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Asymmetric Pass-Through Effect from Exchange Rate to Consumer Prices: NARDL Method

Year 2024, , 347 - 367, 30.06.2024
https://doi.org/10.25229/beta.1385348

Abstract

In this study, which examines the impact of exchange rate movements on consumer prices, monthly data consisting of 249 observations between 2003:01 and 2023:09 were used. Within the scope of this study, the asymmetric relationship between two variables was examined with the NARDL (Nonlinear Distributed Lag Autoregressive Model) method. Based on the results obtained, it is seen that there is an asymmetrical relationship between the exchange rate and the inflation rate in Turkey in the short term and a symmetrical relationship in the long term. When the results are divided into long and short term, a 1% change (increase or decrease) in the exchange rate in the long term causes a 0.589% increase in the inflation rate. In the short term, a 1% increase in the exchange rate brings a 0.314% increase in the inflation rate, and a 1% decrease brings a 0.204% decrease in the inflation rate.

References

  • Bhagwati, N. J. (1988). The pass-through puzzle: The missing prince from Hamlet. Mario Baldassari (Ed.), International Economic Interdependence, Patterns of Trade Balances and Economic Policy Coordination. https://link.springer.com/chapter/10.1007/978-1-349-22256-8_5
  • Campa, J. M. & Goldberg, L. S. (2002). Exchange rate pass-through into import prices: A macro or micro phenomenon?. NBER, 8934, 1-27. https://doi.org/10.2139/ssrn.920835
  • Ca’Zorzi, M., Hahn E. & Sanchez, M. (2007). Exchange rate pass through in emerging markets. ECB Working Paper, 739, 1-31. https://doi.org/10.2139/ssrn.970654
  • Celkan Ö. S. (2023), Döviz kuru ve enflasyon ilişkisi: Türkiye örneği. Ekonomi ve Finansal Araştırmalar Dergisi, 5(1), 19-37. https://doi.org/10.56668/jefr.1310360
  • Choudhri, E. U. & Hakura, D. S. (2001). Exchange rate pass-through to domestic prices: Does the inflationary environment matter?. IMF Working Paper, WP/01/194, 1-35. https://www.imf.org/external/pubs/ft/wp/2001/wp01194.pdf
  • 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), 614-639. https://doi.org/10.1016/j.jimonfin.2005.11.009
  • Damar A. O. (2010). Türkiye’de döviz kurundan fiyatlara geçiş etkisinin incelenmesi (TCMB Uzmanlık Yeterlilik Tezi). https://www3.tcmb.gov.tr/kutuphane/TURKCE/tezler/armaganonurdamar.pdf
  • Dash, A. K. & Narasimhan, V. (2011). Exchange rate pass-through. South Asia Economic Journal, 12(1), 1-23. https://doi.org/10.1177/139156141001200101
  • Dedeoğlu, D. & Kaya, H. (2015). Model belirsizliği altında döviz kurunun enflasyona etkisi. Central Bank Review, 15(2), 79-93. https://www3.tcmb.gov.tr/cbr/
  • Devereux, M. B. & Engel, C. (2003). Monetary policy in the open economy revisited: Price setting and exchange rate flexibility. The Review of Economic Studies, 70, 765-783. https://www.nber.org/system/files/working_papers/ w7665/w7665.pdf
  • Dornbusch, R. (1987). Exchange rates and prices. The American Economic Review, 77(1), 93-106. https://www.jstor.org/stable/1806731
  • Falk, M. & Falk, R. (2000). Pricing to Market of German exporters: Evidence from panel data. Empirica, 27, 21-46. https://doi.org/10.1023/A:1007073116434
  • Feenstra, R. C., Gagnon, J. E. & Knetter, M. M. (1996). Market share and exchange rate pass-through in world automobile trade. Journal of International Economics, 40(1–2), 187-207. https://doi.org/10.1016/0022-1996(95)01402-0
  • Ghosh, A. & Rajan, R. S. (2007). A selective survey of exchange rate pass-through in Asia: What does the literature tell us. Colorado College Working Paper, 1-35. https://doi.org/10.2139/ssrn.984063
  • Goldberg, P. K. & Knetter, M. M. (1996). Good prices and exchange rates: What have we learned?. NBER, 1-42. https://www.nber.org/system/files/working_papers/w5862/w5862.pdf
