSHIN eşbütünleşme testinden faydalanılmıştır. Elde edilen bulgulara göre değişkenler uzun vadede birlikte hareket etmektedir. Değişkenler arasındaki uzun dönem ilişkiye ait katsayılar FMOLS ve DOLS katsayı tahmincisi ile tahmin edilmiştir. Uzun dönemde döviz kurunda oluşabilecek 1lik artış enflasyonda 0.86 artışa neden olmaktadır. Analizin son aşamasında değişkenler arasındaki nedensellik ilişkisi Fourier Toda-Yamamoto FTY testi ile sınanmıştır. Elde edilen bulgular Türkiyede döviz kuruyla enflasyonun çift taraflı nedensellik ilişkisini işaret etmektedir.

Makale detayları

FOURIER EVIDENCE ON THE RELATIONSHIP OF EXCHANGE RATE AND INFLATION IN TURKIYE

Yazarlar:

Meral Çabaş

Yayıncı:

Erciyes University

Ana Başlıklar:

Enflasyon

Dergi:

Erciyes Akademi Vol.37 Issue 4, pp.1898-1912

Belge Tipi:

Makale

Yayın Tarihi:

12/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001307684

pISSN:

2757-7031

Exchange rate

Inflation

Fourier Toda-Yamamoto causality testDöviz kuru

Enflasyon

Fourier Toda-Yamamoto nedensellik testi

Sayı

Makale detayları

FOURIER EVIDENCE ON THE RELATIONSHIP OF EXCHANGE RATE AND INFLATION IN TURKIYE

Yazarlar: Meral Çabaş

Yayıncı: Erciyes University

Ana Başlıklar: Enflasyon

Dergi: Erciyes Akademi Vol.37 Issue 4, pp.1898-1912

Belge Tipi: Makale

Yayın Tarihi: 12/2023

Belge Dili: Türkçe

Document ID (Org No.): 2001307684

pISSN: 2757-7031

Exchange rate

Inflation

Fourier Toda-Yamamoto causality testDöviz kuru

Enflasyon

Fourier Toda-Yamamoto nedensellik testi

Sayı

Yazarlar:

Meral Çabaş

Yayıncı:

Erciyes University

Ana Başlıklar:

Enflasyon

Dergi:

Erciyes Akademi Vol.37 Issue 4, pp.1898-1912

Belge Tipi:

Makale

Yayın Tarihi:

12/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001307684

pISSN:

2757-7031