Research Article
BibTex RIS Cite

EXCHANGE RATE PASS-THROUGH TO CONSUMER PRICES IN TURKEY: EVIDENCE FROM ARDL AND NONLINEAR ARDL APPROACHES

Year 2024, Issue: 67, 1 - 13, 30.04.2024

Halil Altıntaş

https://doi.org/10.18070/erciyesiibd.1377410

Abstract

This study analyses the exchange rate pass-through to inflation in Turkey during the inflation targeting period (January 2007–May 2021) by estimating the ARDL and NARDL models. The linear ARDL model showed that there was a significant and positive increase in the inflation rate of exchange rate increases in the long run. The NARDL model results suggest that the pass-through effect of the exchange rate on inflation in Turkey shows asymmetric changes over the short and long term. The magnitudes of the coefficients of exchange rate pass-through to inflation (ERPT) differ in cases of depreciation and appreciation over the long term. NARDL estimates reveal that a 1% depreciation of the exchange rate (dolar/TL) leads to about a 0.71% and 0.51% increase in consumer prices, respectively, while appreciations in the exchange rate decrease consumer prices by approximately 0.45% in the long term. These findings imply that consumer prices react higher during depreciation than appreciation. This evidence reveals that producers with market power may be concerned with speculative behavior to make use of asymmetric exchange rate pass-through in order to profit in weakly competitive market structures. Therefore, the policymaker should provide more independence to the central bank to improve monetary policy’s credibility and strengthen the competitive market structure in financial markets in order to reduce the asymmetric effects of the exchange rate on inflation.

