Does Exchange Rate Pass-Through Change Over Time in Türkiye?

Year 2023, , 359 - 383, 26.06.2023

Mustafa Çakır , Ahmet Ekrem Kaya

https://doi.org/10.26650/ISTJECON2022-1210198

Abstract

This paper investigates whether the effects of exchange rate pass-through on general and disaggregated consumer prices change over time in Türkiye. Using the time-varying Granger causality (TVGC) test, the study examines the causality relationship between the US dollar and the consumer price index (CPI) over the 1986M01-2022M06 period and then the causality relationship between a US dollar and Euro currency basket and 12 main expenditure groups over the 2003M01- 2022M06 period. According to the findings, the effects of exchange rate pass-through (ERPT) on the CPI and major groups of consumer expenditures decreased based on the floating exchange rate and explicit inflation-targeting regime in Türkiye. The findings obtained from the TVGC test showed This paper investigates whether the effects of exchange rate pass-through on general and disaggregated consumer prices change over time in Türkiye. Using the time-varying Granger causality (TVGC) test, the study examines the causality relationship between the US dollar and the consumer price index (CPI) over the 1986M01-2022M06 period and then the causality relationship between a US dollar and Euro currency basket and 12 main expenditure groups over the 2003M01- 2022M06 period. According to the findings, the effects of exchange rate pass-through (ERPT) on the CPI and major groups of consumer expenditures decreased based on the floating exchange rate and explicit inflation-targeting regime in Türkiye. The findings obtained from the TVGC test showed.

Keywords

Exchange rate pass-through, Consumer prices, Time-varying Granger causality

Türkiye’de Döviz Kuru Geçişkenliği Zamanla Değişiyor mu?

Abstract

Bu çalışma, Türkiye’de döviz kuru geçişkenliğinin genel ve ana harcama tüketici fiyatları üzerindeki etkilerinin zaman içinde değişip değişmediğini incelemektedir. Çalışma, zamanla-değişen Granger nedensellik (TVGC) testini kullanarak, 1986M01- 2022M06 döneminde ABD doları ile Tüketici Fiyat Endeksi (TÜFE) arasındaki nedensellik ilişkisini ve ardından 2003M01-2022M06 döneminde sepet kur (ABD doları ve Avro) ile 12 ana harcama grubu arasındaki nedensellik ilişkisini incelemektedir. Bulgulara göre, Türkiye’de uygulanan dalgalı döviz kuru ve açık enflasyon hedeflemesi rejimine bağlı olarak döviz kuru geçişkenliğinin (ERPT) TÜFE ve ana harcama grupları üzerindeki etkileri azalmıştır. TVGC testi ile elde edilen bulgular, ABD doları ile TÜFE arasında çift yönlü Granger nedensellik ve sepet kurdan ana harcama gruplarına doğru tek yönlü Granger nedensellik olduğunu göstermiştir. Ayrıca elde edilen bulgular, TÜFE’ye ilişkin ERPT’nin ulusal ve uluslararası krizlerde daha belirgin hale geldiğini ve TÜFE beklentilerindeki bozulma nedeniyle yüksek ve kalıcı seyrettiğini göstermektedir.

Keywords

Kur geçişkenliği, Tüketici fiyatları, Zamanla değişen Granger nedensellik testi

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