The causal relationship was seen between the ω∈ (1.49, 1.94) frequencies However, in the long run this effect left its place to interest rates.\r\n
📌 3 Key Takeaways
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Objective & Hypothesis:\r\n Relationship between short term nominal interest rates and nominal exchange rates that the Central Bank in Turkey used as a means of monetary policy tool during the period of 1987:12008:1 was analysed by using frequency domain approach within the framework of spectral analysis.
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Key Findings & Data:According to the findings, the causal relationship from the exchange rate to the interest rate was valid only for the short run, whereas this relationship was effective for totally 45 months before, during and after the crisis.
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Conclusion & Impact:The causal relationship was seen between the ω∈ (1.49, 1.94) frequencies However, in the long run this effect left its place to interest rates.\r\n
\r\n Relationship between short term nominal interest rates and nominal exchange rates that the Central Bank in Turkey used as a means of monetary policy tool during the period of 1987:12008:1 was analysed by using frequency domain approach within the framework of spectral analysis. According to the findings, the causal relationship from the exchange rate to the interest rate was valid only for the short run, whereas this relationship was effective for totally 45 months before, during and after the crisis. The causal relationship was seen between the ω∈ (1.49, 1.94) frequencies However, in the long run this effect left its place to interest rates.\r\n
TARI, R., ABASIZ, T. (2020). Frequency domain approach and short run and long run causality test: evidence from turkey for interest rate and exchange rate relationship. ODTÜ Gelişme Dergisi, Cilt: 36 Sayı: 2. https://ajindex.com/articles/1045216