Keywords

Exchange rate Inflation Asymmetry NARDL

References

  • Adeosun, O. A., Tabash, M. I., Vo, X. V. ve Anagreh, S. (2022). Uncertainty measures and inflation dynamics in selected global players: a wavelet approach. Quality and Quantity. Springer Netherlands. doi:10.1007/s11135-022-01513-7
  • Aleem, A. ve Lahiani, A. (2014). A threshold vector autoregression model of exchange rate pass-through in Mexico. Research in International Business and Finance, 30(1), 24–33. doi:10.1016/j.ribaf.2013.05.001
  • Alsamara, M., Mrabet, Z. ve Hatemi-J, A. (2020). Pass-through of import cost into consumer prices and inflation in GCC countries: Evidence from a nonlinear autoregressive distributed lags model. International Review of Economics & Finance, 70, 89–101. doi:10.1016/J.IREF.2020.07.009.
  • Altıntaş, H. (2014). Türkiye’de Döviz Kurunun Enflasyon Üzerine Geçiş Etkisinin Ekonometrik Analizi : 1987 - 2011. Uludağ Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 33(1), 163–201.
  • Altıntaş, H. (2022). Petrol Fiyatı Şoklarının BİST100 Getiri Endeksi Üzerine Kısa ve Uzun Dönem Asimetrik Etkisi: NARDL Yaklaşımından Kanıtlar. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, (62), 25–55. doi:10.18070/erciyesiibd.1067906.
  • Anderl, C. ve Caporale, G. M. (2023a). Nonlinearities in the exchange rate pass-through: The role of inflation expectations. International Economics. doi:10.1016/J.INTECO.2022.10.003.
  • Anderl, C. ve Caporale, G. M. (2023b). Asymmetries, uncertainty and inflation: evidence from developed and emerging economies. Journal of Economics and Finance. Springer US. doi:10.1007/s12197-023-09639-6.
  • Baharumshah, A. Z., Sirag, A. ve Soon, S. V. (2017). Asymmetric exchange rate pass-through in an emerging market economy: The case of Mexico. Research in International Business and Finance, 41(April), 247–259. doi:10.1016/j.ribaf.2017.04.034.
  • Baharumshah, A. Z., Soon, S. V. ve Wohar, M. E. (2017). Markov-switching analysis of exchange rate pass-through: Perspective from Asian countries. International Review of Economics & Finance, 51, 245–257. doi:10.1016/J.IREF.2017.05.009.
  • Bahmani-Oskooee, M., Halicioglu, F. ve Mohammadian, A. (2018). On the asymmetric effects of exchange rate changes on domestic production in Turkey. Economic Change and Restructuring, 51(2), 97–112. doi:10.1007/S10644-017-9201-X.
  • Baker, S. R., Bloom, N., Davis, S. J., Dashkeyev, V., Deriy, O., Dinh, E., … Takeda, N. (2016). Measuring Economıc Policy Uncertainty. Quarterly Journal of Economics, 131(November), 1593–1636. doi:10.1093/qje/qjw024.Advance.
  • Balcilar, M., Usman, O. ve Agbede, E. A. (2019). Revisiting the Exchange Rate Pass-Through to Inflation in Africa’s Two Largest Economies: Nigeria and South Africa. African Development Review, 31(2), 245–257. doi:10.1111/1467-8268.12381.
  • Ben Cheikh, N., Ben Zaied, Y. ve Ben Ameur, H. (2023). Recent developments in exchange rate pass-through: What have we learned from uncertain times? Journal of International Money and Finance, 131, 102805. doi:10.1016/J.JIMONFIN.2023.102805.
  • Brock, W. A., Dechert, W. D. ve Scheinkman, J. A. (1987). A Test for Independence Based on the Correlation Dimension (C. 0). doi:10.1007/978-3-319-90047-6_5.
  • Brun-Aguerre, R., Fuertes, A. M. ve Greenwood-Nimmo, M. (2017). Heads I win; tails you lose: asymmetry in exchange rate pass-through into import prices. Journal of the Royal Statistical Society. Series A: Statistics in Society, 180(2), 587–612. doi:10.1111/rssa.12213.
  • Bussiere, M. (2013). Exchange rate pass-through to trade prices: The role of nonlinearities and asymmetries. Oxford Bulletin of Economics and Statistics, 75(5), 731–758. doi:10.1111/J.1468-0084.2012.00711.X.
  • Campa, J. M. ve Goldberg, L. S. (2002). Nber Working Paper Series Exchange Rate Pass-Through Into Import Prices: a Macro or Micro Phenomenon? http://www.nber.org/papers/w8934 adresinden erişildi.
  • Caselli, F. G. ve Roitman, A. (2019). Nonlinear exchange-rate pass-through in emerging markets. International Finance, 22(3), 279–306. doi:10.1111/infi.12344.
  • Choudhri, E. U. ve 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. doi:10.1016/j.jimonfin.2005.11.009.
  • Corrêa, W. L. R. ve Lopes, L. S. (2023). Monetary policy transmission, productive activity, and inflation in Brazil: Does uncertainty matter? The Journal of Economic Asymmetries, 27, e00285. doi:10.1016/J.JECA.2022.E00285.
  • de Mendonça, H. F. ve Tiberto, B. P. (2017). Effect of credibility and exchange rate pass-through on inflation: An assessment for developing countries. International Review of Economics & Finance, 50, 196–244. doi:10.1016/J.IREF.2017.03.027.
  • Delatte, A. L. ve López-Villavicencio, A. (2012). Asymmetric exchange rate pass-through: Evidence from major countries. Journal of Macroeconomics, 34(3), 833–844. doi:10.1016/J.JMACRO.2012.03.003.
  • Deluna, R. S., Loanzon, J. I. V. ve Tatlonghari, V. M. (2021). A nonlinear ARDL model of inflation dynamics in the Philippine economy. Journal of Asian Economics, 76, 101372. doi:10.1016/J.ASIECO.2021.101372.
  • Devereux, M. B. ve Yetman, J. (2002). Hong Kong Institute for Monetary Research Price Setting and Exchange Rate Pass-Through: Theory and Evidence, (22). http://ssrn.com/abstract=1009466http://www.hkimr.org adresinden erişildi.
  • Dickey, D. A. ve Fuller, W. A. (1979). Distribution of the Estimators for Autoregressive Time Series With a Unit Root. Journal of the American Statistical Association, 74(366), 427–431. doi:10.1080/01621459.1979.10482531 Dornbusch, R. (1985). Exchange Rates And Prices. NBER Working Paper Series, (December).
  • Edwards, S. ve Cabezas, L. (2022). Exchange Rate Pass-Through, Monetary Policy, and Real Exchange Rates: Iceland and the 2008 Crisis. Open Economies Review, 33(2), 197–230. doi:10.1007/S11079-021-09627-5.
  • El bejaoui, H. J. (2013). Asymmetric effects of exchange rate variations: An empirical analysis for four advanced countries. International Economics, 135–136, 29–46. doi:10.1016/J.INTECO.2013.10.001.
  • Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50(4), 987–1007.
  • Engle, R. F., Granger, C. W. J., Engle, B. Y. R. F. ve Grangeri, C. W. J. (1987). Co-Integration and Error Correction: Representation, Estimation, and Testing, 55(2), 251–276.
  • Ghosh, A. (2013). Exchange rate pass through, macro fundamentals and regime choice in Latin America. Journal of Macroeconomics, 35(1), 163–171. doi:10.1016/J.JMACRO.2012.09.001.
  • Goldberg, P. K. (1995). Product Differentiation and Oligopoly in International Markets: The Case of the U.S. Automobile Industry. Econometrica, 63(4), 891–951.
  • Goldberg, P. K. ve Knetter, M. M. (1997). Goods Prices and Exchange Rates: What Have We Learned? Journal of Economic Literature, 35(3), 1243–1272.
  • Güney, S., Riquelme, A. ve Goodwin, B. (2023). An Analysis of the Pass-Through of Exchange Rates in Forest Product Markets. Agriculture, 13(3), 515. doi:10.3390/AGRICULTURE13030515.
  • Hodrick, R. J. ve Prescott, E. C. (1997). Postwar U.S. Business Cycles: An Empirical Investigation, 29(1), 1–16. Ihrig, J. E., Marazzi, M. ve Othenberg, A. D. R. (2006). Exchange-Rate Pass-Through in the G-7 countries. Board of Governors of the Federal Reserve System International Finance Discussion Papers, (85).
