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Döviz Kurunun Yurtiçi Fiyatlara Yansıması: OECD Ülkelerinden Bulgular

Year 2017, Volume: 21 Issue: 2, 133 - 151, 29.12.2017

Abstract

Açık ekonomilerde, döviz kuru değişmelerinin özellikle ticaret dengesi, büyüme, enflasyon ve genel verimlilik seviyesi gibi
makroekonomik göstergelere olan etkileri üzerine geniş bir literatür mevcuttur. İlgili çalışmalarda temel inceleme alanlarından
biri, döviz kurlarındaki dalgalanmaların yurtiçi fiyatları değiştirip değiştirmediğini belirlemektir. Geçiş ya da yansıma etkisi olarak
adlandırılan bu olası mekanizma, döviz kuru ayarlanmalarının küresel düzeyde bir denge sağlama aracı olduğu yönündeki
önermelerin ampirik olarak iyi desteklenmesi nedeniyle de gittikçe önem kazanmaktadır. Söz konusu önermeden yola çıkarak
hazırlanan bu çalışma, 1990-2015 dönemi için, yüksek-gelir grubundaki 19 OECD ülkesi örneğinde döviz kuru yansıma etkisinin
olup olmadığını araştırmaktadır. Bu amaçla, i) tüketici fiyat endeksi, ii) toptan eşya fiyat endeksi ile temsil edilen üretici fiyat
endeksi, iii) nominal efektif döviz kuru ve iv) sanayi sektöründe yaratılan katma değerin gayrisafi yurtiçi hasıla içindeki payı ile
temsil edilen sanayi üretimi verilerini kullanarak, hem yapısal vektör otoregresif (VAR) hem de otoregresif dağıtılmış gecikme
(ARDL) modelleri dengesiz panel veri analizi prosedüründe tahmin edilmektedir. Sonuçlar, döviz kurundaki değişmelerin yurtiçi
fiyatlar üzerine olan etkilerinin anlamlı olduğunu, ancak bu etkilerin kısa ve uzun dönemde güçlü olmadığını ortaya koymaktadır.
Ayrıca, teorik beklentilerle uyumlu nitelikte, yansıma etkisinin zamanla azalma eğiliminde olduğu belirlenmiştir. Çalışma, politika
yapıcıların, birçok makroekonomik göstergeyle etkileşimde olan yurtiçi fiyat istikrarını sağlamak için, döviz kuru değişmelerini
izleyen politika uygulamalarına yönelmelerinin gerekli olabileceğini ortaya koymaktadır.

