Analysis of the relationship between real effective exchange rate and oil prices and an aplication experiment

The aim of this study is to determine whether there is a long term relationship between the varaibles of Real Effective Exchange Rate, Real Interest Spread, Efficiency Spread and Oil Price ( Brent Oil). In this study, quarterly data covering the period 2009Q01-2021Q03 were used. In this study, approaches to determining the real effective exchange rate are examined. Excluded Interest Rate and Balassa Samuelson Effect approaches were adopted from the examined approaches. The order to determine whether there is a long term relationship between the variables, Johansen Cointegration Analysis was peformed. It was determined that there was a cointegration relationship between the variables and they affected each other in the long run. Impulse- Reponse Function graph examines how the real effective exchange rate will react when a 1 standard deviation shock is given to the variables. It is concluded that the Balassa-Samuelson Effect works in a meanıngful way. Granger causality analysis was conducted to determine that the Real Interest Spread, Productivity Difference and Oil Price (Brent Oil) variables were the Granger cause of the Real Effective Exchange Rate and it was determined that the Real Effective Exchange Rate was the Granger cause in all three variables.