  • Goldfajn, I. & Werlang, S. R. (2000). The pass-through from depreciation to inflation: A panel study. Banco Central de Brasil Working Paper, 5, 1-50. https://doi.org/10.2139/ssrn.224277
  • Göktaş, P. (2019). Türkiye’de döviz kurunun tüketici fiyatları üzerindeki asimetrik geçiş etkileri. Sosyoekonomi, 27(42), 29-50. https://doi.org/10.17233/sosyoekonomi.2019.04.02
  • Kahn, G. A. (1987). Dollar depreciation and inflation. Economic Review, 32-49. https://www.kansascityfed.org/Economic%20Review/documents/531/1987-Dollar%20Depreciation%20and%20Inflation.pdf
  • Kara, H. & Öğünç, F. (2008). Inflation targeting and exchange rate pass-through: The Turkish experience. Emerging Markets Finance & Trade, 44(6), 1-22. https://doi.org/10.2753/REE1540-496X440604
  • Laflèche, T. (1996). The impact of exchange rate movements on consumer prices. Bank of Canada Review, 21-32. https://www.bankofcanada.ca/wp-content/uploads/2010/06/r971a.pdf
  • Leigh, D. ve Rossi, M. (2002). Exchange rate pass-through in Turkey. IMF Working Paper, 02/204, 1-18. https://www.imf.org/external/pubs/ft/wp/2002/wp02204.pdf
  • Lopez-Villavicencio, A. & Mignon, V. (2017). Exchange rate pass-through in emerging countries: Do the inflation environment, monetary policy regime and central bank behavior matter?. Journal of International Money and Finance, 79, 20-38. https://doi.org/10.1016/j.jimonfin.2017.09.004
  • Marston, R. C. (1989). Pricing to market in Japanese manufacturing. NBER, 2905, 1-33. https://doi.org/10.1016/0022-1996(90)90031-G
  • McCarthy, J. (2000). Pass-through of exchange rates and import prices to domestic inflation in some industrialized economies. FRB of New York Staff Report, 111, 1-28. https://doi.org/10.2139/ssrn.249576
  • McFarlane, L. (2002). Consumer price inflation and exchange rate pass-through in Jamaica. Bank of Jamaica, 1-26. https://cert-net.com/files/publications/conference/805.pdf
  • Menon, J. (1995). Exchange rate pass through. Journal of Economic Surveys, 197-231. https://doi.org/10.1111/j.1467-6419.1995.tb00114.x
  • Mihaljek, D. & Klau, M. (2008). Exchange rate pass-through in emerging market economies: What has changed and why?. Bank for International Settlements (Ed.), Transmission mechanisms for monetary policy in emerging market economies. https://www.bis.org/publ/bppdf/bispap35d.pdf
  • Narayan, K. P. (2007). The saving and investment nexus for China: Evidence from cointegration tests. Applied Economics, 37(17), https://doi.org/10.1080/00036840500278103
  • Özbek, S. (2023). Döviz kuru yansıma etkisinin ARDL, FMOLS, DOLS ve CCR yöntemleriyle tahmini: Türkiye örneği (2006-2022). Anadolu Üniversitesi Sosyal Bilimler Dergisi, 23(2), 517-536. https://doi.org/10.18037/ausbd.1171844
  • Pesaran, M. H., Yongcheol, S. & Richard J. S. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16, 289-326. https://doi.org/10.1002/jae.616
  • Shin, Y., Byungchul, Y. & Greenwood - Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in an ARDL framework. SSRN Electronic Journal, 1-44. https://doi.org/10.2139/ssrn.1807745
  • Taylor, J. B. (2000). Low inflation, pass-through, and the pricing power of firms. European Economic Review, 44(7), 1389-1408. https://doi.org/10.1016/S0014-2921(00)00037-4
  • Tümtürk, O. (2017). Türkiye’de döviz kurlarının yurt içi fiyatlara geçiş etkisi ve enflasyon hedeflemesi. Yönetim ve Ekonomi, 24(3), 837-855. https://doi.org/10.18657/yonveek.371996
  • Yang, J. (1997). Exchange rate pass-through in U.S. manufacturing industries. Review of Economics and Statistics, 79(1), 95–104. https://www.jstor.org/stable/2951436
  • Yetim M. & Yamak R. (2019). Türkiye’de döviz kurundan fiyatlara geçişkenlik etkisi: Hatemi-J asimetrik nedensellik testi. Trakya Üniversitesi Sosyal Bilimler Dergisi, 21(1), 203-221. https://doi.org/10.26468/trakyasobed.466936

