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

Year 2023, Volume: 73 Issue: 1, 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

References

• Alptekin, V., Yılmaz, K. Ç., & Taş, T. (2016). Döviz kurundan fiyatlara geçiş etkisi: Türkiye örneği. Selçuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 35, 1-9. google scholar
• Arora, V., & Shi, S. (2016). Energy consumption and economic growth in the United States. Applied Economics 48 (39), 3763-3773. google scholar
• Baş, G., & Kara, M. (2020). Exchange rate pass-through on the domestic prices: Evidence from the Turkish economy. İşletme ve İktisat Çalışmaları Dergisi, 8(2), 115-125. google scholar
• Berument, H. (2002). Döviz kuru hareketleri ve enflasyon dinamiği: Türkiye örneği. Bilkent University Department of Economics Working Paper No. 02-02, 2002. google scholar
• Çatık, A. N. & Güçlü, M. (2012) Measuring exchange rate pass-through under structural changes: The case of Turkey, International Journal of Statistics and Economics, 8, S12, 21-42. google scholar
• Damar, A. O. (2010). Türkiye’de döviz kurundan fiyatlara geçiş etkisinin incelenmesi. TCMB Piyasalar Genel Müdürlüğü Uzmanlık Yeterlik Tezi (ss. 1 - 80). google scholar
• Darvas, Z. (2001). Exchange rate pass-through and real exchange rate in EU candidate countries. Economic Research Centre of the Deutsche Bundesbank Discussion Paper No. 10/01, 2001. google scholar
• Devereux, M.B., & J. Yetman. (2003). Price-setting and exchange rate pass-through: Theory and evidence. Paper presented at the Price Adjustments and Monetary Policy Conference, Bank of Canada, Ottawa, Ontario, November. google scholar
• Dickey, D.A., & Fuller, W.A., (1981). Likelihood ratio statistics for autoregressive time series with a unit root author. Econometrica 49, 1057-1072. google scholar
• Doğan, B. Ş. (2013). Asymmetric behavior of the exchange rate pass-through to manufacturing prices in Turkey. Emerging Markets Finance & Trade, 49(3), 35-47. https://doi.org/10.2753/ REE1540-496X490303 google scholar
• Emek, Ö., Düşünceli, F., & Doru, Ö. (2021). Türkiye’de yurt içi üretici ve tüketici fiyatları üzerindeki döviz kuru geçişkenliğinin incelenmesi. İstanbul İktisat Dergisi, 71(1), 163-190. google scholar
• Ersel, H., & Özatay, F. (2008). Fiscal dominance and inflation targeting: Lessons from Turkey. Emerging Markets Finance & Trade, 44(6), 38-51. https://doi.org/10.2753/REE1540-496X440603 google scholar
• Feldkircher, M., & Siklos, P. L. (2019). Global inflation dynamics and inflation expectations. International Review of Economics & Finance, 64, 217-241. https://doi.org/10.1016/J. IREF.2019.06.004 google scholar
• Granger, C. W. J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37(3), 424. https://doi.org/10.2307/1912791 google scholar
• Granger, C. W. J. (1988). Some recent development in a concept of causality. Journal of Econometrics, 39(1-2), 199-211. https://doi.org/10.1016/0304-4076(88)90045-0 google scholar
• Gül, E., & Ekinci, A. (2006). The causal relationship between exchange rates and inflation in Turkey:1984-2003. Anadolu University Journal of Social Sciences, 6(1), 91-106. google scholar
• Ha, J., Marc Stocker, M., & Yilmazkuday, H. (2020). Inflation and exchange rate pass-through. Journal of International Money and Finance, 105, 102187. https://doi.org/10.1016/J. JIMONFIN.2020.102187 google scholar
• Jiang, J., & Kim, D. (2013). Exchange rate pass-through to inflation in China. Economic Modelling, 33, 900-912. https://doi.org/10.1016/J.ECONMOD.2013.05.021 google scholar
• Jimenez-Rodriguez, R., & Morales-Zumaquero, A. (2020). BRICS: How important is the exchange rate pass-through? The World Economy, 43(3), 781-793. google scholar
• Kara, H., Küçük-Tuğer, H., Özlale, Ü., Tuğer, B., & Yücel, E. M. (2007). Exchange rate regimes and passthrough: Evidence from the Turkish economy. Contemporary Economic Policy, 25(2), 206-225. google scholar
• Kara, H., & Öğünç, F. (2008). Inflation targeting and exchange rate pass- through: The Turkish experience. Emerging Markets Finance and Trade, 44(6), 52-66. https://doi.org/10.2753/ REE1540-496X440604 google scholar
• Kara, H., & Öğünç, F. (2011). Döviz kuru ve ithalat fiyatlarının enflasyona etkisi. Türkiye Cumhuriyet Merkez Bankası Ekonomi Notları (C. 14). google scholar
• Korkmaz, S., & Bayır, M. (2015). Döviz kuru dalgalanmalarının yurtiçi fiyatlara etkisi. Niğde Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 8(3), 13-29. google scholar
