Oil price and exchange rate pass-through to inflation in Turkey: An analysis through the time-varying parameter models

Year 2021, , 999 - 1015, 31.12.2021

Fatih Ceylan , Hakan Kahyaoğlu

https://doi.org/10.31795/baunsobed.896380

Cited By: 1

Abstract

In this study, the pass-through effect of oil prices and exchange rate on producer and consumer prices in Turkey was examined by emphasizing the pass-through effect of exchange rate. To this end, the pass-through parameters were estimated using monthly data between January 1985 and December 2018 with the vector autoregressive (TVP-VAR) method with time varying parameters. The findings showed that the pass-through of oil prices and exchange rates to producer and consumer prices was not linear but changed over time. Although the pass-through effect in Turkey has decreased compared to previous years, it has shown a tendency to increase again in the recent period under macro prudential policies. This result indicated that inflation dynamics in Turkey are highly sensitive to external factors and inflation persists as a structural problem. In addition, the pass-through effect on producer prices from both oil prices and exchange rates was higher than the pass-through effect on consumer prices.

Keywords

Pass-Through, Oil price, Exchange Rate, Inflation, TVP-VAR method

Türkiye’de petrol fiyatlarından ve döviz kurundan enflasyona geçişkenlik: Zamana göre değişen parametreli bir analiz

Abstract

Bu çalışmada Türkiye’de petrol fiyatları ve döviz kurunun üretici ve tüketici fiyatlarına geçişkenlik etkisi, döviz kurunun geçişkenlik etkisine vurgu yapılarak incelenmiştir. Bu amaçla zamana göre değişen parametreli vektör otoregresif (TVP-VAR) yöntemi ile Ocak 1985 – Aralık 2018 dönemleri arasında aylık veriler kullanılarak geçişkenlik parametreleri tahmin edilmiştir. Elde edilen bulgular petrol fiyatları ve döviz kurunun üretici ve tüketici fiyatlarına geçişkenliğinin doğrusal olmayıp zamana göre değiştiğini göstermektedir. Türkiye’de geçişkenlik etkisi geçmiş yıllara kıyasla azalmakla birlikte makro ihtiyati politikalar altında son dönemde tekrar artma eğilimi göstermektedir. Bu sonuç Türkiye’de enflasyon dinamiklerinin dışsal faktörlere oldukça duyarlı olduğunu ve enflasyonun yapısal bir sorun olarak hala sürdüğüne işaret etmektedir. Ayrıca hem petrol fiyatlarından hem de döviz kurundan üretici fiyatlarına geçişkenlik etkisi tüketici fiyatlarına geçişkenlik etkisinden daha yüksektir.

Keywords

Geçişkenlik, Petrol fiyatları, Döviz kuru, Enflasyon, TVP-VAR yöntemi

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