Türkiye’de Döviz Kuru, Enflasyon ve Faiz Arasındaki Asimetrik Nedensellik İlişkisi[The Asymmetric Causality Relationship Between Exchange Rate, Inflation, and Interest Rates in Türkiye]

This study empirically examines the relationships between interest rates, inflation, and exchange rates in Türkiye during the period from January 2005 to June 2025. The study uses the monthly increase rate of the consumer price index (CPI) as an indicator of inflation, the policy interest rate as an indicator of interest rates, and the US dollar as the exchange rate variable. The Hacker–Hatemi J symmetric and Hatemi J asymmetric causality tests were used in the analyses. The symmetric causality findings obtained within the framework of the three-variable VAR system reveal the existence of a mutual and strong causality between the exchange rate and the interest rate, a strong causality from the exchange rate to inflation, and a relatively weaker causality from inflation to the interest rate. The asymmetric causality analysis results show that the relationship is non-linear and varies depending on the direction of the shocks. In particular, it was determined that negative shocks in the interest rate increase inflation, while negative shocks in inflation raise the interest rate. Furthermore, asymmetric generalized impulse response (AGIRF) analyses show that exchange rate and inflation shocks, in particular, have direction-dependent and persistent effects on interest rate dynamics. The findings reveal the non-linear structure of the monetary policy transmission mechanism in the Turkish economy and indicate that policy design should be conducted within a comprehensive framework that takes these asymmetric dynamics into account.