DOI: https://doi.org/10.36719/2706-6185/55/107-112
Elgun Jalalzada
NANO ICT company
https://orcid.org/0000-0003-4391-3769
calalzadelgun00@gmail.com
Spectral and Cointegration Analysis of the Exchange Rate Relationship between the Azerbaijani Manat and the Turkish Lira
Abstract
The main objective of this study is to examine the statistical behavior of exchange rates between the Azerbaijani manat and the Turkish lira. Given the increasing economic and trade relations between these two countries in recent years, understanding how their currencies influence each other has become increasingly important. To assess the extent of co-movement between the exchange rates over time and to identify under what conditions this relationship changes, several statistical approaches have been applied. The aim is both to explore long-term equilibrium connections and to determine whether there is synchronization in cyclical fluctuations. For this purpose, spectral analysis was conducted to investigate the inherent cycles and repeating patterns within the exchange rates. Using periodograms, dominant frequencies of such fluctuations were identified. Additionally, cointegration analysis was applied using both the Engle–Granger and Johansen methods to evaluate whether the currencies move together over time in a statistically significant way. The findings reveal that factors such as inflation, trade balance, interest rates, and other macroeconomic indicators have a strong influence on the relationship between the two currencies. Evidence of structural and cyclical co-movements has been observed, indicating that further analysis is needed for policy-making in the field of exchange rate management.
Keywords: spectral analysis, cointegration, exchange rate, manat, Turkish lira