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Year 2016, , 39 - 48, 30.03.2016

Huseyin Karamelikli Suna Korkmaz

https://doi.org/10.17261/Pressacademia.2016116552

Abstract

References

  • Banerjee, A., Dolado, J., & Mestre, R. (1998). Error-correction Mechanism Tests for Cointegration in a Single-equation Framework. Journal of Time Series Analysis, 19 (3), 267–283. http://doi.org/10.1111/1467-9892.00091.
  • Beirne, J. and Bijsterbosch, M. (2011), “Exchange Rate Pass-through in Central and Eastern European EU Member States”, Journal of Policy Modeling, 33 (2), 241-254.
  • Berman, N., Martin, P., & Mayer, T. (2012). How do Different Exporters React to Exchange Rate Changes? The Quarterly Journal of Economics, 127 (1), 437–492. http://doi.org/10.1093/qje/qjr057.
  • Campa, J. M., & Goldberg, L. S. (2005). Exchange Rate Pass-Through into Import Prices. Review of Economics and Statistics, 87 (4), 679–690. http://doi.org/10.1162/003465305775098189.
  • Cheikh, N. B. and Louhichi, W., (2016), “Revisiting the Role of Inflation Environment in Exchange Rate Pass-through: A Panel Threshold Approach”, Economic Modelling, 52, 233-238.
  • Choudhri, E. U. and 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.
  • Çiçek, S., & Boz, Ç. (2013). A New Test of Exchange Rate Pass-through in a Small Open Economy: Evidence from Asymmetric ARDL Bounds Approach. İktisat İşletme ve Finans, 28 (333), 43–64. http://doi.org/10.3848/iif.2013.333.3840.
  • Devereux, M. B. and Yetman, J. (2010), “Price Adjustment and Exchange Rate Pass-Through”, Journal of International Money and Finance, 29 (1), 181-200.
  • Frimpong, S. and Adam, A. M., (2010), “Exchange Rate Pass-Through in Ghana”, International Business Research, 3 (2), 186-192.
  • Goldberg, P., & Knetter, M. (1996). Goods Prices and Exchange Rates: What Have We Learned? (NBER Working Paper No. 5862). Cambridge, MA. Retrieved from http://www.nber.org/papers/w5862.pdf.
  • Gopinath, G., & Rigobon, R. (2008). Sticky Borders. Quarterly Journal of Economics, 123 (2), 531–575. http://doi.org/10.1162/qjec.2008.123.2.531.
  • Hooper, P. and Mann, C. L. (1989), “Exchange Rate Pass-through in the 1980s: The Case of U.S. Imports of Manufactures”, Brookings Papers on Economic Activity, No. 1, 297-337.
  • Junior, R.P.N. (2007),” Inflation Targeting and Exchange Rate Pass-Through”, Econ. Aplic, 11 (2), 189-208.
  • Kataranova, M. (2010), “The Relationship Between the Exchange Rate and Inflation in Russia”, Problems of Economic Transition, 53 (3), 4568.
  • Mohammed, K. S., Bendob, A., Djediden, L.and Mebsout, H., (2015), “Exchange Rate Pass - Through in Algeria”, Mediterranean Journal of Social Sciences, 6 (2), 195-201.
  • Mwase, N. (2006), “Empirical Investigation of the Exchange Rate Pass-Through to Inflation in Tanzania”, IMF Working Paper, WP/06/150.
  • Peón, S.B.G. and Brindis, M.A.R., (2014), "Analyzing the Exchange Rate Pass-through in Mexico: Evidence Post Inflation Targeting Implementation”, Ensayos sobre Política Económica, 32 (74), 18-35.
  • Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16 (3), 289–326. http://doi.org/10.1002/jae.616.
  • Phillips, P. C. B., & Perron, P. (1988). Testing for a Unit Root in Time Series Regression. Biometrika, 75 (2), 335–346. http://doi.org/10.1093/biomet/75.2.335.
  • Prasertnukul, W., Kim, D. And Kakinaka, M. (2010), “Exchange Rates, Price Levels, and Inflation Targeting: Evidence from Asian Countries”, Japan and World Economy, 22 (3), 173-182.
  • Saha, S. and Zhang, Z. (2013), “Do Exchange Rates Affect Consumer Prices? A Comparative Analysis for Australia, China and India”, Mathematics and Computers in Simulation, 93, 128-138.
  • Schorderet, Y. (2002). A Nonlinear Generalization of Cointegration: A Note on Hidden Cointegration (No. 2002.03). Genève. Retrieved from http://www.unige.ch/ses/metri/
  • Schorderet, Y. (2003). Asymmetric Cointegration (No. 2003.01). Cahiers du département d’économétrie, Faculté des sciences économiques et sociales, Université de Genève.
  • Shin, Y., Yu, B., & Greenwood-nimmo, M. (2014). Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework. In R. C. Sickles & W. C. Horrace (Eds.), Festschrift in Honor of Peter Schmidt Econometric Methods and Applications (pp. 281– 314). http://doi.org/10.1007/978-1-4899-8008-3.
  • Shintani, M., Terada-Hagiwara, A. and Yabu, T. (2013), “Exchange Rate Pass-through and Inflation: A Nonlinear Time Series Analysis”, Journal of International Money and Finance, 32 , 512-527.
  • Wang, K-L and Wu, C-S., (1996), “Exchange Rate Pass-through and Industry Characteristics: The Case of Taiwan’s Exports of Midstream Petrochemical Products”, NBER Working Paper, No. 5749, 1-28.
  • Yang, J. (1997), “Exchange Rate Pass-Through in U.S. Manufacturing Industries”, The Review of Economics and Statistics, 79 (1), 95-104.

