TY  - JOUR
T1  - CPI, MONEY SUPPLY AND EXCHANGE RATE DYNAMICS IN TURKEY: A VECM APPROACH
AU  - Sunal, Onur
PY  - 2018
DA  - September
JF  - Journal of Economics Finance and Accounting
JO  - JEFA
PB  - Suat TEKER
WT  - DergiPark
SN  - 2148-6697
SP  - 249
EP  - 260
VL  - 5
IS  - 3
LA  - en
AB  - Purpose- Theaim of this study is to outline the relationship between The Consumer PriceIndex (CPI), Money Supply (M3) and The Exchange Rates (EXC) in Turkey. Methodology- Thedata were gathered from The Turkish Statistical Instittute and The Central Bankwhich covers the monthly period between 2005/1 and 2017/12 and were taken ontheir own levels where an error correction model was utilized to reveal boththe long and short run relationships.Findings- Theresults revealed that 100 billion TL rise in M3 is accompanied by 19 pointsincrease in the CPI and 1TL depreciation of local currency (appreciation of $)leads to 82.9 points upswing in CPI.Conclusion- The Cointegrating equation revealedthat there was a significant long-run relationship between CPI, Money Supplyand Exchange Rates. Moreover changes in M3 andEXC together cause changes in CPI at .10 significance level. Money Supplyendogeneity was also observed at the 10 level.
KW  - Inflation
KW  - money supply
KW  - exchange rates
KW  - error correction model
KW  - Turkey
CR  - Altıntaş, H., Çetintaş, H., Taban, S. (2008). Türkiye'de bütçe açığı, parasal büyüme ve enflasyon arasındaki ilişkinin ekonometrik analizi: 1992-2006. Anadolu Üniversitesi Sosyal Bilimler Dergisi, 8(2), 185-208.
CR  - Bailliu, J., Fujii, E. (2004). Exchange rate pass-through and the inflation environment in industrialized countries: an empirical investigation”, Bank of Canada Working Paper 2004-21, 1-39.
CR  - Bussiere, M., Chiaie, S. D., Peltonen, T. A. (2014). Exchange rate pass through in the global economy: the role of emerging market economies. IMF Economic Review 62(1), 145-78.
CR  - Chaudhary, A. M., Ahmad, N. (1995). Money supply deficit and inflation in Pakistan. The Pakistan Development Review, 34(4), 945-56.
CR  - Choudhri, E. U., Hakura, D. S. (2006). Exchange rate pass through to domestic prices: does the inflationary environment matter?. Journal of International Money and Finance, 25(4), 614-39.
CR  - Civcir, İ., Akçağlayan, A. (2010). Inflation targeting and exchage rate: does it matter in Turkey?. Journal of Policy Modeling, 32.
CR  - De Grauwe, O., Polan, M. (2005). Is inflation always and everywhere a monetary phenomenon?. Scandinavian Journal of Economics, 107(2), 239-59.
CR  - De Grauwe, P., Schnabl, G. (2008). Exchange rate stability inflation and growth in South Eastern and Central Europe. Review of Development Economics, 12(3), 530-49.
CR  - Dickey, D. A., Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057-1072.
CR  - Engel, R. F., Granger, C. W. J. (1987). Co-integration and error correction representation, estimation and testing. Econometrica, 55(2), 251-276.
CR  - Gagnon, J. E., Ihrig, J. (2004). Monetary policy and exchange rate pass through. International Journal of Finance and Economics, 9, 315-338.
CR  - Hossain, A. (2005). The Granger causality between money growth currency devaluation and economic growth in Indonesia: 1954-2002. International Journal of Applied Econometrics and Quantitative Studies, 2-3, 45-68.
CR  - Hossain, A. A. (2010). Monetary targeting for price stability in Bangladesh: how stable is its money demand function and the linkage between money supply growth and inflation. Journal of Asian Economics, 21, 564-78.
CR  - Johansen, S.,  Juselius, K. (1990). Maximum likelihood estimation and inference on cointegration - with applications to the demand for money. Oxford Bulletin of Economics and Statistics, 52(2), 169-210.
