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Döviz kurlarında meydana gelen değişimler, ülkeler arasındaki ticari ilişkilerin yanında, enflasyon gibi makroekonomik değişkenler üzerinde de etkiler yaratabilmektedir. Bununla birlikte 1980’lerden sonra finansal serbestleşme ile birlikte Türkiye gibi ithalata dayalı üretim yapan ülkelerde, döviz kurlarındaki artışın maliyetlere yansıyarak yurtiçi fiyat düzeyini etkilediği gözlemlenmektedir. Bu nedenle çalışmamızın amacı döviz kurlarındaki değişim ile enflasyon arasındaki etkinin yönünü ve şiddetini incelemektir. Bunun için 2005:01-2019:07 arası ortalama dolar kuru, ortalama euro kuru, TÜFE ve ÜFE aylık verileri kullanılarak, Kapetanios (2005) çoklu yapısal kırılmalı birim kök testi, Maki (2012) çoklu yapısal kırılmalı eşbütünleşme testi ve Granger nedensellik testi ile analizler yapılmıştır. Döviz kurları ve enflasyon endeksleri arasında çift yönlü bir nedensellik ilişkisinin varlığı tespit edilmiştir.
Changes in exchange rates can affect macroeconomic variables such as inflation as well as the trade relations between countries. However, in line with the financial liberalization after the 1980s, it is observed that increases in exchange rates are reflected in costs, and in turn, affect the domestic price level in countries that perform production based on imports, such as Turkey. Therefore, our study aims to investigate the direction and extent of the impact between inflation and changes in exchange rates. For this, average USD rate, average Euro rate, CPI and PPI monthly data between January 2005 and July 2019 were used to perform analyses via Kapetanios's (2005) multiple structural break unit root test, Maki (2012) multiple structural break cointegration test, and Granger causality test. A two-way causality relationship was found between exchange rates and inflation indices.
Changes in exchange rates can affect macroeconomic variables such as inflation as well as the trade relations between countries. However, in line with the financial liberalization after the 1980s, it is observed that increase in exchange rates are reflected in costs, and in turn, affect the domestic price level in countries that perform production based on imports, such as Turkey. Therefore, our study aims to investigate the direction and extent of the impact between inflation and changes in the exchange rates. For this, average USD rate, average Euro rate, CPI and PPI monthly data between January 2005 and July 2019 were used to perform analyses via Kapetanios's (2005) multiple structural break unit root test, Maki (2012) multiple structural break cointegration test, and Granger causality test. A two-way causality relationship was found between exchange rates and inflation indices.
Field : Sosyal, Beşeri ve İdari Bilimler
Journal Type : Uluslararası
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