Author :
Abstract
Faiz oranları ile döviz kurlarının ilişkisi daima ilgi çeken bir konu olmuştur. Bu sebeple, bu çalışmada 1930 yıllarında gerçekleşen Büyük Buhran sonrasında en büyük ikinci kriz olan 2008 finansal krizi sırasında bu ilişki analiz edilmiştir. Analiz, yüksek faiz oranlarının döviz kurlarını düşürme etkisi olup olmadığını göstermeyi hedeflemektedir. Ekim 2008 ve Aralık 2009 tarihleri arasındaki haftalık veri ile ARDL Model uygulanmıştır. Analiz sonucunda faiz oranları ile döviz kurları arasında kısa vadeli bir ilişkiye rastlanmazken; uzun vadede, pozitif bir ilişki tespit edilmiştir. Bunun anlamı, yüksek faiz oranları uzun vadede döviz kurlarında artışa sebep olmaktadır.
Keywords
Abstract
As the discussion on the relationship of interest rates and exchange rates is always a hot topic, this paper aims to analyze this relationship during 2008 financial crisis, which is the second global crisis after the Great Depression of 1930s, whether higher interest rates had the effect of defending exchange rates thus appreciating them. Applying an autoregressive distributed lag model (ARDL) to weekly data between October 2008 and December 2009, it can be concluded that there is no relationship in the short-run but there is a positive relationship in the long-run meaning that higher interest rates are associated with depreciation of exchange rates in the long-run in line with the revisionist view.
Keywords
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