CR  - Kaya, M. G., Öz, E. (2016). Enflasyon, bütçe açığı ve para arzı ilişkisinin Türkiye ekonomisi açısından değerlendirilmesi: 1980-2014 dönemi. Manisa Celal Bayar Üniversitesi İİBF Dergisi, 23(3), 639-651.
CR  - Kemal, M. A. (2006). Is inflation in Pakistan a monetary phenomenon?. The Pakistan development Review, 45(2), 213-20.
CR  - Kilindo, A. A. L. (1997). Fiscal operations money supply and inflation in Tanzania. AERC Research Paper, 65, 1-52.
CR  - Korkmaz, Ö. (2017). Enflasyon oranını etkileyen faktörlerin belirlenmesi: Türkiye üzerine bir uygulama. Dokuz Eylül Üniversitesi İİBF Dergisi, 32(2), 109-142.
CR  - Koru Tekin, A., Özmen, E. (2003). Budget deficits, money growth and inflation: the Turkish evidence. Applied Economics, 35(5), 591-596.
CR  - Lozano, I. (2008). Budget deficit, money growth and inflation: evidence from the Colombian case. Borradores de Economia, 537, 1-25.
CR  - Mihaljek, D., Clau, M. (2001). A note on the pass through from exchange rate and foreign price changes to inflation in selected emerging market economies. BIS Papers no 8, 69-81.
CR  - Minella, A., Freitas, P. S., Goldfajn, I., Muinhos, M. K. (2003). Inflation targeting in Brazil: constructing credibility under exchange rate volatility. Journal of International Money and Finance, 22, 1015-40.
CR  - Narayan, K. P., Narayan, S., Prasad, A. D. (2006). Modelling the relationships between budget deficits money supply and inflation in Fiji. Pacific Economic Bulletin 21(2), 103-116.
CR  - Nguyen, V. B. (2015). Effects of fiscal deficit and money M2 supply on inflation: evidence from selected economies of Asia. Journal of Economics Finance and Administrative Science, 20, 49-53.
CR  - Oktayer, A. (2010). Türkiye’de bütçe açığı para arzı ve enflasyon ilişkisi. Maliye Dergisi, Sayı 158, Ocak-Haziran, 431-447.
CR  - Qayyum, A. (2006). Money inflation and growth in Pakistan. The Pakistan Development Review, 45(2), 203-12.
CR  - Kara, H., Öğünç, F. (2008). Inflation targeting and exchange rate pass-through: the Turkish experience. Emerging Markets Finance and Trade, 44(6), 52-66.
CR  - Ratnasiri, H. P. S. G. (2009). The main determinants of inflation in Sri Lanka: a var based analysis. Staff Studies Central Bank of Sri Lanka, 39(1-2), 1-14.
CR  - Senda, T. (2001). Asymmetric effects of money supply shocks and trend inflation. Journal of Money Credit and Banking, 33(1), 65-89.
CR  - Siregar, Y. Z., Rajaguru, G. (2005). Base money and exchange rate: sources of inflation in Indonesia during the post 1997 financial crisis. Journal of Economic Integration, 20(1), 185-215.
CR  - Staiger, D., Stock, J. H., Watson, M. W. (1997). The NAIRU unemployment and monetary policy. Journal of Economic Perpectives, 11, 33-51.
CR  - Vymyatnina, Y. (2006). How much control does bank of Russia have control over money supply. 131-44.
CR  - Winkelried, D. (2014). Exchange rate pass through and ınflation targeting in Peru. Empirical Economics, 46, 1181- 1196.
CR  - Woodford, M. (1998). Doing without money: controlling inflation in a post-monetary World. Review of Economic Dynamics, 1, 173-219.
CR  - Zhang, W. (2009). China’s monetary policy: quantity versus price rules. Journal of Macroeconomics, 31, 473-84.
UR  - https://dergipark.org.tr/en/pub/jefa/issue//465428
L1  - https://dergipark.org.tr/en/download/article-file/544623
ER  -