The Analysis of the Determinants of Exchange Rate via Conditional and Partial Granger Causality Test

The Analysis of the Determinants of Exchange Rate via Conditional and Partial Granger Causality Test:

The relationships among the macroeconomic variables (exchange rate, deposit rate, gold prices, BIST100 Istanbul stock market index) of Turkey in the 2010.08-2015.12 period were investigated by conditional and partial Granger causality tests. First, the theoretical information about conditional and partial G-causality tests is given. Then, these causality tests were applied to the data using the R software program. The results of the conditional and partial G-causality tests showed significant G-causalities: positive G-causality relationship from the exchange rate to the deposit rate, and a negative mutual G-causality between BIST100 and the deposit rate.