References

  • An, L. & Wang, J. (2011), “Exchange Rate Pass-Through: Evidence Based on Vector Autoregression with Sign Restrictions”, Federal Reserve Bank of Dallas Globalization and Monetary Policy Institute Working Papers, 70, http://www.dallasfed.org/assets/documents/institute/wpapers/2011/0070.pdf
  • Arat, K. (2003). “Türkiye’de Optimum Döviz Kuru Rejimi Seçimi ve Döviz Kurlarından Fiyatlara Geçiş Etkisinin İncelenmesi”, Türkiye Cumhuriyeti Merkez Bankası, Uzmanlık Tezi.
  • Bache, I. W. (2007). “Econometrics of Exchange Rate Pass-Through”, Norges Bank Doctoral Dissertations in Economics Series, 6, http://www.norgesbank.no/contentassets/e8b06f23b57640a0b64535b76e517f82/bache_doctoral_diss ertation.pdf
  • Beirne, J. & Bijsterbosch, M. (2009). “Exchange Rate Pass-Through in Central and Eastern European Member States”, European Central Bank Working Papers, 1120.
  • https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1120.pdf?615ad998c2ab66ff000 95df484b02ad6
  • BIS-Bank of International Settlement (2017). Effective Exchange Rate Indices. http://www.bis.org/statistics/ eer.htm
  • Bhundia, A. (2002). “An Empirical Investigation of Exchange Rate Pass-Through in South Africa”, International Monetary Fund Working Papers, 02/165. https://www.imf.org/external/pubs/ft/wp/2002/wp02165.pdf
  • Campa, J.M. & Goldberg, L.S. (2002). “Exchange Rate Pass-Through into Import Prices: A Micro or Macro Phenomenon?”, NBER Working Papers, 8934. http://www.nber.org/papers/w8934
  • Ca’zorzi, M., Hahn, E. & Sanchez, M. (2007). “Exchange Rate Pass-Through in Emerging Markets”, European Central Bank, Working Papers, 739. https://www.econstor.eu/bitstream/10419/153173/1/ecbwp0739.pdf
  • Cheikh, N. B. & Rault, C. (2017). “Investigating First-Stage Exchange Rate PassThrough: Sectoral and Macro Evidence from Euro Area Countries”, IZA Discussion Papers, 10555, http://ftp.iza.org/dp10555.pdf
  • Choudhri, E. U. & Hakura, D. S. (2001). “Exchange Rate Pass-Through to Domestic Prices: Does the Inflationary Environment Matter? IMF Working Papers, WP/01/194. https://www.imf.org/external/pubs/ft/wp/2001/wp01194.pdf
  • Comunale, M. & Kunovac, D. (2017). “Exchange Rate Pass-Through in the Euro Area”, European Central Bank Working Papers, 2003, https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp2003.en.pdf
  • Gopinath, G., Itskhoki, O. & Rigobon, R. (2010). “Currency Choice and Exchange Rate Pass-Through”, American Economic Review, 100(1), 304-336.
  • Coricelli, F., Egert, B. & MacDonald, R. (2006). “Monetary Transmission Mechanism in Central and Eastern Europe: Gliding on a Wind of Change”, Bank of Finland BOFIT Discussion Papers, 8/2006. https://ideas.repec.org/p/wdi/papers/2006- 850.html
  • Damar, A. O. (2010). “Türkiye’de Döviz Kurundan Fiyatlara Geçiş Etkisinin İncelenmesi”. Uzmanlık Yeterlilik Tezi, Ankara: Türkiye Cumhuriyet Merkez Bankası Piyasalar Genel Müdürlüğü.
  • EIA-Energy Information Administration, 2017. Spot Oil Prices, https://www.eia.gov/ Flamini, A. (2003). “CPI Inflation Targeting and Exchange Rate Pass-Through”. http://econwpa.repec.org/eps/mac/papers/0306/0306017.pdf
  • Ghosh, A. & Rajan, R.S. (2007). “A Comparative Analysis of Export Price PassThrough in Three Open Asian Economies: Korea, Singapore and Thailand”, Global Economic Review, 36(3), 287-299.
  • Hyder, Z. & Shah, S. (2004). “Exchange Rate Pass‐ Through to Domestic Prices in Pakistan”, State Bank of Pakistan Working Papers, 5. http://econwpa.repec.org/eps/mac/papers/0510/0510020.pdf
