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Döviz Kurunun Yurt İçi Fiyatlara Geçiş Etkisinin Yumuşak Geçişli Regresyon Modeliyle Tahmini

Year 2018, , 195 - 215, 17.11.2018
https://doi.org/10.25229/beta.465635

Abstract



Döviz kurundaki değişimin yurt içi fiyatlar üzerindeki
etkisinin bilinmesi enflasyon hedeflemesi stratejisini benimseyen ekonomiler
için oldukça önemlidir. Türkiye’de ithal ara malı kullanımı yüksek olduğundan,
başta Merkez Bankası olmak üzere iktisadi birimler döviz kurunun fiyatlara
geçiş etkisini yakından takip etmektedir. Bu nedenle, geçiş etkisi güncel
olarak araştırılması gereken bir konudur. Doğrusal modeller kullanılarak
yapılan çalışmalarda geçiş etkisinin simetrik olduğu varsayılmaktadır. Bu
çalışmanın amacı, enflasyon düzeyinin, döviz kurunun tüketici fiyatlarına geçiş
etkisini azaltacağı yönündeki Taylor(2000) hipotezinin geçerliliğini Türkiye
için incelemektir. Bu incelemede doğrusal olmayan zaman serisi yöntemlerinden
yumuşak geçişli regresyon modelden (STR modelinden) yararlanılmıştır. Bu amaçla
2004:01–2018:07 dönemine ilişkin aylık veriler kullanılmıştır. Yıllık tüketici
fiyat enflasyonu %7’yi aştığında döviz kurunun tüketici fiyatlarına geçiş
etkisi %7,6’dan %11,6’ya çıkmaktadır. Aynı şekilde yıllık üretici fiyat
enflasyonu %4,4’ü aştığında döviz kurunun üretici fiyatlarına geçiş etkisinin
%24,1’den %37,5’e çıktığı görülmüştür. Çalışmanın sonunda döviz kurunun üretici
ve tüketici fiyatlarına geçiş etkisinin enflasyon düzeyine göre doğrusal
olmadığı ortaya konulmuş ve Taylor(2000) hipotezinin ilgili dönemde Türkiye’de
geçerli olduğu sonucuna ulaşılmıştır.






References

  • Arbatlı E. C. (2003), Exchange Rate Pass-Through In Turkey: Looking for Asymmetries, Central Bank Review 3(2), 85-124. Alınan yer Türkiye Cumhuriyet Merkez Bankası http://www.tcmb.gov.tr/wps/wcm/connect/00be43eb-3b8b-4887-9bbf-5f32148edfbe/july03-4.pdf?MOD=AJPERES&CACHEID=ROOTWORKSPACE-00be43eb-3b8b-4887-9bbf-5f32148edfbe-m3fw4q7
  • Ben Cheikh, N.(2012), Non-iinearities in exchange rate pass-through: Evidence from smooth transition models, Munich Personal RePec Archive, 39258. Alınan yer https://mpra.ub.uni-muenchen.de/39258/1/MPRA_paper_39258.pdf
  • Çiftçi, M. & Yılmaz, M. H. (2017), Nonlinear Dynamics in Exchange Rate Pass-Through and Inflation Persistence: The Case of Turkish Economy, Asian Journal of Economic Modelling 6(1), 8-20 doi:10.18488/journal.8.2018.61.8.20Doğan, B. Ş. (2013), Asymmetric Behavior of the Exchange Rate Pass-Through to Manufacturing Prices in Turkey, Emerging Markets Finance and Trade 49(3), 35-47 doi: 10.2307/23437774Eitrheım, Ø. & Teräsvirta, T. (1996), Testing the Adequacy of Smooth Transition Autoregressive Models, Journal of Econometrics 74(1996), 59-75 doi:10.1016/0304-4076(95)01751-8
  • Enders, W. (2010), Applied Econometric Time Series Third Edition, Wiley Series in Probability ans Statistics.
  • Enders, W. (2015), Applied Econometric Time Series Fourth Edition, Wiley Series in Probability ans Statistics.
  • Frances, P. H. & Dijk, D. V. (2003), Nonlinear Time Series Models in Empirical Finance, Cambridge University Press
  • Goldberg, P. K. & Knetter, M. M. (1997), Good Prices and Exchange Rates: What Have We Learned?, Journal of Economic Literature 35(3), 1243-1272 doi: 10.3386/w5862
  • Nogueira Junior, R. P. & León-Ledesma, M. A. (2008), Exchange Rate Pass-Through into Inflation: the role of asymmetries and nonlinearities. Studies in Economics 0801, University of Kent. Alınan yer ftp://ftp.ukc.ac.uk/pub/ejr/RePEc/ukc/ukcedp/0801.pdf Luukkonen, R., Saikkonen, P. & Teräsvirta, T. (1988), Testing Linearity Against Smooth Transition Autoregressive Models, Biometrika 75(3), pp.491-499 doi: 10.2307/2336599
  • Musti, B. M. & Siddiki, J. U., (2018), Nonlinear and Asymmetric Exchange Rate Pass-Through to Consumer Prices in Nigeria: Evidence From A Smooth Transition Autoregressive Model, Economics Discussion Papers 2018-3, School of Economics, Kingston University London Alınan yer http://staffnet.kingston.ac.uk/~ku33681/RePEc/kin/papers/2018_003.pdf
  • Taylor, J.B. (2000), Low Inflation, Pass-Through, and the Pricing Power of Firms, European Economic Review 44 (7) 2000, 1389-1408 doi:10.1016/S0014-2921(00)00037-4
  • Teräsvirta, T. (1994), Specification, Estimation and Evaluation of Smooth Transition Autoregressive Models, Journal of the American Statistical Association 89(425), 208-218 doi:10.2307/2291217

