INVESTIGATION OF INTEREST, INFLATION, EXCHANGE RATE RELATIONSHIP IN TURKISH ECONOMY WITH ARDL BOUNDARY TEST
Abstract
In this study, data from 2012-07 and 2022-09 periods were used to examine the short- and long-term relationship between interest rates, inflation and exchange rates in Turkey. ARDL bounds tests, cointegration analysis and Granger causality test were used for empirical analysis. In addition, the presence of structural breaks was investigated using the Zivot and Andrews unit root test. According to the test results of Zivot and Andrews, it was seen that all variables were unit rooted in level values and stationary in difference values. The results show that short and long-term increases in exchange rates have a positive and significant effect on interest rates, and it was determined that the increase in inflation did not have a significant effect on interest rates in the same periods. According to the results of the Granger causality test, it was observed that the exchange rate had a one-way effect on the interest rate, while the exchange rate and inflation had a bidirectional causality relationship.
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