  • Im, K. S., Pesaran, M. H. & Shin, Y. (2003). “Testing for Unit Roots in Heterogeneous Panels”, Journal of Econometrics, 115 (1), 53-74.
  • Ito, T. & Sato, K. (2008). “Exchange Rate Pass-Through and Domestic Inflation: A Comparison between East Asia and Latin American Countries”, RIETI Discussion Papers, 07-E-040. https://www.rieti.go.jp/jp/publications/dp/07e040.pdf
  • Kara, H. & Öğünç, F. (2012). “Döviz Kuru ve İthalat Fiyatlarının Yurtiçi Fiyatlara Etkisi”, İktisat İşletme ve Finans, 27 (317), 9-28.
  • Kenen, P. B. & Pack, C. (1994). Exchange Rates, Domestic Prices, and the Adjustment Process, Kenen, P. B. (ed.), New York: Group of Thirty.
  • Khundrakpam, J. K. (2007). “Economic Reforms and Exchange Rate Pass-Through to Domestic Prices in India”, BIS Working Papers, 225, https://www.bis.org/publ/work225.pdf
  • Kiptui, M., Ndolo, D. & Kaminchia, S. (2005). “Exchange Rate Pass-Through: to What Extent Do Exchange Rate Fluctuations Affect Import Prices and Inflation in Kenya?”, Central Bank of Kenya Working Papers, 1. Nairobi: Central Bank of Kenya.
  • Leigh, D. & Rossi, M. (2002). “Exchange Rate Pass-Through in Turkey”, IMF Working Papers, WP/02/204. https://www.imf.org/external/pubs/ft/wp/2002/wp02204.pdf
  • Levin, A., Lin, C.F. & Chu, J. (2002). “Unit Root Tests in Panel Data: Asymptotic and Finite Sample Properties”, Journal of Econometrics, 108(1), 1-24.
  • Liu, H. Y. & Elliott, C. (2017). “The Imported Price, Inflation and Exchange Rate PassThrough in China”, Cogent Economics & Finance, 5(1), 1-13.
  • Manning, L.M. & Andrianacos, D. (1993). “Dollar Movements and Inflation: A Cointegration Analysis”, Applied Economics, 25(12), 1483-1488.
  • Menon, J. (1996). “The Degree and Determinants of Exchange Rate Pass-Through: Market Structure, Non-Tariff Barriers and Multinational Corporations”, The Economic Journal, 106(435), 434-444.
  • McCarthy, J. (2000). “Pass -Through of Exchange Rates and Import Prices to Domestic Inflation in Some Industrialized Economies”, https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr111.html
  • Pedroni, P., 2013. “Structural Panel VAR”, Econometrics, 1(2), 180-206.
  • Pesaran, M. H., Shin, Y. & Smith, R. P. (1999). “Pooled Mean Group Estimation of Dynamic Heterogeneous Panels”, Journal of the American Statistical Association, 94(446), 621-634.
  • Ponomarev, Y., Trunin, P. & Uluykaev, A. (2016). “Exchange Rate Pass-Through in Russia”, Journal Problems of Economic Transition, 58(1), 54-72.
  • Shambaugh, G. (2008). “A New Look at Pass-Through”, Journal of International Money and Finance, 27(4), 560-591.
  • Shu, C. & Su, X. (2009). “Exchange Rate Pass-Through in China. China”, World Economy, 17(1), 33-46.
  • Sims, C. A. (1972). “Money, Income, and Causality”, The American Economic Review, 62(4), 540-552.
  • Sims, C.A., (1980), “Macroeconomics and Reality”, Econometrica, 48(1), 1-48.
  • Smets, F. & Wouters, R. (2002). “Openness, Imperfect Exchange Rate Pass-Through and Monetary Policy”, European Central Bank Working Papers, 128. https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp128.pdf?ed631d68eb72ccfe5ebe 48b726da9618
  • Takhtamanova, Y. F. (2010). “Understanding Changes in Exchange Rate PassThrough”, Journal of Macroeconomics, 32(4), 1118-1130.
  • WB WDI–World Bank World Development Indicators (2017). http://databank.worldbank.org/data/ reports.aspx?source=world-developmentindicators
Year 2017, Volume: 21 Issue: 2, 133 - 151, 29.12.2017