  • Ito, T. ve Sato, K. (2008). Exchange rate changes and inflation in post-crisis Asian economies: Vector autoregression analysis of the exchange rate pass-through. Journal of Money, Credit and Banking, 40(7), 1407–1438. doi:10.1111/J.1538-4616.2008.00165.X.
  • Jašová, M., Moessner, R. ve Takáts, E. (2020). Domestic and global output gaps as inflation drivers: What does the Phillips curve tell? Economic Modelling, 87, 238–253. doi:10.1016/J.ECONMOD.2019.07.025.
  • Jiang, J. ve Kim, D. (2013). Exchange rate pass-through to inflation in China. Economic Modelling, 33, 900–912. doi:10.1016/J.ECONMOD.2013.05.021.
  • Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12(2–3), 231–254. doi:10.1016/0165-1889(88)90041-3.
  • Johansen, S. ve Juselius, K. (1990). Maximum Likelihood Estimation and Inference on Cointegration — With Applications To the Demand for Money. Oxford Bulletin of Economics and Statistics, 52(2), 169–210. doi:10.1111/j.1468-0084.1990.mp52002003.x.
  • Junttila, J. ve Korhonen, M. (2012). The role of inflation regime in the exchange rate pass-through to import prices. International Review of Economics and Finance, 24, 88–96. doi:10.1016/j.iref.2012.01.005.
  • Kadiyali, V. (1997). Exchange rate pass-through for strategic pricing and advertising: An empirical analysis of the U.S. photographic film industry. Journal of International Economics, 43(3–4), 437–461. doi:10.1016/S0022-1996(97)00008-1.
  • Kara, H. ve Öğünç, F. (2011). Döviz Kuru ve İthalat Fiyatlarının Enflasyona Etkisi. Türkiye Cumhuriyet Merkez Bankası Ekonomi Notları. https://www.tcmb.gov.tr/wps/wcm/connect/66502977-a6cb-430b-927d-12737706c5ad/EN1114eng.pdf?MOD=AJPERES&CACHEID=ROOTWORKSPACE-66502977-a6cb-430b-927d-12737706c5ad-m3fw4-B adresinden erişildi.
  • Kara, H. ve Öǧünç, F. (2008). Inflation targeting and exchange rate pass-through: The Turkish experience. Emerging Markets Finance and Trade, 44(6), 52–66. doi:10.2753/REE1540-496X440604.
  • Karabacak, M. (2023). Türkiye’de Enflasyonun Dinamikleri ve Döviz Kurunun Yurtiçi Fiyatlara Geçiş Etkisi. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, 18(1). doi:10.17153/oguiibf.1255298.
  • Karaoğlu, N. ve Demirel, B. (2021). Asymmetric Exchange Rate Pass-Through into Inflation in Turkey: A NARDL Approach. Fiscaoeconomia, 5(3), 845–861. doi:10.25295/fsecon.925369.
  • Karaoğlu, N. ve 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. doi:10.25229/beta.465635.
  • Kassi, D. F., Rathnayake, D. N., Edjoukou, A. J. R., Gnangoin, Y. T., Louembe, P. A., Ding, N. ve Sun, G. (2019). Asymmetry in exchange rate pass-through to consumer prices: New perspective from sub-Saharan African countries. Economies, 7(1). doi:10.3390/economies7010005.
  • Kassi, D. F., Sun, G., Ding, N., Rathnayake, D. N. ve Assamoi, G. R. (2019). Asymmetry in exchange rate pass-through to consumer prices: Evidence from emerging and developing Asian countries. Economic Analysis and Policy, 62. doi:10.1016/j.eap.2018.09.013.
  • Kotil, E. (2020). Exchange Rate Pass-Through Investigation for Turkish Economy. Frontiers in Applied Mathematics and Statistics, 5(January), 1–6. doi:10.3389/fams.2019.00066.
  • Krugman, P. (1987). Pricing To Market When The Exchange Rate Changes. NBER WORKING PAPER SERIES, 9(6), 123–128.
  • Lee, J. ve Strazicich, M. C. (2003). Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks. The Review of Economics and Statistics, 85(4), 1082–1089.
  • Lin, P. C. ve Wu, C. S. (2012). Exchange rate pass-through in deflation: The case of Taiwan. International Review of Economics & Finance, 22(1), 101–111. doi:10.1016/J.IREF.2011.10.010.
  • Long, S. ve Zhang, R. (2022). The asymmetric effects of international oil prices, oil price uncertainty and income on urban residents’ consumption in China. Economic Analysis and Policy, 74, 789–805. doi:10.1016/j.eap.2022.04.008.
  • Łyziak, T. (2019). Do global output gaps help forecast domestic inflation? Evidence from Phillips curves for Poland. International Journal of Forecasting, 35(3), 1032–1041. doi:10.1016/J.IJFORECAST.2019.03.006.
  • Osbat, C., Sun, Y. ve Wagner, M. (2021). Sectoral exchange rate pass-through in the Euro Area, 2021(2634).
  • Ozkan, I. ve Erden, L. (2015). Time-varying nature and macroeconomic determinants of exchange rate pass-through. International Review of Economics and Finance, 38. doi:10.1016/j.iref.2015.01.007.
  • Patnaik, I., Shah, A. ve Bhattacharya, R. (2011). Monetary Policy Transmission in an Emerging Market Setting. IMF Working Papers, 11(5), 1. doi:10.5089/9781455211838.001.
  • Pesaran, M. H. ve Shin, Y. (1998). An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis. Econometrics and Economic Theory in the 20th Century, 371–413. doi:10.1017/ccol521633230.011.
  • Pesaran, M. H., Shin, Y. ve Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. doi:10.1002/jae.616.
  • Pham, T. A. T., Nguyen, T. T., Nasir, M. A. ve Duc Huynh, T. L. (2023). Exchange rate pass-through: A comparative analysis of inflation targeting & non-targeting ASEAN-5 countries. Quarterly Review of Economics and Finance, 87, 158–167. doi:10.1016/j.qref.2020.07.010.
  • Phillips, P. ve Perron, P. (1988). Testing for a Unit Root in Time Series Regression Biometrika 75(2), 335–346.
  • Sarwar, M. N., Hussain, H. ve Maqbool, M. B. (2020). Pass through effects of oil price on food and non-food prices in Pakistan: A nonlinear ARDL approach. Resources Policy, 69(September), 101876. doi:10.1016/j.resourpol.2020.101876.
  • Shin, Y., Yu, B. ve Greenwood-nimmo, M. (2014). Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework. R. C. Sickles ve W. C. Horrace (Ed.), Festschrift in Honor of Peter Schmidt içinde (ss. 281–314). New York, NY: Springer New York. doi:10.1007/978-1-4899-8008-3.
  • Shintani, M., Terada-Hagiwara, A. ve Yabu, T. (2013). Exchange rate pass-through and inflation: A nonlinear time series analysis. Journal of International Money and Finance, 32(1), 512–527. doi:10.1016/J.JIMONFIN.2012.05.024.
  • Simione, F. ve Manguinhane, E. (2021). An Empirical Assessment of the Exchange Rate Pass-through in Mozambique. IMF Working Papers, 2021(132), 1. doi:10.5089/9781513573694.001.
  • Taylor, J. B. (2000). Low inflation, pass-through, and the pricing power of firms. European Economic Review, 44, 1389–1408.
  • Tümtürk, O. (2017). Türkiye’de Döviz Kurlarının Yurtiçi Fiyatlara Geçiş Etkisi ve Enflasyon Hedeflemesi. Yönetim ve Ekonomi: Celal Bayar Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 24(3). doi:10.18657/yonveek.371996
  • Tunc, C. ve Kilinc, M. (2018). Exchange Rate Pass-Through in A Small Open Economy: A Structural VAR Approach. Bulletin of Economic Research, 70(4), 410–422. doi:10.1111/BOER.12162.
  • Yanamandra, V. (2015). Exchange rate changes and inflation in India: What is the extent of exchange rate pass-through to imports? Economic Analysis and Policy, 47, 57–68. doi:10.1016/J.EAP.2015.07.004.
  • Zakaria, M., Khiam, S. ve Mahmood, H. (2021). Influence of oil prices on inflation in South Asia: Some new evidence. Resources Policy, 71, 102014. doi:10.1016/J.RESOURPOL.2021.102014.
  • Zhu, H. ve Chen, X. (2019). Asymmetric effects of oil prices and exchange rates on China’s industrial prices. Energy Economics, 84, 104551. doi:10.1016/j.eneco.2019.104551.
  • Zivot, E. ve Andrews, D. W. K. (1992). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of Business and Economic Statistics, 10(3), 251–270. doi:10.1080/07350015.1992.10509904

