Pozitif Reel Döviz Kuru Şokunun Türkiye’deki Enflasyon Beklentilerine Geçişkenliği

Öz

Bu çalışma, ulusal paranın reel olarak değer kazanması (pozitif reel kur şoku) sonucu Türkiye’de enflasyon beklentilerinin nasıl değiştiğini 2015:M1-2024:M12 dönemi dahilinde analiz etmektedir. Beş değişkenli Yapısal VAR modelinin kullanıldığı çalışma, literatürdeki döviz kuru geçiş etkileri tartışmasına enflasyon beklentileri kanalına odaklanarak dahil olmaktadır. Değişkenler arasındaki karşılıklı dinamik ilişkilerin ortogonal etki-tepki fonksiyonları aracılığıyla ortaya çıkarıldığı çalışmada, ulusal paranın değerinde bir artışa neden olan pozitif reel döviz kuru şoklarının sektörel enflasyon beklentilerini düşürdüğü sonucuna ulaşılmıştır. Ayrıca, parasal aktarım mekanizmasının talep kanalının göreli zayıflığı nedeniyle, TCMB’nin sıkı para politikası yoluyla enflasyon beklentilerini düşürmesi döviz kurlarında bir değişim yaratmadan mümkün görünmemektedir. Hanehalkı ve reel sektör firmalarına ait enflasyon beklentilerinin uzun dönem reel döviz kuru elastikiyet katsayılarının piyasa katılımcılarına göre farklılık göstermesi ise hanehalkları ve reel sektör firmalarının ekonomiyi piyasa katılımcılarına göre eksik analiz etmelerinden kaynaklanmaktadır.

Anahtar Kelimeler

• Reel Döviz Kuru
• Yapısal VAR
• Enflasyon Beklentileri

The Pass-Through of a Positive Real Exchange Rate Shock on Inflation Expectations in Türkiye

Abstract

This study analyzes how inflation expectations in Türkiye change following of a real appreciation of the national currency (a positive real exchange rate shock), covering the period from 2015:M1 to 2024:M12. Using a five-variable Structural VAR model, the study contributes to the ongoing debate in the literature regarding exchange rate pass-through effects, focusing on the inflation expectations channel. This study revealed the mutual dynamic relationships among variables through orthogonal impulse-response functions and reached the conclusion that a positive real exchange rate shocks reduces sectoral inflation expectations. Furthermore, due to the relative weakness of the demand channel in the monetary transmission mechanism, it appears that CBRT’s ability to lower inflation expectations through a contractionary monetary policy does not seem possible without a change in exchange rates. Finally, the finding that the long-run elasticity coefficients of exchange rates on inflation expectations differ for households and the real sector firms compared to market participants is attributed to incomplete information of households and real sector firms relative to market participants.

Keywords

• Real Exchange Rate
• Structural VAR
• Inflation Expectations

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