Abstract

References

  • An, L. & Wang, J. (2011), “Exchange Rate Pass-Through: Evidence Based on Vector Autoregression with Sign Restrictions”, Federal Reserve Bank of Dallas Globalization and Monetary Policy Institute Working Papers, 70, http://www.dallasfed.org/assets/documents/institute/wpapers/2011/0070.pdf
  • Arat, K. (2003). “Türkiye’de Optimum Döviz Kuru Rejimi Seçimi ve Döviz Kurlarından Fiyatlara Geçiş Etkisinin İncelenmesi”, Türkiye Cumhuriyeti Merkez Bankası, Uzmanlık Tezi.
  • Bache, I. W. (2007). “Econometrics of Exchange Rate Pass-Through”, Norges Bank Doctoral Dissertations in Economics Series, 6, http://www.norgesbank.no/contentassets/e8b06f23b57640a0b64535b76e517f82/bache_doctoral_diss ertation.pdf
  • Beirne, J. & Bijsterbosch, M. (2009). “Exchange Rate Pass-Through in Central and Eastern European Member States”, European Central Bank Working Papers, 1120.
  • https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1120.pdf?615ad998c2ab66ff000 95df484b02ad6
  • BIS-Bank of International Settlement (2017). Effective Exchange Rate Indices. http://www.bis.org/statistics/ eer.htm
  • Bhundia, A. (2002). “An Empirical Investigation of Exchange Rate Pass-Through in South Africa”, International Monetary Fund Working Papers, 02/165. https://www.imf.org/external/pubs/ft/wp/2002/wp02165.pdf
  • Campa, J.M. & Goldberg, L.S. (2002). “Exchange Rate Pass-Through into Import Prices: A Micro or Macro Phenomenon?”, NBER Working Papers, 8934. http://www.nber.org/papers/w8934
  • Ca’zorzi, M., Hahn, E. & Sanchez, M. (2007). “Exchange Rate Pass-Through in Emerging Markets”, European Central Bank, Working Papers, 739. https://www.econstor.eu/bitstream/10419/153173/1/ecbwp0739.pdf
  • Cheikh, N. B. & Rault, C. (2017). “Investigating First-Stage Exchange Rate PassThrough: Sectoral and Macro Evidence from Euro Area Countries”, IZA Discussion Papers, 10555, http://ftp.iza.org/dp10555.pdf
  • Choudhri, E. U. & Hakura, D. S. (2001). “Exchange Rate Pass-Through to Domestic Prices: Does the Inflationary Environment Matter? IMF Working Papers, WP/01/194. https://www.imf.org/external/pubs/ft/wp/2001/wp01194.pdf
  • Comunale, M. & Kunovac, D. (2017). “Exchange Rate Pass-Through in the Euro Area”, European Central Bank Working Papers, 2003, https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp2003.en.pdf
  • Gopinath, G., Itskhoki, O. & Rigobon, R. (2010). “Currency Choice and Exchange Rate Pass-Through”, American Economic Review, 100(1), 304-336.
  • Coricelli, F., Egert, B. & MacDonald, R. (2006). “Monetary Transmission Mechanism in Central and Eastern Europe: Gliding on a Wind of Change”, Bank of Finland BOFIT Discussion Papers, 8/2006. https://ideas.repec.org/p/wdi/papers/2006- 850.html
  • Damar, A. O. (2010). “Türkiye’de Döviz Kurundan Fiyatlara Geçiş Etkisinin İncelenmesi”. Uzmanlık Yeterlilik Tezi, Ankara: Türkiye Cumhuriyet Merkez Bankası Piyasalar Genel Müdürlüğü.
  • EIA-Energy Information Administration, 2017. Spot Oil Prices, https://www.eia.gov/ Flamini, A. (2003). “CPI Inflation Targeting and Exchange Rate Pass-Through”. http://econwpa.repec.org/eps/mac/papers/0306/0306017.pdf
  • Ghosh, A. & Rajan, R.S. (2007). “A Comparative Analysis of Export Price PassThrough in Three Open Asian Economies: Korea, Singapore and Thailand”, Global Economic Review, 36(3), 287-299.
  • Hyder, Z. & Shah, S. (2004). “Exchange Rate Pass‐ Through to Domestic Prices in Pakistan”, State Bank of Pakistan Working Papers, 5. http://econwpa.repec.org/eps/mac/papers/0510/0510020.pdf
  • Im, K. S., Pesaran, M. H. & Shin, Y. (2003). “Testing for Unit Roots in Heterogeneous Panels”, Journal of Econometrics, 115 (1), 53-74.
