Türkiye’de Enflasyonun Dinamikleri ve Döviz Kurunun Yurtiçi Fiyatlara Geçiş Etkisi

Öz

1980’li yıllardan beri popüler bir araştırma konusu olan döviz kuru geçiş etkisi hem enflasyonu öngörmek açısından önemli bir enformasyon kaynağı olmakta hem de çeşitli kanallardan enflasyonu tetiklemekte, hatta beslemektedir. Dolayısıyla, politika yapıcılar için önemli bir sinyal görevi görmektedir. Bu bağlamda Türkiye için yapılan çalışmalarda, 2001 krizinin ardından değişen kur rejimi ve para politikası stratejisinin etkisiyle geçiş etkisinin azaldığı görülse de 2016’dan itibaren kurdaki ve enflasyondaki hızlı artış döviz kuru geçiş etkisini yeniden gündeme getirmiştir. Bu nedenle bu çalışmada 2003Q1-2022Q3 döneminde, Türkiye’de döviz kuru geçiş etkisinin tahmin edilmesi amaçlanmıştır. Bulgular Enflasyon Hedeflemesine geçiş ile birlikte geçiş etkisinin de azaldığı yönündedir.

Anahtar Kelimeler

• Döviz kuru geçiş etkisi
• Enflasyon
• ARDL Modeli

Dynamics of Inflation and Exchange Rate Pass-Through to Domestic Prices in Turkey

Öz

The exchange rate pass-through (ERPT), a popular topic since the 1980s, is an important source of information for forecasting inflation and can trigger or even fuel inflation through various channels. Therefore, it is an important signal for policymakers. In this context, although studies for Turkey show that ERPT declined after the 2001 crisis due to the change in the exchange rate regime and monetary policy strategy, the rapid increase in exchange rates and inflation since 2016 has put the ERPT back on the agenda. Therefore, this study aims to estimate ERPT in Turkey for the period 2003Q1-2022Q3. The results suggest that ERPT has decreased with the transition to inflation targeting.

Anahtar Kelimeler

• Exchange Rate Pass-through
• Inflation
• ARDL Model

Kaynakça

1. Akdemir, S.; Özçelik, M. (2018), “Döviz Kurlarının Yurtiçi Fiyatlara Geçiş Etkisi: Türkiye Ekonomisi 2003-2017 Dönemi Uygulaması”, Ekonomik ve Sosyal Araştırmalar Dergisi, Vol.14, No.1:35-50.
2. Altınay, G. (1996), “Exchange Rates and Domestic Prices: A Test of Causality”, Dokuz Eylül Üniversitesi İİBF Dergisi, Vol.11:175-190.
3. Bal, H.; Yeti̇z. F. (2016), “Döviz Kurunun Yansıma Etkisi ve Yansıma Etkisinin Ölçülmesi: Türkiye Üzerine Bir Değerlendirme”, Çukurova Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Vol. 20, No.1: 11-26.
4. Beirne, J.; Bijsterbosch, M. (2011), “Exchange Rate Pass-through in Central and Eastern European EU Member States”, Journal of Policy Modeling, Vol.33, No.2: 241-54. doi: 10.1016/j.jpolmod.2010.11.001.
5. Beladi, H.; Chakrabarti, A.; Marjit, S. (2010), “Exchange Rate Pass-through: A Generalization”. Journal of Mathematical Economics, Vol. 46, No.4: 493-504. doi: 10.1016/j.jmateco.2010.03.003.
6. Bhattacharya, P. S.; Karayalcin, C.A; Thomakos, D.D. (2008), “Exchange Rate Pass-through and Relative Prices: An Industry-Level Empirical Investigation”, Journal of International Money and Finance, Vol. 27, No.7: 1135-60. doi: 10.1016/j.jimonfin.2008.05.004.
7. Bilgili, F.; Ünlü, F.; Gençoğlu, P; Kuşkaya, S. (2021), “Modeling the Exchange Rate Pass-Through in Turkey with Uncertainty and Geopolitical Risk: A Markov Regime-Switching Approach”, Applied Economic Analysis, Vol. 30, No.88: 52-70. doi: 10.1108/AEA-08-2020-0105.
8. Billmeier, A.; Bonato, L. (2004), “Exchange Rate Pass-through and Monetary Policy in Croatia”, Journal of Comparative Economics, Vol. 32, No.3: 426-44. doi: 10.1016/j.jce.2004.03.004.

