PASS-THROUGH EFFECT OF EXCHANGE RATE TO DOMESTIC PRICES; AN APPLICATION ON THE FRAGILE FIVE

Abstract

Exchange rate movements are of great importance for the economies of underdeveloped and developing countries. This is because exchange rate fluctuations in these economies affect the domestic price level and cause inflation problems. This situation, known as the exchange rate pass-through effect, has been the subject of numerous studies in the economic literature. This study examines the exchange rate pass-through in the former Fragile Five countries of Brazil, Indonesia, South Africa, India, South Africa, India and Turkey by using quarterly data for the period 2007:Q4-2021:Q4.The nominal effective exchange rate and consumer inflation variables are used in the analysis. First, the stationarity of the variables is checked by applying the Extended Dickey-Fuller (ADF) and Phillips Perron (PP) unit root tests. Then, the Rolling Window test developed by Balcılar et al. (2010) was applied. As a result of the study, the causality relationship between nominal exchange rate and inflation is found to be significant for 5 quarters in Brazil, 8 quarters in Indonesia, 20 quarters in South Africa, 10 quarters in India and 4 quarters in Turkey.

Keywords

• Pass Through
• Exchange Rate
• Inflation
• Fragile Five
• Rolling Windows

DÖVİZ KURUNUN YURTİÇİ FİYATLARA GEÇİŞ ETKİSİ; KIRILGAN BEŞLİ ÜZERİNDE BİR UYGULAMA

Abstract

Döviz kuru hareketleri az gelişmiş ve gelişmekte olan ülke ekonomileri için büyük öneme sahiptir. Bunun nedeni bu ülke ekonomilerinde döviz kurlarındaki dalgalanmaların yurtiçi fiyat düzeyini etkileyerek enflasyon sorununu ortaya çıkarmasıdır. Döviz kuru geçiş etkisi olarak bilinen bu durum ekonomi literatüründe çok sayıda araştırmaya konu olmuştur. Bu çalışmada ise 2007:Q4-2021:Q4 dönemi için çeyreklik veriler kullanılarak eski Kırılgan Beşli ülkeleri olan Brezilya, Endonezya, Güney Afrika, Hindistan ve Türkiye’nin döviz kuru geçişkenliği incelenmiştir. Analizde nominal efektif döviz kuru ve tüketici enflasyonu değişkenleri kullanılmıştır. Öncelikle Genişletilmiş Dickey-Fuller (ADF) ve Phillips Perron (PP) birim kök testleri uygulanarak değişkenlerin durağanlıkları kontrol edilmiştir. Daha sonra Balcılar vd. (2010) tarafından geliştirilen Kayan Pencereler testi (Rolling Window test) uygulanmıştır. Çalışma sonucunda nominal kur ve enflasyon arasındaki nedensellik ilişkisi; Brezilya’da 5, Endonezya’da 8, Güney Afrika’da 20, Hindistan’da 10 ve Türkiye’de 4 çeyreklik dönem için anlamlı bulunmuştur.

Keywords

• Geçiş Etkisi
• Döviz Kuru
• Enflasyon
• Kırılgan Beşli
• Kayan Pencereler

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