  • Ito, T. & Sato, K. (2008). “Exchange Rate Pass-Through and Domestic Inflation: A Comparison between East Asia and Latin American Countries”, RIETI Discussion Papers, 07-E-040. https://www.rieti.go.jp/jp/publications/dp/07e040.pdf
  • Kara, H. & Öğünç, F. (2012). “Döviz Kuru ve İthalat Fiyatlarının Yurtiçi Fiyatlara Etkisi”, İktisat İşletme ve Finans, 27 (317), 9-28.
  • Kenen, P. B. & Pack, C. (1994). Exchange Rates, Domestic Prices, and the Adjustment Process, Kenen, P. B. (ed.), New York: Group of Thirty.
  • Khundrakpam, J. K. (2007). “Economic Reforms and Exchange Rate Pass-Through to Domestic Prices in India”, BIS Working Papers, 225, https://www.bis.org/publ/work225.pdf
  • Kiptui, M., Ndolo, D. & Kaminchia, S. (2005). “Exchange Rate Pass-Through: to What Extent Do Exchange Rate Fluctuations Affect Import Prices and Inflation in Kenya?”, Central Bank of Kenya Working Papers, 1. Nairobi: Central Bank of Kenya.
  • Leigh, D. & Rossi, M. (2002). “Exchange Rate Pass-Through in Turkey”, IMF Working Papers, WP/02/204. https://www.imf.org/external/pubs/ft/wp/2002/wp02204.pdf
  • Levin, A., Lin, C.F. & Chu, J. (2002). “Unit Root Tests in Panel Data: Asymptotic and Finite Sample Properties”, Journal of Econometrics, 108(1), 1-24.
  • Liu, H. Y. & Elliott, C. (2017). “The Imported Price, Inflation and Exchange Rate PassThrough in China”, Cogent Economics & Finance, 5(1), 1-13.
  • Manning, L.M. & Andrianacos, D. (1993). “Dollar Movements and Inflation: A Cointegration Analysis”, Applied Economics, 25(12), 1483-1488.
  • Menon, J. (1996). “The Degree and Determinants of Exchange Rate Pass-Through: Market Structure, Non-Tariff Barriers and Multinational Corporations”, The Economic Journal, 106(435), 434-444.
  • McCarthy, J. (2000). “Pass -Through of Exchange Rates and Import Prices to Domestic Inflation in Some Industrialized Economies”, https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr111.html
  • Pedroni, P., 2013. “Structural Panel VAR”, Econometrics, 1(2), 180-206.
  • Pesaran, M. H., Shin, Y. & Smith, R. P. (1999). “Pooled Mean Group Estimation of Dynamic Heterogeneous Panels”, Journal of the American Statistical Association, 94(446), 621-634.
  • Ponomarev, Y., Trunin, P. & Uluykaev, A. (2016). “Exchange Rate Pass-Through in Russia”, Journal Problems of Economic Transition, 58(1), 54-72.
  • Shambaugh, G. (2008). “A New Look at Pass-Through”, Journal of International Money and Finance, 27(4), 560-591.
  • Shu, C. & Su, X. (2009). “Exchange Rate Pass-Through in China. China”, World Economy, 17(1), 33-46.
  • Sims, C. A. (1972). “Money, Income, and Causality”, The American Economic Review, 62(4), 540-552.
  • Sims, C.A., (1980), “Macroeconomics and Reality”, Econometrica, 48(1), 1-48.
  • Smets, F. & Wouters, R. (2002). “Openness, Imperfect Exchange Rate Pass-Through and Monetary Policy”, European Central Bank Working Papers, 128. https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp128.pdf?ed631d68eb72ccfe5ebe 48b726da9618
  • Takhtamanova, Y. F. (2010). “Understanding Changes in Exchange Rate PassThrough”, Journal of Macroeconomics, 32(4), 1118-1130.
  • WB WDI–World Bank World Development Indicators (2017). http://databank.worldbank.org/data/ reports.aspx?source=world-developmentindicators
There are 40 citations in total.

Details

Primary Language Turkish
Journal Section Research Articles
Authors

Harun Bal

Mehmet Demiral

Filiz Yetiz This is me

Publication Date December 29, 2017
Submission Date December 1, 2017
Published in Issue Year 2017 Volume: 21 Issue: 2

Cite

APA Bal, H., Demiral, M., & Yetiz, F. (2017). Döviz Kurunun Yurtiçi Fiyatlara Yansıması: OECD Ülkelerinden Bulgular. Çukurova Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 21(2), 133-151.