Döviz Kurundan Tüketici Fiyatlarına Asimetrik Geçiş Etkisi: NARDL Yöntemi

Year 2024, , 347 - 367, 30.06.2024
https://doi.org/10.25229/beta.1385348

Abstract

Döviz kurundaki hareketlerin tüketici fiyatları üzerinde yarattığı etkinin incelendiği bu çalışmada, 2003:01 ile 2023:09 arası 249 gözlemden oluşan aylık veriler kullanılmıştır. Bu çalışma kapsamında, iki değişken arasındaki asimetrik ilişki NARDL (Doğrusal Olmayan Gecikmesi Dağıtılmış Otoregresif Model) yöntemi ile incelenmiştir. Elde edilen sonuçlardan hareketle, Türkiye’de döviz kuru ve enflasyon oranı arasında kısa dönemde asimetrik uzun dönemde ise simetrik bir ilişki olduğu görülmektedir. Sonuçlar uzun ve kısa dönem olarak ikiye ayrıldığında, uzun dönemde döviz kurunda %1’lik bir değişme (artış veya azalış) enflasyon oranı üzerinde %.0.589’luk bir artışa neden olmaktadır. Kısa dönemde ise döviz kurunda %1’lik bir artış olması enflasyon oranı üzerinde %0.314’lük bir artış ve %1’lik bir azalış ise %0.204’lük bir azalışı beraberinde getirmektedir.

