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Bu çalışmada döviz kuru, enflasyon ve faiz oranı arasındaki ilişkiler VAR modeli çerçevesinde analiz edilmiştir. Bu kapsamda 2009:01-2017:12 dönemi aylık veriler kullanılmıştır. Çalışmada serilerin durağanlığını sağlamak için Genişletilmiş Dickey-Fuller birim kök testi uygulanmıştır. Değişkenler arasındaki nedensellik ilişkisini bulmak için Granger Nedensellik Testi yapılmıştır. Buna göre döviz kuru hem enflasyonun hem de faizin nedeni, enflasyon ise faizin nedeni sonucuna ulaşılmıştır. VAR Vektör Otoregresif Model modeli ile de değişkenler arasındaki ilişkiyi belirlemek için etki tepki grafikleri ve varyans ayrışım tablosu oluşturulmuştur. Etki-tepki analizine göre döviz kurunda meydana gelen bir şoka faiz 12 dönem boyunca, enflasyon ise altıncı dönemden itibaren negatif tepki vermiştir. Ayrıca enflasyonda meydana gelen bir şoka, faiz yaklaşık iki dönem pozitif tepki vermiştir. Varyans ayrışım tablosuna göre enflasyon ve faiz oranı üzerindeki en önemli etken döviz kuru olmaktadır.
In this study, the relationships between currency rate, inflation and interest rates were analyzed in the framework of the VAR model. In this context 2009:01-2017:12 period monthly data has been used. In the study, the extended Dickey-Fuller unit root test was applied to ensure the continuity of the series. The Granger Cause Test was conducted to find the causality relationship between the variables. This is the result of inflation and interest, and inflation is the result of interest. The VAR (Vector Otoregressive Model) model has also created influence response graphs and variance separation table to determine the relationship between the variables. According to the impact-effect analysis, a shock rate occurred in the exchange rate for 12 periods, while inflation has given a negative response from the sixth period. Also a shock occurring in inflation, the interest has given a positive reaction about two periods. According to the variance division table, the most important factor on inflation and interest rate is the currency rate.
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
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