TÜRKİYE’DE DÖVİZ KURUNUN TÜKETİCİ FİYATLARI ÜZERİNE GEÇİŞ ETKİSİ: ARDL ve NARDL YAKLAŞIMINDAN KANITLAR

Year 2024, Issue: 67, 1 - 13, 30.04.2024

Halil Altıntaş

https://doi.org/10.18070/erciyesiibd.1377410

Abstract

Bu çalışma Türkiye’de enflasyon hedefleme döneminde (2007 Ocak-2021 Mayıs) döviz kurunun enflasyon üzerine etkisini ARDL ve NARDL modelleriyle analiz etmektedir. Doğrusal ARDL modeli, döviz kurundaki artışların enflasyon üzerinde uzun dönemde anlamlı ve önemli artışa neden olduğunu göstermiştir. NARDL modeli sonuçlarında Türkiye’de döviz kurunun enflasyon üzerine geçiş etkisinin kısa ve uzun dönemde asimetrik değişim göstermektedir. Döviz kuru geçişkenliğinin (ERPT) katsayılarının büyüklüklerinin değer kaybı (depreciation) ve değer kazancı (appreciation) durumunda farklılaşmaktadır. Uzun dönemde TL karşısında dolar kurunda %1 değer artışının enflasyon üzerinde sırasıyla, % 0.71 ve % 0.51 artışa, TL karşısında dolar kurundaki azalmanın ise enflasyon üzerinde %0.45 azalışa neden olduğu tahmin edilmiştir. Böylece tüketici fiyatlarının TL’deki değer kaybına TL’deki değerlenmeden daha fazla tepki gösterdiği anlaşılmaktadır. Ayrıca bulgularımız, piyasa gücüne sahip üreticilerin, zayıf rekabetçi piyasa koşullarında kar elde etmek amacıyla asimetrik döviz kuru geçişkenliğini kullanma yönünde spekülatif davranışlar gösterebileceğine işaret etmektedir. Bu nedenle döviz kurunun enflasyon üzerindeki asimetrik etkilerini azaltmak için politika yapıcının merkez bankasına daha fazla bağımsızlık sağlaması, para politikasının güvenilirliğini artırması ve finansal piyasalarda rekabetçi piyasa yapısını güçlendirmesi gerekmektedir.