THE DYNAMICS OF EXCHANGE RATE PASS-THROUGH TO DOMESTIC PRICES IN TURKEY

Year 2016, , 39 - 48, 30.03.2016

Huseyin Karamelikli Suna Korkmaz

https://doi.org/10.17261/Pressacademia.2016116552

Abstract

In an environment where countries have trade relations
with each other, prices of domestic goods should vary due to trade. Developing
countries in particular import raw materials and semi-manufactured goods from
other countries in order to carry out the production process. Final goods are
imported for household consumption as well. Exchange rate changes naturally
affect domestic prices as well. The effect of exchange rate pass-through on
inflation for Turkey was investigated with the NARDL method using the data
between January 2003 and November 2015. According to the results of the
analysis, an increase in the exchange rate increases the consumer price index.
While a decrease in the exchange rate does not have the same reaction, any
decrease in the exchange rate would cause prices to increase in the short-run.
In addition, domestic product has an asymmetrical and negative relationship
with price index in short and long-term according to our analysis. We found
that in the short-run both the exchange rate and domestic product are
asymmetrically related with the price index where only domestic product
asymmetrically affects the consumer price index.

Keywords

Exchange rate pass-through NARDL domestic prices

References

  • Banerjee, A., Dolado, J., & Mestre, R. (1998). Error-correction Mechanism Tests for Cointegration in a Single-equation Framework. Journal of Time Series Analysis, 19 (3), 267–283. http://doi.org/10.1111/1467-9892.00091.
  • Beirne, J. and Bijsterbosch, M. (2011), “Exchange Rate Pass-through in Central and Eastern European EU Member States”, Journal of Policy Modeling, 33 (2), 241-254.
  • Berman, N., Martin, P., & Mayer, T. (2012). How do Different Exporters React to Exchange Rate Changes? The Quarterly Journal of Economics, 127 (1), 437–492. http://doi.org/10.1093/qje/qjr057.
  • Campa, J. M., & Goldberg, L. S. (2005). Exchange Rate Pass-Through into Import Prices. Review of Economics and Statistics, 87 (4), 679–690. http://doi.org/10.1162/003465305775098189.
  • Cheikh, N. B. and Louhichi, W., (2016), “Revisiting the Role of Inflation Environment in Exchange Rate Pass-through: A Panel Threshold Approach”, Economic Modelling, 52, 233-238.
  • Choudhri, E. U. and 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.
  • Çiçek, S., & Boz, Ç. (2013). A New Test of Exchange Rate Pass-through in a Small Open Economy: Evidence from Asymmetric ARDL Bounds Approach. İktisat İşletme ve Finans, 28 (333), 43–64. http://doi.org/10.3848/iif.2013.333.3840.
  • Devereux, M. B. and Yetman, J. (2010), “Price Adjustment and Exchange Rate Pass-Through”, Journal of International Money and Finance, 29 (1), 181-200.
  • Frimpong, S. and Adam, A. M., (2010), “Exchange Rate Pass-Through in Ghana”, International Business Research, 3 (2), 186-192.
  • Goldberg, P., & Knetter, M. (1996). Goods Prices and Exchange Rates: What Have We Learned? (NBER Working Paper No. 5862). Cambridge, MA. Retrieved from http://www.nber.org/papers/w5862.pdf.
  • Gopinath, G., & Rigobon, R. (2008). Sticky Borders. Quarterly Journal of Economics, 123 (2), 531–575. http://doi.org/10.1162/qjec.2008.123.2.531.