9. Bouakez, H.; Rebei, N. (2008), “Has Exchange Rate Pass-through Really Declined? Evidence from Canada”, Journal of International Economics, Vol.75, No.2: 249-67. doi: 10.1016/j.jinteco.2007.12.004.
10. Bowe, M.; Saltvedt, T.M. (2004), “Currency Invoicing Practices, Exchange Rate Volatility and Pricing-to-Market: Evidence from Product Level Data”, International Business Review, Vol.13, No.3: 281-308, doi: 10.1016/j.ibusrev.2004.01.003.
11. Bozoklu, Ş.; Yılancı, V.; Görüş, M.Ş. (2020), “Persistence in per Capita Energy Consumption: A Fractional Integration Approach with a Fourier Function”, Energy Economics, Vol. 91:2-12, doi: 10.1016/j.eneco.2020.104926.
12. Ca’ Zorzi, M.; Hahn, E.; Sanchez, M. (2007), “Exchange Rate Pass-Through in Emerging Markets”. SSRN Electronic Journal. doi: 10.2139/ssrn.970654.
13. Cuitiño, M. F.; Medina, J.P.; Zacheo, L. (2022), “Conditional Exchange Rate Pass-through and Monetary Policy Credibility: Insights from Uruguay and Chile”, Economic Modelling, Vol .114, No. 105926, doi: 10.1016/j.econmod.2022.105926.
14. Çatık, A. N.; Karaçuka, M.; Gök, B. (2016), “A Time-Varying Parameter VAR Investigation of the Exchange Rate Pass-Through in Turkey”, Panoeconomicus, Vol. 63, No.5: 563-79. doi: 10.2298/PAN140307005C.
15. Dedeoglua, D.; Kayab, H. (2014), “The Evolution of Exchange Rate Pass-Through in Turkey: Does Inflation Targeting Matter?”, Afro Eurasian Studies, Vol. 3, No.1: 26-33.
16. Donayre, L.; Panovska, I. (2016), “State-Dependent Exchange Rate Pass-through Behavior”, Journal of International Money and Finance, Vol. 64: 170-95. doi: 10.1016/j.jimonfin.2016.02.018.
17. Enders, W.; Lee, J.; (2012), “The Flexible Fourier Form and Dickey–Fuller Type Unit Root Tests”, Economics Letters, Vol.117, No.1: 196-99.
18. Gagnon, J. E.; Ihrig, J. (2004), “Monetary policy and exchange rate pass-through”. International Journal of Finance & Economics, Vol. 9 No. 4: 315-38. doi: 10.1002/ijfe.253.
19. Gayaker, S.; Ağaslan, E.; Alkan, B.; Çiçek, S. (2021), “The Deterioration in Credibility, Destabilization of Exchange Rate and the Rise in Exchange Rate Pass-through in Turkey”, International Review of Economics & Finance, Vol. 76: 571-87. doi: 10.1016/j.iref.2021.07.004.
20. Ha, J.; Stocker, M.M.; Yilmazkuday, H. (2020), “Inflation and Exchange Rate Pass-Through”. Journal of International Money and Finance, Vol. 105:102187. doi: 10.1016/j.jimonfin.2020.102187.
21. Ho, C.; McCauley, R.N. (2003), “Living with Flexible Exchange Rates: Issues and Recent Experience in Inflation Targeting Emerging Market Economies”, SSRN Electronic Journal. doi: 10.2139/ssrn.845487.
22. Hyder, Z.; Shah, S. (2004), “Exchange Rate Pass-Through to Domestic Prices in Pakistan”, SBP Working Paper Series, State Bank of Pakistan, Research Department.
23. Jiménez-Rodríguez, R.; Morales-Zumaquero, A. (2016), “A New Look at Exchange Rate Pass-through in the G-7 Countries”, Journal of Policy Modeling, Vol.38, No.5: 985-1000. doi: 10.1016/j.jpolmod.2016.06.007.
24. Kara, H.; Küçük Tuğer, H.; Özlale, Ü.; Tuğer, B.; Yavuz, D.; Yucel, E.M. (2005), “Exchange Rate Pass-Through in Turkey: Has It Changed and to What Extent?” Working Papers.
25. Kara, H.; Küçük Tuğer, H.; Özlale, Ü.; Tuğer, B.; Yücel, E.M. (2007), “Exchange Rate Regimes and Pass-Through: Evidence from the Turkish Economy”, Contemporary Economic Policy, Vol. 25, No. 2: 206-25. doi: 10.1111/j.1465-7287.2007.00037.x.
26. Kara, H.; Öğünç, F. (2005), “Exchange Rate Pass-Through in Turkey: It Is Slow, but Is It Really Low?”, Working Papers 0510, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
27. Kara, H.; Öğünç, F. (2008), “Inflation Targeting and Exchange Rate Pass-Through: The Turkish Experience”, Emerging Markets Finance and Trade, Vol. 44, No. 6: 52-66. doi: 10.2753/REE1540-496X440604.