Keywords

Döviz Kuru Enflasyon Asimetri NARDL

References

  • Adeosun, O. A., Tabash, M. I., Vo, X. V. ve Anagreh, S. (2022). Uncertainty measures and inflation dynamics in selected global players: a wavelet approach. Quality and Quantity. Springer Netherlands. doi:10.1007/s11135-022-01513-7
  • Aleem, A. ve Lahiani, A. (2014). A threshold vector autoregression model of exchange rate pass-through in Mexico. Research in International Business and Finance, 30(1), 24–33. doi:10.1016/j.ribaf.2013.05.001
  • Alsamara, M., Mrabet, Z. ve Hatemi-J, A. (2020). Pass-through of import cost into consumer prices and inflation in GCC countries: Evidence from a nonlinear autoregressive distributed lags model. International Review of Economics & Finance, 70, 89–101. doi:10.1016/J.IREF.2020.07.009.
  • Altıntaş, H. (2014). Türkiye’de Döviz Kurunun Enflasyon Üzerine Geçiş Etkisinin Ekonometrik Analizi : 1987 - 2011. Uludağ Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 33(1), 163–201.
  • Altıntaş, H. (2022). Petrol Fiyatı Şoklarının BİST100 Getiri Endeksi Üzerine Kısa ve Uzun Dönem Asimetrik Etkisi: NARDL Yaklaşımından Kanıtlar. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, (62), 25–55. doi:10.18070/erciyesiibd.1067906.
  • Anderl, C. ve Caporale, G. M. (2023a). Nonlinearities in the exchange rate pass-through: The role of inflation expectations. International Economics. doi:10.1016/J.INTECO.2022.10.003.
  • Anderl, C. ve Caporale, G. M. (2023b). Asymmetries, uncertainty and inflation: evidence from developed and emerging economies. Journal of Economics and Finance. Springer US. doi:10.1007/s12197-023-09639-6.
  • Baharumshah, A. Z., Sirag, A. ve Soon, S. V. (2017). Asymmetric exchange rate pass-through in an emerging market economy: The case of Mexico. Research in International Business and Finance, 41(April), 247–259. doi:10.1016/j.ribaf.2017.04.034.
  • Baharumshah, A. Z., Soon, S. V. ve Wohar, M. E. (2017). Markov-switching analysis of exchange rate pass-through: Perspective from Asian countries. International Review of Economics & Finance, 51, 245–257. doi:10.1016/J.IREF.2017.05.009.
  • Bahmani-Oskooee, M., Halicioglu, F. ve Mohammadian, A. (2018). On the asymmetric effects of exchange rate changes on domestic production in Turkey. Economic Change and Restructuring, 51(2), 97–112. doi:10.1007/S10644-017-9201-X.
  • Baker, S. R., Bloom, N., Davis, S. J., Dashkeyev, V., Deriy, O., Dinh, E., … Takeda, N. (2016). Measuring Economıc Policy Uncertainty. Quarterly Journal of Economics, 131(November), 1593–1636. doi:10.1093/qje/qjw024.Advance.
  • Balcilar, M., Usman, O. ve Agbede, E. A. (2019). Revisiting the Exchange Rate Pass-Through to Inflation in Africa’s Two Largest Economies: Nigeria and South Africa. African Development Review, 31(2), 245–257. doi:10.1111/1467-8268.12381.
  • Ben Cheikh, N., Ben Zaied, Y. ve Ben Ameur, H. (2023). Recent developments in exchange rate pass-through: What have we learned from uncertain times? Journal of International Money and Finance, 131, 102805. doi:10.1016/J.JIMONFIN.2023.102805.
  • Brock, W. A., Dechert, W. D. ve Scheinkman, J. A. (1987). A Test for Independence Based on the Correlation Dimension (C. 0). doi:10.1007/978-3-319-90047-6_5.
  • Brun-Aguerre, R., Fuertes, A. M. ve Greenwood-Nimmo, M. (2017). Heads I win; tails you lose: asymmetry in exchange rate pass-through into import prices. Journal of the Royal Statistical Society. Series A: Statistics in Society, 180(2), 587–612. doi:10.1111/rssa.12213.
  • Bussiere, M. (2013). Exchange rate pass-through to trade prices: The role of nonlinearities and asymmetries. Oxford Bulletin of Economics and Statistics, 75(5), 731–758. doi:10.1111/J.1468-0084.2012.00711.X.
  • Campa, J. M. ve Goldberg, L. S. (2002). Nber Working Paper Series Exchange Rate Pass-Through Into Import Prices: a Macro or Micro Phenomenon? http://www.nber.org/papers/w8934 adresinden erişildi.
  • Caselli, F. G. ve Roitman, A. (2019). Nonlinear exchange-rate pass-through in emerging markets. International Finance, 22(3), 279–306. doi:10.1111/infi.12344.
  • Choudhri, E. U. ve 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. doi:10.1016/j.jimonfin.2005.11.009.
  • Corrêa, W. L. R. ve Lopes, L. S. (2023). Monetary policy transmission, productive activity, and inflation in Brazil: Does uncertainty matter? The Journal of Economic Asymmetries, 27, e00285. doi:10.1016/J.JECA.2022.E00285.
  • de Mendonça, H. F. ve Tiberto, B. P. (2017). Effect of credibility and exchange rate pass-through on inflation: An assessment for developing countries. International Review of Economics & Finance, 50, 196–244. doi:10.1016/J.IREF.2017.03.027.
  • Delatte, A. L. ve López-Villavicencio, A. (2012). Asymmetric exchange rate pass-through: Evidence from major countries. Journal of Macroeconomics, 34(3), 833–844. doi:10.1016/J.JMACRO.2012.03.003.
