Türkiye’de Döviz Kuru Geçiş Etkisinin Asimetrik Nedensellik Testleri ile Analizi

Year 2015, Volume: 10 Issue: 2, 7 - 30, 01.08.2015

Tayfur Bayat Burcu Özcan Şebnem Taş

Abstract

Bu döneminde, Türkiye ekonomisinde döviz kuru geçiş etkisini ortaya koymak amacıyla yapısal kırılma odaklanılmıştır. Bu kapsamda Dickey-Fuller 1979 , Phillips-Perron 1988 geleneksel birim kök testi, Zivot-Andrews 1992 tek-içsel yapısal kırılmalı birim kök testleri son olarak vektör otoregresyon doğrusal Granger tipi ve Breitung ve Candelon 2006 tarafından geliştirilen nedensellik testleri uygulanmıştır. Bulgular, Aralık 2007 yılında yapısal kırılma olduğunu göstermiştir. Ampirik analiz sonuçlarına göre enflasyon hedeflemesi stratejisi ile birlikte dalgalı kur politikasının uygulanması kazandırmıştır. ekonomisinde döviz kuru geçiş etkisinin olmadığı sonucuna ulaşılmıştır

Keywords

Döviz Kuru Geçiş etkisi, Birim Kök Testleri, Frekans Alanında Nedensellik, Asimetrik Nedensellik

Analysis of Exchange Rate Pass Through with Asymmetric Causality Tests in Turkey

Abstract

In this study, we focused on the relationship between structural breaks and causality in order to reveal the exchange rate pass-through effect over the period January 2003 to December 2013 in Turkey. The traditional univariate unit root tests such as Dickey-Fuller 1979 test, PhillipsPerron 1988 test, and Zivot-Andrews 1992 test with one endonegous break were employed. Finally, the linear Granger causality test derived from the vector autoregressive model and the causality test developed by Breitung and Candelon 2006 were used. The results indicated that there is a structural break corresponds to the December 2007. According to the results of empirical analysis, the implementation of floating exchange rate policy along with the inflation targeting strategy has led the stability of exchange rates. Therefore, it was concluded that there is no pass-through effect in the economy of Turkey

Keywords

Exchange Rate Pass-Through Effect, Unit Root Tests, Causality in the Frequency Domain, Asymmetric Causality

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