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

Year 2024, Volume: 9 Issue: 2, 347 - 367, 30.06.2024

Rümeysa Erkan

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.

Keywords

Exhange rate, Consumer prices, Asymmetric pass-through effect, NARDL method

Döviz Kurundan Tüketici Fiyatlarına Asimetrik Geçiş Etkisi: NARDL Yöntemi

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.

Keywords

NARDL Yöntemi, Döviz Kuru, Tüketici Fiyatları, Asimetrik Geçiş Etkisi

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