  • Deluna, R. S., Loanzon, J. I. V. ve Tatlonghari, V. M. (2021). A nonlinear ARDL model of inflation dynamics in the Philippine economy. Journal of Asian Economics, 76, 101372. doi:10.1016/J.ASIECO.2021.101372.
  • Devereux, M. B. ve Yetman, J. (2002). Hong Kong Institute for Monetary Research Price Setting and Exchange Rate Pass-Through: Theory and Evidence, (22). http://ssrn.com/abstract=1009466http://www.hkimr.org adresinden erişildi.
  • Dickey, D. A. ve Fuller, W. A. (1979). Distribution of the Estimators for Autoregressive Time Series With a Unit Root. Journal of the American Statistical Association, 74(366), 427–431. doi:10.1080/01621459.1979.10482531 Dornbusch, R. (1985). Exchange Rates And Prices. NBER Working Paper Series, (December).
  • Edwards, S. ve Cabezas, L. (2022). Exchange Rate Pass-Through, Monetary Policy, and Real Exchange Rates: Iceland and the 2008 Crisis. Open Economies Review, 33(2), 197–230. doi:10.1007/S11079-021-09627-5.
  • El bejaoui, H. J. (2013). Asymmetric effects of exchange rate variations: An empirical analysis for four advanced countries. International Economics, 135–136, 29–46. doi:10.1016/J.INTECO.2013.10.001.
  • Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50(4), 987–1007.
  • Engle, R. F., Granger, C. W. J., Engle, B. Y. R. F. ve Grangeri, C. W. J. (1987). Co-Integration and Error Correction: Representation, Estimation, and Testing, 55(2), 251–276.
  • Ghosh, A. (2013). Exchange rate pass through, macro fundamentals and regime choice in Latin America. Journal of Macroeconomics, 35(1), 163–171. doi:10.1016/J.JMACRO.2012.09.001.
  • Goldberg, P. K. (1995). Product Differentiation and Oligopoly in International Markets: The Case of the U.S. Automobile Industry. Econometrica, 63(4), 891–951.
  • Goldberg, P. K. ve Knetter, M. M. (1997). Goods Prices and Exchange Rates: What Have We Learned? Journal of Economic Literature, 35(3), 1243–1272.
  • Güney, S., Riquelme, A. ve Goodwin, B. (2023). An Analysis of the Pass-Through of Exchange Rates in Forest Product Markets. Agriculture, 13(3), 515. doi:10.3390/AGRICULTURE13030515.
  • Hodrick, R. J. ve Prescott, E. C. (1997). Postwar U.S. Business Cycles: An Empirical Investigation, 29(1), 1–16. Ihrig, J. E., Marazzi, M. ve Othenberg, A. D. R. (2006). Exchange-Rate Pass-Through in the G-7 countries. Board of Governors of the Federal Reserve System International Finance Discussion Papers, (85).
  • Ito, T. ve Sato, K. (2008). Exchange rate changes and inflation in post-crisis Asian economies: Vector autoregression analysis of the exchange rate pass-through. Journal of Money, Credit and Banking, 40(7), 1407–1438. doi:10.1111/J.1538-4616.2008.00165.X.
  • Jašová, M., Moessner, R. ve Takáts, E. (2020). Domestic and global output gaps as inflation drivers: What does the Phillips curve tell? Economic Modelling, 87, 238–253. doi:10.1016/J.ECONMOD.2019.07.025.
  • Jiang, J. ve Kim, D. (2013). Exchange rate pass-through to inflation in China. Economic Modelling, 33, 900–912. doi:10.1016/J.ECONMOD.2013.05.021.
  • Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12(2–3), 231–254. doi:10.1016/0165-1889(88)90041-3.
  • Johansen, S. ve Juselius, K. (1990). Maximum Likelihood Estimation and Inference on Cointegration — With Applications To the Demand for Money. Oxford Bulletin of Economics and Statistics, 52(2), 169–210. doi:10.1111/j.1468-0084.1990.mp52002003.x.
  • Junttila, J. ve Korhonen, M. (2012). The role of inflation regime in the exchange rate pass-through to import prices. International Review of Economics and Finance, 24, 88–96. doi:10.1016/j.iref.2012.01.005.
  • Kadiyali, V. (1997). Exchange rate pass-through for strategic pricing and advertising: An empirical analysis of the U.S. photographic film industry. Journal of International Economics, 43(3–4), 437–461. doi:10.1016/S0022-1996(97)00008-1.
  • Kara, H. ve Öğünç, F. (2011). Döviz Kuru ve İthalat Fiyatlarının Enflasyona Etkisi. Türkiye Cumhuriyet Merkez Bankası Ekonomi Notları. https://www.tcmb.gov.tr/wps/wcm/connect/66502977-a6cb-430b-927d-12737706c5ad/EN1114eng.pdf?MOD=AJPERES&CACHEID=ROOTWORKSPACE-66502977-a6cb-430b-927d-12737706c5ad-m3fw4-B adresinden erişildi.
  • Kara, H. ve Öǧünç, F. (2008). Inflation targeting and exchange rate pass-through: The Turkish experience. Emerging Markets Finance and Trade, 44(6), 52–66. doi:10.2753/REE1540-496X440604.
  • Karabacak, M. (2023). Türkiye’de Enflasyonun Dinamikleri ve Döviz Kurunun Yurtiçi Fiyatlara Geçiş Etkisi. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, 18(1). doi:10.17153/oguiibf.1255298.
  • Karaoğlu, N. ve Demirel, B. (2021). Asymmetric Exchange Rate Pass-Through into Inflation in Turkey: A NARDL Approach. Fiscaoeconomia, 5(3), 845–861. doi:10.25295/fsecon.925369.
  • Karaoğlu, N. ve 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. doi:10.25229/beta.465635.
