The most important reason for trade deficit in Turkey is the decreasing tendency of the exports to cover for the imports due to larger increases in the imports despite the increases in the exports over the years. The existence of this trade deficit makes it very important to analyze whether Turkey’s imports and exports are cointegrated because the presence of a long term relationship between a country’s imports and exports makes it possible to adjust the trade imbalances by using devaluation and macro-economic policies. The purpose of this paper is to analyze whether there is a long term relationship (cointegration) between Turkey’s imports and exports. The fundamental question here is whether short-term imbalances in Turkey’s imports and exports can be sustained in the long term. The findings in this paper confirm that Turkey’s imports and exports do not show any tendency toward cointegration at the long-term equilibrium and that trade imbalances and current deficit are not sustainable and they deviate from equilibrium. According to the application results, Turkey’s imports and exports do not tend to converge around long term equilibrium. As a result, it is impossible to assert that exchange rates and macroeconomic monetary and financial policies are not effective in the long term to adjust Turkey’s trade balances.