28. Karahan, Ö. (2017), “Exchange Rate Pass-Through in Turkey before and after the Adoption of Inflation Targeting Regime”, Financial Assets and Investing, Vol. 8, No. 2: 37-48. doi: 10.5817/FAI2017-2-3.
29. Karameli̇kli̇, H.; Korkmaz, S. (2016), “The Dynamics of Exchange Rate Pass-Through to Domestic Prices in Turkey”, Journal of Business Economics and Finance, Vol.5, No. 1: 39-48. doi: 10.17261/Pressacademia.2016116552.
30. Kassi, D. F.;, Sun, G.; Ding, N.; Rathnayake, D. N.; Assamoi, G,N. (2019), “Asymmetry in Exchange Rate Pass-through to Consumer Prices: Evidence from Emerging and Developing Asian Countries”, Economic Analysis and Policy, Vol. 62: 357-72. doi: 10.1016/j.eap.2018.09.013.
31. Kaytanci, U. B.; Kaytanci, B. G. (2021), “Exchange Rate Pass-Through in Turkey: ARDL Bounds Testing Approach”, Equinox Journal of Economics Business and Political Studies, Vol. 8, No. 1: 77-97. doi: 10.48064/equinox.877879.
32. Kotil, E. (2020), “Exchange Rate Pass-Through Investigation for Turkish Economy”, Frontiers in Applied Mathematics and Statistics, Vol.5: 1-6.
33. Leigh, D.; Rossi, M. (2002), “Exchange Rate Pass-Through in Turkey”, IMF Working Paper, WP/02/2004.
34. Po-Chun, L.; Chung-Shu W. (2012). “Exchange Rate Pass-through in Deflation: The Case of Taiwan”, International Review of Economics & Finance, Vol. 22, No. 1: 101-11. doi: 10.1016/j.iref.2011.10.010.
35. López-Villavicencio, A.; Mignon, V. (2017), “Exchange Rate Pass-through in Emerging Countries: Do the Inflation Environment, Monetary Policy Regime and Central Bank Behavior Matter?”, Journal of International Money and Finance, Vol. 79: 20-38. doi: 10.1016/j.jimonfin.2017.09.004.
36. Maerten, O.; Ricardo, L; Castillo, P.; Rodriguez, G. (2012), “Does the Exchange Rate Pass-through into Prices Change When Inflation Targeting Is Adopted? The Peruvian Case Study between 1994 and 2007”, Journal of Macroeconomics, Vol. 34, No. 4: 1154-66. doi: 10.1016/j.jmacro.2012.07.001.
37. Marques, H.; García-Solanes, J. (2010), “Exchange Rate Pass-through and Exchange Rate Dynamics”, International Review of Economics & Finance, Vol.19, No.1: 1-2. doi: 10.1016/j.iref.2009.02.011.
38. Nasir, M. A.; Huynh, T. L. D.; Vo, X.V. (2020), “Exchange Rate Pass-through & Management of Inflation Expectations in a Small Open Inflation Targeting Economy”, International Review of Economics & Finance, Vol. 69: 178-88. doi: 10.1016/j.iref.2020.04.010.
39. Omay, T. (2015), “Fractional Frequency Flexible Fourier Form to Approximate Smooth Breaks in Unit Root Testing”, Economics Letters, Vol. 134(C): 123-26.
40. Özdoğan, Z. (2022). “An Analysis of Exchange Rate Pass-Through to Domestic Prices: Evidence from Turkey”, Eurasian Journal of Business and Economics, Vol. 15, No. 29: 67-86. doi: 10.17015/ejbe.2022.029.05.
41. Özkan, İ.; Erden, L. (2015), “Time-Varying Nature and Macroeconomic Determinants of Exchange Rate Pass-Through”, International Review of Economics & Finance, Vol. 38: 56-66. doi: 10.1016/j.iref.2015.01.007.
42. Pesaran, M. Ha.; Shin, Y.; Smith, R.J. (2001), “Bounds Testing Approaches to the Analysis of Level Relationships”, Journal of Applied Econometrics, Vol. 16, No. 3: 289-326. doi: 10.1002/jae.616.
43. Phuc, N. V.; Duc, V.H. (2021), “Macroeconomics Determinants of Exchange Rate Pass-Through: New Evidence from the Asia-Pacific Region”, Emerging Markets Finance and Trade, Vol. 57, No. 1: 5-20. doi: 10.1080/1540496X.2018.1534682.
44. Taylor, J. (2000), “Low Inflation, Pass-Through, and the Pricing Power of Firms”, European Economic Review, Vol. 44, No. 7:1389-1408.
45. Tunç, C.; Kilinc, M. (2018), “Exchange Rate Pass-Through in a Small Open Economy: A Structural Var Approach”, Bulletin of Economic Research, Vol. 70, No. 4: 410-22. doi: 10.1111/boer.12162.
46. Vegh, C. A.; Morano, L.; Friedheim, D.; Rojas, D. (2017), LAC Semiannual Report October 2017: Between a Rock and a Hard Place: The Monetary Policy Dilemma in Latin America. Washington, DC: World Bank.