Granger Causality Analysis between US Dollar, Inflation and Weighted Average Cost of the CBRT Funding
Abstract
The primary objective of the Central Bank of the Republic of Turkey is to achieve and maintain price stability. To this end, the CBRT actively uses weighted average cost of the CBRT funding from its monetary policy tools. In this study, for the 2012-2017 period, we use the Granger causality test in order to investigate the relationship between exchange rate, inflation and weighted average cost of the CBRT funding. Our analysis reveal that bi-directional causality between weighted average cost of the CBRT funding and exchange rate
References
- Bulut, Mustafa ve Hatice Karasoy (2016), “Para Politikası Belirsizliği Altında Aktarım Mekanizması: Türkiye Örneği”, TCMB Ekonomi Notları, No. 16/21.
- Cheng, Benjamin (1999), “Beyond the Purchasing Power Parity: Testing for Cointegration and Causality between Exchange Rates, Prices, and Interest Rates”, Journal of International Money and Finance, No. 18, s. 911-924.
- Dash, Pradyumna (2004), “The Relationship between Interest Rate and Exchange Rate in India”, Sixth Annual Conference on Money and Finance in the Indian Economy, March 25-27.
- Dekle, Robert, Cheng Hsiao ve Siyan Wang (2002), “High Interest Rates and Exchange Rate Stabilization in Korea, Malaysia and Thailand: An Empirical Investigation of the Traditional and Revisionist Views”, Review of International Economics, Volume 10, Issue 1, s. 64-78.
- Dickey, David ve Wayne Fuller (1979), “Distribution of the Estimators for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, Volume 74, Issue 366, s. 427-431.
- Duran, Murat, Gülserim Özcan, Pınar Özlü ve Deren Ünalmış (2012), “Measuring the Impact of Monetary Policy on Asset Prices in Turkey”, Economics Letters, Volume 114, Issue 1, s. 29-31.
- Engle, Robert ve Clive William John Granger (1987), “Cointegration and Error Correction: Representation, Estimation and Testing”, Econometrica, 55 (2), 251-276.
- Er, Hakan ve İbrahim Güney (2016), “Para Politikasında Kaldıraç Etkisi: Likidite Kanalı”, TCMB Ekonomi Notları, No. 16/20.
- Kara, Hakan, Fethi Ögünç ve Çağrı Sarıkaya (2017), “Inflation Dynamics in Turkey: A Historical Accounting”, TCMB Ekonomi Notları, No. 17/03.
- Phillips, Peter ve Pierre Perron (1986), “Testing for a Unit Root in Time Series Regression”, Biometrika, Volume 75, Issue 2, s. 335-346.
- Vithessonthi, Chaipom (2014), “Monetary Policy and the First -and second- Moment Exchange Rate Change During the Global Financial Crisis: Evidence from Thailand”, Journal of International Financial Markets, Institutions and Money, Volume 29, s. 170-194.
Dolar Kuru, Enflasyon ve TCMB Ağırlıklı Ortalama Fonlama Maliyeti Arasında Granger Nedensellik Analizi
Abstract
Türkiye Cumhuriyet Merkez Bankası’nın temel amacı fiyat istikrarını sağlamak ve sürdürmektir. Bu amaçla, TCMB sahip olduğu para politikası araçlarından ağırlıklı ortalama fonlama maliyetini aktif olarak kullanmaktadır. Bu çalışmada, 2012-2017 dönemi için, dolar kuru, enflasyon ve ağırlıklı ortalama fonlama maliyeti arasındaki ilişki Granger nedensellik testi ile analiz edilmiştir. Analiz sonucunda, ağırlıklı ortalama fonlama maliyeti ile dolar kuru arasında çift yönlü nedenselliğin varlığına ulaşılmıştır.
References
- Bulut, Mustafa ve Hatice Karasoy (2016), “Para Politikası Belirsizliği Altında Aktarım Mekanizması: Türkiye Örneği”, TCMB Ekonomi Notları, No. 16/21.
- Cheng, Benjamin (1999), “Beyond the Purchasing Power Parity: Testing for Cointegration and Causality between Exchange Rates, Prices, and Interest Rates”, Journal of International Money and Finance, No. 18, s. 911-924.
- Dash, Pradyumna (2004), “The Relationship between Interest Rate and Exchange Rate in India”, Sixth Annual Conference on Money and Finance in the Indian Economy, March 25-27.
- Dekle, Robert, Cheng Hsiao ve Siyan Wang (2002), “High Interest Rates and Exchange Rate Stabilization in Korea, Malaysia and Thailand: An Empirical Investigation of the Traditional and Revisionist Views”, Review of International Economics, Volume 10, Issue 1, s. 64-78.
- Dickey, David ve Wayne Fuller (1979), “Distribution of the Estimators for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, Volume 74, Issue 366, s. 427-431.
- Duran, Murat, Gülserim Özcan, Pınar Özlü ve Deren Ünalmış (2012), “Measuring the Impact of Monetary Policy on Asset Prices in Turkey”, Economics Letters, Volume 114, Issue 1, s. 29-31.
- Engle, Robert ve Clive William John Granger (1987), “Cointegration and Error Correction: Representation, Estimation and Testing”, Econometrica, 55 (2), 251-276.
- Er, Hakan ve İbrahim Güney (2016), “Para Politikasında Kaldıraç Etkisi: Likidite Kanalı”, TCMB Ekonomi Notları, No. 16/20.
- Kara, Hakan, Fethi Ögünç ve Çağrı Sarıkaya (2017), “Inflation Dynamics in Turkey: A Historical Accounting”, TCMB Ekonomi Notları, No. 17/03.
- Phillips, Peter ve Pierre Perron (1986), “Testing for a Unit Root in Time Series Regression”, Biometrika, Volume 75, Issue 2, s. 335-346.
- Vithessonthi, Chaipom (2014), “Monetary Policy and the First -and second- Moment Exchange Rate Change During the Global Financial Crisis: Evidence from Thailand”, Journal of International Financial Markets, Institutions and Money, Volume 29, s. 170-194.
There are 11 citations in total.
Details
| Primary Language | Turkish |
|---|---|
| Journal Section | Research Article |
| Authors | |
| Publication Date | September 1, 2017 |
| Published in Issue | Year 2017 Volume: 3 Issue: 3 |