  • Kassi, D. F., Rathnayake, D. N., Edjoukou, A. J. R., Gnangoin, Y. T., Louembe, P. A., Ding, N. ve Sun, G. (2019). Asymmetry in exchange rate pass-through to consumer prices: New perspective from sub-Saharan African countries. Economies, 7(1). doi:10.3390/economies7010005.
  • Kassi, D. F., Sun, G., Ding, N., Rathnayake, D. N. ve Assamoi, G. R. (2019). Asymmetry in exchange rate pass-through to consumer prices: Evidence from emerging and developing Asian countries. Economic Analysis and Policy, 62. doi:10.1016/j.eap.2018.09.013.
  • Kotil, E. (2020). Exchange Rate Pass-Through Investigation for Turkish Economy. Frontiers in Applied Mathematics and Statistics, 5(January), 1–6. doi:10.3389/fams.2019.00066.
  • Krugman, P. (1987). Pricing To Market When The Exchange Rate Changes. NBER WORKING PAPER SERIES, 9(6), 123–128.
  • Lee, J. ve Strazicich, M. C. (2003). Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks. The Review of Economics and Statistics, 85(4), 1082–1089.
  • Lin, P. C. ve Wu, C. S. (2012). Exchange rate pass-through in deflation: The case of Taiwan. International Review of Economics & Finance, 22(1), 101–111. doi:10.1016/J.IREF.2011.10.010.
  • Long, S. ve Zhang, R. (2022). The asymmetric effects of international oil prices, oil price uncertainty and income on urban residents’ consumption in China. Economic Analysis and Policy, 74, 789–805. doi:10.1016/j.eap.2022.04.008.
  • Łyziak, T. (2019). Do global output gaps help forecast domestic inflation? Evidence from Phillips curves for Poland. International Journal of Forecasting, 35(3), 1032–1041. doi:10.1016/J.IJFORECAST.2019.03.006.
  • Osbat, C., Sun, Y. ve Wagner, M. (2021). Sectoral exchange rate pass-through in the Euro Area, 2021(2634).
  • Ozkan, I. ve Erden, L. (2015). Time-varying nature and macroeconomic determinants of exchange rate pass-through. International Review of Economics and Finance, 38. doi:10.1016/j.iref.2015.01.007.
  • Patnaik, I., Shah, A. ve Bhattacharya, R. (2011). Monetary Policy Transmission in an Emerging Market Setting. IMF Working Papers, 11(5), 1. doi:10.5089/9781455211838.001.
  • Pesaran, M. H. ve Shin, Y. (1998). An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis. Econometrics and Economic Theory in the 20th Century, 371–413. doi:10.1017/ccol521633230.011.
  • Pesaran, M. H., Shin, Y. ve Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. doi:10.1002/jae.616.
  • Pham, T. A. T., Nguyen, T. T., Nasir, M. A. ve Duc Huynh, T. L. (2023). Exchange rate pass-through: A comparative analysis of inflation targeting & non-targeting ASEAN-5 countries. Quarterly Review of Economics and Finance, 87, 158–167. doi:10.1016/j.qref.2020.07.010.
  • Phillips, P. ve Perron, P. (1988). Testing for a Unit Root in Time Series Regression Biometrika 75(2), 335–346.
  • Sarwar, M. N., Hussain, H. ve Maqbool, M. B. (2020). Pass through effects of oil price on food and non-food prices in Pakistan: A nonlinear ARDL approach. Resources Policy, 69(September), 101876. doi:10.1016/j.resourpol.2020.101876.
  • Shin, Y., Yu, B. ve Greenwood-nimmo, M. (2014). Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework. R. C. Sickles ve W. C. Horrace (Ed.), Festschrift in Honor of Peter Schmidt içinde (ss. 281–314). New York, NY: Springer New York. doi:10.1007/978-1-4899-8008-3.
  • Shintani, M., Terada-Hagiwara, A. ve Yabu, T. (2013). Exchange rate pass-through and inflation: A nonlinear time series analysis. Journal of International Money and Finance, 32(1), 512–527. doi:10.1016/J.JIMONFIN.2012.05.024.
  • Simione, F. ve Manguinhane, E. (2021). An Empirical Assessment of the Exchange Rate Pass-through in Mozambique. IMF Working Papers, 2021(132), 1. doi:10.5089/9781513573694.001.
  • Taylor, J. B. (2000). Low inflation, pass-through, and the pricing power of firms. European Economic Review, 44, 1389–1408.
  • Tümtürk, O. (2017). Türkiye’de Döviz Kurlarının Yurtiçi Fiyatlara Geçiş Etkisi ve Enflasyon Hedeflemesi. Yönetim ve Ekonomi: Celal Bayar Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 24(3). doi:10.18657/yonveek.371996
  • Tunc, C. ve Kilinc, M. (2018). Exchange Rate Pass-Through in A Small Open Economy: A Structural VAR Approach. Bulletin of Economic Research, 70(4), 410–422. doi:10.1111/BOER.12162.
  • Yanamandra, V. (2015). Exchange rate changes and inflation in India: What is the extent of exchange rate pass-through to imports? Economic Analysis and Policy, 47, 57–68. doi:10.1016/J.EAP.2015.07.004.
  • Zakaria, M., Khiam, S. ve Mahmood, H. (2021). Influence of oil prices on inflation in South Asia: Some new evidence. Resources Policy, 71, 102014. doi:10.1016/J.RESOURPOL.2021.102014.
  • Zhu, H. ve Chen, X. (2019). Asymmetric effects of oil prices and exchange rates on China’s industrial prices. Energy Economics, 84, 104551. doi:10.1016/j.eneco.2019.104551.
  • Zivot, E. ve Andrews, D. W. K. (1992). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of Business and Economic Statistics, 10(3), 251–270. doi:10.1080/07350015.1992.10509904
There are 72 citations in total.

