TÜRKİYE’DE DÖVİZ KURUNUN ENFLASYONA ETKİSİ

Year 2019, Volume: 8 Issue: 1, 17 - 33, 14.03.2019

Kemal Yıldırım Selim Yıldırım Sultan Fatih Kostakoğlu Mehmet Dinç Ömer Akkuş

Abstract

Bu çalışmada Türkiye’nin
2005-2017 dönemine ait aylık verileri kullanılarak döviz kuru değişimlerinin
enflasyon üzerindeki etkisi incelenmektedir. VAR modelinden hareketle seriler
arasındaki eşbütünleşme ilişkileri belirlendikten sonra değişkenler arasındaki
uzun dönemli ilişki VECM ile ortaya çıkarılmaktadır. Çalışmanın bulguları döviz
kurundaki değişimlerin enflasyonu iki farklı kanalla etkilediğini
göstermektedir. İlk olarak döviz kurundaki değişmeler üretici fiyatları
üzerinden enflasyonu etkileyebilmektedir. İkinci olarak ise döviz kurundaki
değişimler ithalat değer endeksi aracılığıyla enflasyona etkide bulunmaktadır.
Varyans ayrıştırmada dışsaldan içsele yapılan sıralamaya ilişkin tepki
fonksiyonlarına göre döviz kuru artışı ithalat değer endeksi üzerinde negatif
ve uzun süreli etkide bulunmaktadır. İthalat değer endeksindeki bir şok ise
sanayi üretimini pozitif yönde etkilemektedir. Diğer taraftan sanayi üretim
endeksindeki bir şoka karşı tüketici fiyatlarında anlamlı bir değişimin
olmadığı belirlenmiştir. Döviz kuru ve ithalat değer endeksindeki şokların
tüketici fiyatları üzerinde uzun dönemli ve pozitif etkisi bulunmaktadır. Sonuç
olarak döviz kuru artışının Türkiye ekonomisinde enflasyonist bir etkide
bulunduğu belirlenmiştir

Keywords

Döviz kuru, Enflasyon, VAR

THE IMPACT OF EXCHANGE RATE ON INFLATION IN TURKEY

Abstract

In
this study, the impact of exchange rate changes on inflation is examined by
using monthly data for the period 2005-2017 in Turkey. Starting from the VAR
model, long-run relationship between the variables is determined by the VECM
after the cointegration relations between the series are determined. The
findings of the study indicate that the exchange rate changes affect inflation
through two different channels. Firstly, exchange rate changes affect inflation
through producer prices. Secondly, changes in exchange rates influence
inflation through the import value index. According to the response functions
of the ordering from internal to external structures in the variance
decomposition, an increase in the exchange rate has a negative and long term
effect on the import value index. A shock in the import value index positively
affects industrial production. Otherwise, 
It has been determined that there is no meaningful change in consumer
prices against a shock in the industrial production index. Shocks in the
exchange rate and import value index have a positive and long-term impact on
consumer prices. As a result, it has been determined that an increase in the
exchange rate has an inflationist effect in Turkey.

Keywords

Exchange rate, Inflation, VAR

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