• Kwapil, C., & Scharler, J. (2010). Interest rate pass-through, monetary policy rules and macroeconomic stability. Journal of International Money and Finance, 29(2), 236-251. google scholar
• Leigh, D., & Rossi, M. (2002). Exchange rate pass-through in Turkey. IMF Working Papers (C. 02, Issue 204, s. 1). google scholar
• McFarlane, L. (2002). Consumer price inflation and exchange rate pass through in Jamaica. Bank of Jamaica. Erişim:21 Kasım 2022 google scholar
• Nogueira, R.P., Jr. (2006). Inflation targeting and the role of exchange rate pass-through. University of Kent Discussion Paper 0602, Kent. google scholar
• Özata, E. (2019). Türkiye’de döviz kuru geçişkenliğinin asimetrik analizi. Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi, 20(2), 213-232. https://doi.org/10.17494/ogusbd.672820 google scholar
• Philips, P.C.B., & Perron, P., (1988). Testing for a unit root in time series regression. Biometrika Trust 75, 335-346. https://doi.org/10.1093/poq/nf1045. google scholar
• Phillips, P. C. B., Shi, S., & Yu, J. (2015). Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500. International Economic Review, 56(4), 1043-1078. google scholar
• Rittenberg, L. (2007). Exchange rate policy and price level changes: Casualty tests for Turkey in the post-liberalisation period. TheJournal of Development Studies, 29(2), 245-259. google scholar
• Saiki, A. (2004). The Change in inflation persistence and exchange rate pass-through for inflation targeting countries. Ph.D. dissertation, International Business School, Brandeis University, Waltham, MA. google scholar
• Shi, S., Hurn, S., & Phillips, P. C. B. (2020). Causal change detection in possibly integrated systems: Revisiting the money-income relationship. Journal of Financial Econometrics, 18(1), 158-180. google scholar
• Shi, S., Phillips, P. C. B., & Hurn, S. (2018). Change detection and the causal impact of the Yield Curve. Journal of Time Series Analysis, 39(6), 966-987. https://doi.org/10.1111/JTSA.12427 google scholar
• Soybilgen, B., & Yazgan, E. (2017). An evaluation of inflation expectations in Turkey. Central Bank Review, 17(1), 31-38. https://doi.org/10.1016/J.CBREV.2017.01.001 google scholar
• Swanson, N. R. (1998). Money and output viewed through a rolling window. Journal of Monetary Economics, 41(3), 455-474. google scholar
• Şeker, H. (2022). Türkiye’de kur- enflasyon geçişkenliği üzerine ekonometrik bir analiz. Finans Ekonomi ve Sosyal Araştırmalar Dergisi, 7(1), 131-142. google scholar
• Thoma, M. A. (1994). Subsample instability and asymmetries in money-income causality. Journal of Econometrics, 64(1-2), 279-306. https://doi.org/10.1016/0304-4076(94)90066-3 google scholar
• Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250. https://doi.org/10.1016/0304-4076(94)01616-8 google scholar
• TÜİK (2022). Tüketici Fiyat Endeksi, Haziran 2022, https://data.tuik.gov.tr/Bulten/Index?p=tuketici-fiyat-endeksi-haziran-2022-45795&dil=1 google scholar
• Tümtürk, O. (2017). Türkiye’de döviz kurlarının yurtiçi fiyatlara geçiş etkisi ve enflasyon hedeflemesi. Yönetim ve Ekonomi Dergisi, 24(3), 837-855. https://doi.org/10.18657/yonveek.371996 google scholar
• Türk, E., & Çetinkaya, A. T. (2015). Döviz kurundan fiyatlara geçiş etkisinin Granger nedensellik testi ile incelenmesi “Türkiye Örneği”. Kırıkkale Üniversitesi Sosyal Bilimler Dergisi, 5(1), 27-38. https:// dergipark.org.tr/tr/pub/kusbd/issue/19380/205605 google scholar
• Turna, Y., Eşmen, S., & Turna, B. (2022). Türkiye’de döviz kurunun enflasyon etkisi ve fiyat yapışkanlıkları: NARDL yaklaşımı. İzmir İktisat Dergisi, 37(2), 522-535. https://doi.org/10.24988/ ije. google scholar
• Yanar, R. & Berk, E. (2023). Döviz kurundaki değişimlerin yurtiçi üretici ve tüketici fiyatlarına geçiş etkisi: Türkiye üzerine bir uygulama. Gaziantep University Journal of Social Sciences, 22 (1), 223238. DOI: 10.21547/jss.1187052 google scholar
• Yılmaz, M. & Uysal, D. (2019). Türkiye’de dolarizasyon ve enflasyon ilişkisi. İktisadi İdari ve Siyasal Araştırmalar Dergisi, 4 (10), 286-306. DOI: 10.25204/iktisad.543482 google scholar
• Yilmazkuday, H. (2022). Drivers of Turkish inflation. The Quarterly Review of Economics and Finance, 84, 315-323. google scholar
• Yüncüler, C. (2011). Pass-through of external factors into price indicators in Turkey. Central Bank Review, 11(2), 71-84. https://ideas.repec.org/a/tcb/cebare/v11y2011i2p71-84.html google scholar