Details

Primary Language Turkish
Subjects Applied Macroeconometrics, Time-Series Analysis
Journal Section Makaleler
Authors

Halil Altıntaş 0000-0002-8565-4294

Early Pub Date April 28, 2024
Publication Date April 30, 2024
Submission Date October 17, 2023
Acceptance Date November 7, 2023
Published in Issue Year 2024 Issue: 67

Cite

APA Altıntaş, H. (2024). TÜRKİYE’DE DÖVİZ KURUNUN TÜKETİCİ FİYATLARI ÜZERİNE GEÇİŞ ETKİSİ: ARDL ve NARDL YAKLAŞIMINDAN KANITLAR. Erciyes Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi(67), 1-13. https://doi.org/10.18070/erciyesiibd.1377410
 Download Cover Image

Ethical Principles and Ethical Guidelines

The Journal of Erciyes University Faculty of Economics and Administrative Sciences places great emphasis on publication ethics, which serve as a foundation for the impartial and reputable advancement of scientific knowledge. In this context, the journal adopts a publishing approach aligned with the ethical standards set by the Committee on Publication Ethics (COPE) and is committed to preventing potential malpractice. The following ethical responsibilities, established based on COPE’s principles, are expected to be upheld by all stakeholders involved in the publication process (authors, readers and researchers, publishers, reviewers, and editors).

Ethical Responsibilities of Editors
Make decisions on submissions based on the quality and originality of the work, its alignment with the journal's aims and scope, and the reviewers’ evaluations, regardless of the authors' religion, language, race, ethnicity, political views, or gender.
Respond to information requests from readers, authors, and reviewers regarding the publication and evaluation processes.
Conduct all processes without compromising ethical standards and intellectual property rights.
Support freedom of thought and protect human and animal rights.
Ensure the peer review process adheres to the principle of double-blind peer review.
Take full responsibility for accepting, rejecting, or requesting changes to a manuscript and ensure that conflicts of interest among stakeholders do not influence these decisions.
Ethical Responsibilities of Authors
Submitted works must be original. When utilizing other works, proper and complete citations and/or references must be provided.
A manuscript must not be under review by another journal simultaneously.
Individuals who have not contributed to the experimental design, implementation, data analysis, or interpretation should not be listed as authors.
If requested during the review process, datasets used in the manuscript must be provided to the editorial board.
If a significant error or mistake is discovered in the manuscript, the journal’s editorial office must be notified.
For studies requiring ethical committee approval, the relevant document must be submitted to the journal. Details regarding the ethical approval (name of the ethics committee, approval document number, and date) must be included in the manuscript.
Changes to authorship (e.g., adding or removing authors, altering the order of authors) cannot be proposed after the review process has commenced.
Ethical Responsibilities of Reviewers
Accept review assignments only in areas where they have sufficient expertise.
Agree to review manuscripts in a timely and unbiased manner.
Ensure confidentiality of the reviewed manuscript and not disclose any information about it, during or after the review process, beyond what is already published.
Refrain from using information obtained during the review process for personal or third-party benefit.
Notify the journal editor if plagiarism or other ethical violations are suspected in the manuscript.
Conduct reviews objectively and avoid conflicts of interest. If a conflict exists, the reviewer should decline the review.
Use polite and constructive language during the review process and avoid personal comments.
Publication Policy
The Journal of Erciyes University Faculty of Economics and Administrative Sciences is a free, open-access, peer-reviewed academic journal that has been in publication since 1981. The journal welcomes submissions in Turkish and English within the fields of economics, business administration, public finance, political science, public administration, and international relations.

No submission or publication fees are charged by the journal.
Every submitted manuscript undergoes a double-blind peer review process and similarity/plagiarism checks via iThenticate.
Submissions must be original and not previously published, accepted for publication, or under review elsewhere.
Articles published in the journal can be cited under the Open Access Policy and Creative Commons license, provided proper attribution is given.
The journal is published three times a year, in April, August, and December. It includes original, high-quality, and scientifically supported research articles and reviews in its listed fields. Academic studies unrelated to these disciplines or their theoretical and empirical foundations are not accepted. The journal's languages are Turkish and English.

Submissions are first subject to a preliminary review for format and content. Manuscripts not meeting the journal's standards are rejected by the editorial board. Manuscripts deemed suitable proceed to the peer review stage.

Each submission is sent to at least two expert reviewers. If both reviews are favorable, the article is approved for publication. In cases where one review is positive and the other negative, the editorial board decides based on the reviews or may send the manuscript to a third reviewer.

Articles published in the journal are open access and can be cited under the Creative Commons license, provided proper attribution is made.