  • Hooper, P. and Mann, C. L. (1989), “Exchange Rate Pass-through in the 1980s: The Case of U.S. Imports of Manufactures”, Brookings Papers on Economic Activity, No. 1, 297-337.
  • Junior, R.P.N. (2007),” Inflation Targeting and Exchange Rate Pass-Through”, Econ. Aplic, 11 (2), 189-208.
  • Kataranova, M. (2010), “The Relationship Between the Exchange Rate and Inflation in Russia”, Problems of Economic Transition, 53 (3), 4568.
  • Mohammed, K. S., Bendob, A., Djediden, L.and Mebsout, H., (2015), “Exchange Rate Pass - Through in Algeria”, Mediterranean Journal of Social Sciences, 6 (2), 195-201.
  • Mwase, N. (2006), “Empirical Investigation of the Exchange Rate Pass-Through to Inflation in Tanzania”, IMF Working Paper, WP/06/150.
  • Peón, S.B.G. and Brindis, M.A.R., (2014), "Analyzing the Exchange Rate Pass-through in Mexico: Evidence Post Inflation Targeting Implementation”, Ensayos sobre Política Económica, 32 (74), 18-35.
  • Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16 (3), 289–326. http://doi.org/10.1002/jae.616.
  • Phillips, P. C. B., & Perron, P. (1988). Testing for a Unit Root in Time Series Regression. Biometrika, 75 (2), 335–346. http://doi.org/10.1093/biomet/75.2.335.
  • Prasertnukul, W., Kim, D. And Kakinaka, M. (2010), “Exchange Rates, Price Levels, and Inflation Targeting: Evidence from Asian Countries”, Japan and World Economy, 22 (3), 173-182.
  • Saha, S. and Zhang, Z. (2013), “Do Exchange Rates Affect Consumer Prices? A Comparative Analysis for Australia, China and India”, Mathematics and Computers in Simulation, 93, 128-138.
  • Schorderet, Y. (2002). A Nonlinear Generalization of Cointegration: A Note on Hidden Cointegration (No. 2002.03). Genève. Retrieved from http://www.unige.ch/ses/metri/
  • Schorderet, Y. (2003). Asymmetric Cointegration (No. 2003.01). Cahiers du département d’économétrie, Faculté des sciences économiques et sociales, Université de Genève.
  • Shin, Y., Yu, B., & Greenwood-nimmo, M. (2014). Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework. In R. C. Sickles & W. C. Horrace (Eds.), Festschrift in Honor of Peter Schmidt Econometric Methods and Applications (pp. 281– 314). http://doi.org/10.1007/978-1-4899-8008-3.
  • Shintani, M., Terada-Hagiwara, A. and Yabu, T. (2013), “Exchange Rate Pass-through and Inflation: A Nonlinear Time Series Analysis”, Journal of International Money and Finance, 32 , 512-527.
  • Wang, K-L and Wu, C-S., (1996), “Exchange Rate Pass-through and Industry Characteristics: The Case of Taiwan’s Exports of Midstream Petrochemical Products”, NBER Working Paper, No. 5749, 1-28.
  • Yang, J. (1997), “Exchange Rate Pass-Through in U.S. Manufacturing Industries”, The Review of Economics and Statistics, 79 (1), 95-104.
There are 27 citations in total.

Details

Journal Section Articles
Authors

Huseyin Karamelikli This is me

Suna Korkmaz

Publication Date March 30, 2016
Published in Issue Year 2016

Cite

APA Karamelikli, H., & Korkmaz, S. (2016). THE DYNAMICS OF EXCHANGE RATE PASS-THROUGH TO DOMESTIC PRICES IN TURKEY. Journal of Business Economics and Finance, 5(1), 39-48. https://doi.org/10.17261/Pressacademia.2016116552

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