Exchange Rate Pass-Through into Import Prices: Evidence from Türkiye during 2010-2020 Period

Year 2024, Volume: 21 Issue: 5, 329 - 340

Volkan Sezgin

https://doi.org/10.26466/opusjsr.1486453

Abstract

This article analyses pass through of exchange rates into the import prices for an emerging economy, Türkiye, which faced severe fluctuations in the nominal exchange rate in the recent years, and experienced significant increases in domestic prices. The Turkish economy continues to struggle due to high inflationary pressures and a steep Turkish Lira (TL) devaluation particularly after 2017. This study aimed at examining the relationship between exchange rate and import prices using quarterly data for the period of 2010q1-2019q1, while the empirical methodology is framed in the multivariate cointegration analysis, along with the application of the Johansen cointegration test and the development of an autoregressive error correction vector for the determination of the pass-through in the long term. Our findings show that 85.6% of the fluctuations of the nominal exchange rate are transmitted to the import prices in the mentioned period, slower than the findings of the study by Akgunduz and his colleagues as the difference of import prices from its long-run relationship implied by the real exchange rate is likely dominated by energy prices in a strong manner. Second significant finding derives from the parameter that measures the speed of the pass-through, whose estimate has been found as -0.0125, inferring that the adjustment in short-term imbalances between import prices and the nominal exchange rate through changes in import prices is rather slow.

Keywords

Exchange rate pass through, import prices, Türkiye.

İthalat Fiyatlarında Döviz Kuru Geçişkenliği: Son On Yılda Türkiye Örneği

Abstract

Bu çalışma, nominal döviz kurunda önemli dalgalanmalar ve yurt içi fiyatlarda artış yaşamakta olan gelişmekte olan ekonomilerden biri olan Türkiye'deki döviz kuru geçişkenliğinin ithalat fiyatları üzerindeki etkisini incelemektedir. Türkiye ekonomisi özellikle 2017'den bu yana yüksek enflasyon ve Türk Lirası'ndaki değer kaybı nedeniyle baskı altında kalmayı sürdürmektedir. Araştırma, 2010 ilk çeyreğinden 2019 yılı ilk çeyreğine kadar üç aylık verileri kullanarak döviz kurları ile ithalat fiyatları arasındaki ilişkiye odaklanmaktadır. Çalışma, uzun vadeli geçiş etkisini analiz etmek için çok değişkenli eşbütünleşme analizi, Johansen eşbütünleşme testi ve otoregresif hata düzeltme vektörünü kullanmaktadır. Sonuçlar, belirtilen dönemde nominal döviz kuru dalgalanmalarının %85,6'sının ithalat fiyatlarını etkilediğini, enerji fiyatlarının ithalat fiyatları üzerindeki etkisi sebebiyle Akgunduz ve arkadaşlarının 2020 yılında yaptıkları çalışma ile kıyaslandığında daha yavaş bir geçişkenliğin var olduğunu göstermektedir. Çalışmanın bir diğer önemli bulgusu ise geçiş hızına ilişkin tahmin edilen parametrenin -0,0125 olması, bunun da ithalat fiyatları ile nominal döviz kuru arasındaki kısa vadeli dengesizliklerin kademeli olarak düzeltildiğini göstermesidir.

Keywords

Döviz kuru geçişkenliği, ithalat fiyatları, Türkiye.

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