Developed countries changed fixed exchange rate system to the flexible exchange rate system from the mid 1970s. With the changing to free exchange rate system, exchange rate forecasts gained importance. Applied researches in finance literature showed that; exchange rate series dynamics were in the form of time series which showed unit root behaviour. The cointegration relation between the exchange rates indicates that there is a long term balance relation and shows that there can be Granger causality between exchange rates. On the basis of this information, estimation of the exchange rates price which will have with other exchange rate may be possible.The aim of our study is to reveal the relationship between Euro and US Dollar exchanges with cointegration analysis. Data used in the study comprise 16 months in total and it was analyzed over the buying and selling prices day to day. In consequence of the analysis, it ensued that series werent stationary. As for the cointegration test, it was seen that there was no relation in terms of buying and selling prices of USD and EURO.
Keywords: Exchange Rate System, Analysis of Time Series, Cointegration Analysis