References

  • Bhagwati, N. J. (1988). The pass-through puzzle: The missing prince from Hamlet. Mario Baldassari (Ed.), International Economic Interdependence, Patterns of Trade Balances and Economic Policy Coordination. https://link.springer.com/chapter/10.1007/978-1-349-22256-8_5
  • Campa, J. M. & Goldberg, L. S. (2002). Exchange rate pass-through into import prices: A macro or micro phenomenon?. NBER, 8934, 1-27. https://doi.org/10.2139/ssrn.920835
  • Ca’Zorzi, M., Hahn E. & Sanchez, M. (2007). Exchange rate pass through in emerging markets. ECB Working Paper, 739, 1-31. https://doi.org/10.2139/ssrn.970654
  • Celkan Ö. S. (2023), Döviz kuru ve enflasyon ilişkisi: Türkiye örneği. Ekonomi ve Finansal Araştırmalar Dergisi, 5(1), 19-37. https://doi.org/10.56668/jefr.1310360
  • Choudhri, E. U. & Hakura, D. S. (2001). Exchange rate pass-through to domestic prices: Does the inflationary environment matter?. IMF Working Paper, WP/01/194, 1-35. https://www.imf.org/external/pubs/ft/wp/2001/wp01194.pdf
  • 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), 614-639. https://doi.org/10.1016/j.jimonfin.2005.11.009
  • Damar A. O. (2010). Türkiye’de döviz kurundan fiyatlara geçiş etkisinin incelenmesi (TCMB Uzmanlık Yeterlilik Tezi). https://www3.tcmb.gov.tr/kutuphane/TURKCE/tezler/armaganonurdamar.pdf
  • Dash, A. K. & Narasimhan, V. (2011). Exchange rate pass-through. South Asia Economic Journal, 12(1), 1-23. https://doi.org/10.1177/139156141001200101
  • Dedeoğlu, D. & Kaya, H. (2015). Model belirsizliği altında döviz kurunun enflasyona etkisi. Central Bank Review, 15(2), 79-93. https://www3.tcmb.gov.tr/cbr/
  • Devereux, M. B. & Engel, C. (2003). Monetary policy in the open economy revisited: Price setting and exchange rate flexibility. The Review of Economic Studies, 70, 765-783. https://www.nber.org/system/files/working_papers/ w7665/w7665.pdf
  • Dornbusch, R. (1987). Exchange rates and prices. The American Economic Review, 77(1), 93-106. https://www.jstor.org/stable/1806731
  • Falk, M. & Falk, R. (2000). Pricing to Market of German exporters: Evidence from panel data. Empirica, 27, 21-46. https://doi.org/10.1023/A:1007073116434
  • Feenstra, R. C., Gagnon, J. E. & Knetter, M. M. (1996). Market share and exchange rate pass-through in world automobile trade. Journal of International Economics, 40(1–2), 187-207. https://doi.org/10.1016/0022-1996(95)01402-0
  • Ghosh, A. & Rajan, R. S. (2007). A selective survey of exchange rate pass-through in Asia: What does the literature tell us. Colorado College Working Paper, 1-35. https://doi.org/10.2139/ssrn.984063
  • Goldberg, P. K. & Knetter, M. M. (1996). Good prices and exchange rates: What have we learned?. NBER, 1-42. https://www.nber.org/system/files/working_papers/w5862/w5862.pdf
  • Goldfajn, I. & Werlang, S. R. (2000). The pass-through from depreciation to inflation: A panel study. Banco Central de Brasil Working Paper, 5, 1-50. https://doi.org/10.2139/ssrn.224277
  • Göktaş, P. (2019). Türkiye’de döviz kurunun tüketici fiyatları üzerindeki asimetrik geçiş etkileri. Sosyoekonomi, 27(42), 29-50. https://doi.org/10.17233/sosyoekonomi.2019.04.02
  • Kahn, G. A. (1987). Dollar depreciation and inflation. Economic Review, 32-49. https://www.kansascityfed.org/Economic%20Review/documents/531/1987-Dollar%20Depreciation%20and%20Inflation.pdf
  • Kara, H. & Öğünç, F. (2008). Inflation targeting and exchange rate pass-through: The Turkish experience. Emerging Markets Finance & Trade, 44(6), 1-22. https://doi.org/10.2753/REE1540-496X440604
  • Laflèche, T. (1996). The impact of exchange rate movements on consumer prices. Bank of Canada Review, 21-32. https://www.bankofcanada.ca/wp-content/uploads/2010/06/r971a.pdf
  • Leigh, D. ve Rossi, M. (2002). Exchange rate pass-through in Turkey. IMF Working Paper, 02/204, 1-18. https://www.imf.org/external/pubs/ft/wp/2002/wp02204.pdf
  • Lopez-Villavicencio, A. & Mignon, V. (2017). Exchange rate pass-through in emerging countries: Do the inflation environment, monetary policy regime and central bank behavior matter?. Journal of International Money and Finance, 79, 20-38. https://doi.org/10.1016/j.jimonfin.2017.09.004
  • Marston, R. C. (1989). Pricing to market in Japanese manufacturing. NBER, 2905, 1-33. https://doi.org/10.1016/0022-1996(90)90031-G
  • McCarthy, J. (2000). Pass-through of exchange rates and import prices to domestic inflation in some industrialized economies. FRB of New York Staff Report, 111, 1-28. https://doi.org/10.2139/ssrn.249576
  • McFarlane, L. (2002). Consumer price inflation and exchange rate pass-through in Jamaica. Bank of Jamaica, 1-26. https://cert-net.com/files/publications/conference/805.pdf
  • Menon, J. (1995). Exchange rate pass through. Journal of Economic Surveys, 197-231. https://doi.org/10.1111/j.1467-6419.1995.tb00114.x
  • Mihaljek, D. & Klau, M. (2008). Exchange rate pass-through in emerging market economies: What has changed and why?. Bank for International Settlements (Ed.), Transmission mechanisms for monetary policy in emerging market economies. https://www.bis.org/publ/bppdf/bispap35d.pdf
  • Narayan, K. P. (2007). The saving and investment nexus for China: Evidence from cointegration tests. Applied Economics, 37(17), https://doi.org/10.1080/00036840500278103
  • Özbek, S. (2023). Döviz kuru yansıma etkisinin ARDL, FMOLS, DOLS ve CCR yöntemleriyle tahmini: Türkiye örneği (2006-2022). Anadolu Üniversitesi Sosyal Bilimler Dergisi, 23(2), 517-536. https://doi.org/10.18037/ausbd.1171844
  • Pesaran, M. H., Yongcheol, S. & Richard J. S. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16, 289-326. https://doi.org/10.1002/jae.616
  • Shin, Y., Byungchul, Y. & Greenwood - Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in an ARDL framework. SSRN Electronic Journal, 1-44. https://doi.org/10.2139/ssrn.1807745
  • Taylor, J. B. (2000). Low inflation, pass-through, and the pricing power of firms. European Economic Review, 44(7), 1389-1408. https://doi.org/10.1016/S0014-2921(00)00037-4
  • Tümtürk, O. (2017). Türkiye’de döviz kurlarının yurt içi fiyatlara geçiş etkisi ve enflasyon hedeflemesi. Yönetim ve Ekonomi, 24(3), 837-855. https://doi.org/10.18657/yonveek.371996
  • Yang, J. (1997). Exchange rate pass-through in U.S. manufacturing industries. Review of Economics and Statistics, 79(1), 95–104. https://www.jstor.org/stable/2951436
  • Yetim M. & Yamak R. (2019). Türkiye’de döviz kurundan fiyatlara geçişkenlik etkisi: Hatemi-J asimetrik nedensellik testi. Trakya Üniversitesi Sosyal Bilimler Dergisi, 21(1), 203-221. https://doi.org/10.26468/trakyasobed.466936
There are 35 citations in total.

Details

Primary Language Turkish
Subjects Macroeconomic Theory
Journal Section Articles
Authors

Rümeysa Erkan 0000-0001-6163-6852

Early Pub Date June 29, 2024
Publication Date June 30, 2024
Submission Date November 2, 2023
Acceptance Date March 5, 2024
Published in Issue Year 2024

Cite

APA Erkan, R. (2024). Döviz Kurundan Tüketici Fiyatlarına Asimetrik Geçiş Etkisi: NARDL Yöntemi. Bulletin of Economic Theory and Analysis, 9(2), 347-367. https://doi.org/10.25229/beta.1385348