Estimation of Exchange Rate Pass-Through to Domestic Prices with Smooth Transition Autoregressive Models

Year 2018, , 195 - 215, 17.11.2018
https://doi.org/10.25229/beta.465635

Abstract



Knowing the effect of the change in the exchange rate on
domestic prices is very important for economies adopting the inflation
targeting strategy. Due to the high use of imported intermediate goods in the
production in Turkey, economic units and especially the Central Bank of Turkish
Republic are closely monitoring the impact of exchange rate on prices.
Therefore, the exchange rate pass-through is an issue that required to be
investigated continually. In studies with using linear models, the passthrough
is assumed to be symmetrical. The aim of this study is to examine the validity
of Taylor’s(2000) hypothesis that low inflation rate reduces the exchange rate
passthrough to prices, for Turkey by employing STR model, which is one of the
nonlinear time series methods. For this purpose, monthly data for the period
2004:01-2018:07 were used. If the consumer prices inflation exceeds 7% level,
exchange rate passthrough to consumer prices increases from 7,6% to 11,6%.
Similarly, if the annual producer price inflation exceeds 4,4% level, exchange
rate pass-through to producer prices increases from 24,1% to 37,5%. As a
result, it is revealed that the exchange rate pass-through to consumer and
producer prices is nonlinear according to inflation level and Taylor’s (2000)
hypothesis is valid in the relevant period of Turkey.






References

  • Arbatlı E. C. (2003), Exchange Rate Pass-Through In Turkey: Looking for Asymmetries, Central Bank Review 3(2), 85-124. Alınan yer Türkiye Cumhuriyet Merkez Bankası http://www.tcmb.gov.tr/wps/wcm/connect/00be43eb-3b8b-4887-9bbf-5f32148edfbe/july03-4.pdf?MOD=AJPERES&CACHEID=ROOTWORKSPACE-00be43eb-3b8b-4887-9bbf-5f32148edfbe-m3fw4q7
  • Ben Cheikh, N.(2012), Non-iinearities in exchange rate pass-through: Evidence from smooth transition models, Munich Personal RePec Archive, 39258. Alınan yer https://mpra.ub.uni-muenchen.de/39258/1/MPRA_paper_39258.pdf
  • Çiftçi, M. & Yılmaz, M. H. (2017), Nonlinear Dynamics in Exchange Rate Pass-Through and Inflation Persistence: The Case of Turkish Economy, Asian Journal of Economic Modelling 6(1), 8-20 doi:10.18488/journal.8.2018.61.8.20Doğan, B. Ş. (2013), Asymmetric Behavior of the Exchange Rate Pass-Through to Manufacturing Prices in Turkey, Emerging Markets Finance and Trade 49(3), 35-47 doi: 10.2307/23437774Eitrheım, Ø. & Teräsvirta, T. (1996), Testing the Adequacy of Smooth Transition Autoregressive Models, Journal of Econometrics 74(1996), 59-75 doi:10.1016/0304-4076(95)01751-8
  • Enders, W. (2010), Applied Econometric Time Series Third Edition, Wiley Series in Probability ans Statistics.
  • Enders, W. (2015), Applied Econometric Time Series Fourth Edition, Wiley Series in Probability ans Statistics.
  • Frances, P. H. & Dijk, D. V. (2003), Nonlinear Time Series Models in Empirical Finance, Cambridge University Press
  • Goldberg, P. K. & Knetter, M. M. (1997), Good Prices and Exchange Rates: What Have We Learned?, Journal of Economic Literature 35(3), 1243-1272 doi: 10.3386/w5862
  • Nogueira Junior, R. P. & León-Ledesma, M. A. (2008), Exchange Rate Pass-Through into Inflation: the role of asymmetries and nonlinearities. Studies in Economics 0801, University of Kent. Alınan yer ftp://ftp.ukc.ac.uk/pub/ejr/RePEc/ukc/ukcedp/0801.pdf Luukkonen, R., Saikkonen, P. & Teräsvirta, T. (1988), Testing Linearity Against Smooth Transition Autoregressive Models, Biometrika 75(3), pp.491-499 doi: 10.2307/2336599
  • Musti, B. M. & Siddiki, J. U., (2018), Nonlinear and Asymmetric Exchange Rate Pass-Through to Consumer Prices in Nigeria: Evidence From A Smooth Transition Autoregressive Model, Economics Discussion Papers 2018-3, School of Economics, Kingston University London Alınan yer http://staffnet.kingston.ac.uk/~ku33681/RePEc/kin/papers/2018_003.pdf
  • Taylor, J.B. (2000), Low Inflation, Pass-Through, and the Pricing Power of Firms, European Economic Review 44 (7) 2000, 1389-1408 doi:10.1016/S0014-2921(00)00037-4
  • Teräsvirta, T. (1994), Specification, Estimation and Evaluation of Smooth Transition Autoregressive Models, Journal of the American Statistical Association 89(425), 208-218 doi:10.2307/2291217
There are 11 citations in total.

Details

Primary Language Turkish
Subjects Business Administration
Journal Section Issues
Authors

Nazlı Karaoğlu 0000-0003-3886-2653

Serdar Kılıçkaplan

Publication Date November 17, 2018
Submission Date September 29, 2018
Acceptance Date November 15, 2018
Published in Issue Year 2018

Cite

APA Karaoğlu, N., & Kılıçkaplan, S. (2018). Döviz Kurunun Yurt İçi Fiyatlara Geçiş Etkisinin Yumuşak Geçişli Regresyon Modeliyle Tahmini. Bulletin of Economic Theory and Analysis, 3(3), 195-215. https://doi.org/10.25229/beta.465635