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

Yıl 2015, Cilt: 10 Sayı: 2, 7 - 30, 01.08.2015

Tayfur Bayat Burcu Özcan Şebnem Taş

Öz

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

Anahtar Kelimeler

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

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

Öz

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

Anahtar Kelimeler

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

Kaynakça

• Arat, K. (2003), ''Türkiye'de Optimum Döviz Kuru Rejimi Seçimi Ve Döviz Kurlarından Fiyatlara Geçiş Etkisinin İncelenmesi'', Türkiye Cumhuriyet Merkez Bankası, Uzmanlık Yeterlilik Tezi.
• Arı, A. (2010), ''Dalgalanma Korkusu ve Döviz Kuru Geçiş Etkisi'', Journal of Yaşar University, 17(5), 2832-2841.
• Balcılar, M., Z. A. Özdemir, ve Y. Arslantürk (2010), “Economic growth and energy consumption causal nexusa viewed through a bootstrap rolling window”, Energy Economics, 32, 1398-1410.
• Breitung, J. ve B. Candelon (2006), ''Testing for Short and Long-Run Causality: A Frequency Domain Approach'', Journal of Econometrics, 12, 363-378.
• Bussiere, M. ve T. Peltonen (2008), ''Exchange Rate Pass-Through in the Global Economy, the Role of Emerging Market Economies'', European Central Bank, Working Paper, 951, http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp951.pdf, (Erişim: 15.08.2014).
• Ca’zorzi, M., E. Hahn, ve M. Sanchez (2007), ''Exchange Rate Pass Through In Emerging Markets'', European Central Bank Working Paper, 739, https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp739.pdf, (Erişim: 07.08.2014).
• Ciner, Ç. (2011), ''Eurocurrency Interest Rate Linkages: A Frequency Domain Analysis'', International Review of Economics and Finance, 20, 498-505.
• Coricelli, F., B. Jazbec ve I. Masten (2004), ''Exchange Rate Policy And Inflation In Acceding Countries: The Role Of Pass-Through'', William Davidson Institue, Working Paper, 674, http://wdi.umich.edu/files/publications/workingpapers/wp674.pdf, (Erişim: 06.05.2014).
• Coricelli, F., B. Egert, ve R. Macdonald (2006), ''Monetary Transmission Mechanism in Central and Eastern Europe: Gliding on a Wind of Change'' William Davidson Institue, Working Paper, 850, http://wdi.umich.edu/files/publications/workingpapers/wp850.pdf, (Erişim: 20.09.2014).
• Damar, A. O. (2010), ''Türkiye'de Döviz Kurundan Fiyatlara Geçiş Etkisinin İncelenmesi'', Türkiye Cumhuriyet Merkez Bankası, Uzmanlık Yeterlilik Tezi, Ankara.
• Devereux, M., B. C. Engel, ve P. E. Storgaard (2003), ''Endogenous Exchange Rate Pass-Through When Nominal Prices are Set in Advance'', National Bureau of Economic Research, Working Paper, 9543,http://www.nber.org/papers/w9543.pdf, (Erişim: 14.05.2014).
• Dickey, D. A. ve W. A. Fuller, (1979), ''Distribution of the Estimators for Autoregressive Time Series with a Unit Root'', Journal of the American Statistical Association, 74, 427-431
• Dickey, D. A. ve W. A. Fuller (1981), ''Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root'', Econometrica, 49, 1057-1072.
• Dornbusch, R. (1985), ''Exchange Rates and Prices'', National Bureau of Economic Research, Working Paper, 1769, http://www.nber.org/papers/w1769.pdf, (Erişim: 17.01.2014).
• Froot, K. A. ve P. Klemperer (1988), ''Exchange Rate Pass-Through When Market Share Matters'' , National Bureau of Economic Research, Working Paper, 2542, http://www.nber.org/papers/w2542.pdf, (Erişim: 24.05.2014).
• Geweke, J. (1982), ''Measurement of Linear Dependence and Feedback Between Multiple Time Series'', Journal of The American Statistical Association, 77, 304- 313.
• Ghosh, A. ve R. Rajan (2006), ''Exchange Rate Pass-Through in Asia: What Does Literature Tell Us?'', Asian-Pasific Economic Association, Working Paper, http://www.apeaweb.org/confer/sea06/papers/ghosh-rajan.pdf, (Erişim Tarihi: 30.12.2013).
• Goldberg, P. K. ve M. M. Knetter (1996), ''Good Prices and Exchange Rates:What Have We Learned?'' Journal of Economic Literature, 35, 1243-1272 .
• Granger, C. W. J. (1969), ''Investigating Causal Relations by Econometric Models and Cross Spectral Methods'' Econometrica, 37, 424-438.
• Gündoğdu, M. K. (2013), ''Döviz Kurunun Fiyatlara Geçiş Etkisi: Türkiye Çalışması'', Türkiye İş Bankası, İktisadi Araştırmalar Bölümü Raporu, http://ekonomi.isbank.com.tr/UserFiles/pdf/ar_03_2013.pdf, (Erişim Tarihi: 03.01.2014).
• Hosoyo, Y. (1991), ''The Decomposition and The Measurement of The Interdependence Between Second-Order Stationary Process'', Probability Related and Theory Fields, 88, 429-444.
• Kara, H.ve F. Öğünç (2005), ''Exchange Rate Pass Through In Turkey: It Is Slow, But Is It Really Low'', Türkiye Cumhuriyet Merkez Bankası, Araştırma Tebliği, 10.
• Kara, H. ve F. Öğünç (2011), ''Döviz Kuru Ve İthalat Fiyatlarının Enflasyona Etkisi'', Türkiye Cumhuriyet Merkez Bankası, Ekonomi Notları, 14.
• Koutris, A., M. S. Heracleous, ve A. Spanos (2008), ‘’Testing for nonstationarity using Maximumentropy resampling: amisspecification testing perspective’’, Econometric Reviews 27, 363–384.
• Leigh, D. ve M. Rossi (2002), ''Exchange Rate Pass Through In Turkey'', International Monetary Found, Working Paper, 02/204, http://www.imf.org/external/pubs/ft/wp/2002/wp02204.pdf, (Erişim: 20.03.2014).
• Maliye Bakanlığı (2006), ‘’Yıllık Ekonomik Rapor 2006’’, http://www.maliye.gov.tr/YillikEkonomikRapor/Y%C4%B1ll%C4%B1k%20Ekonomi k%20Rapor%202006.pdf, (Erişim: 07.07.2014).
• Maliye Bakanlığı (2007), ‘’Yıllık Ekonomik Rapor 2007’’, http://www.maliye.gov.tr/YillikEkonomikRapor/Y%C4%B1ll%C4%B1k%20Ekonomi k%20Rapor%202007.pdf, (Erişim:10.07.2014).
• Mccarthy, J. (2006), '' Pass-Through Of Exchange Rates And Import Prices To Domestic Inflation In Some Industrialized Economies'', Federal Reserve Bank Of New York, Staff Reports, http://www.newyorkfed.org/research/staff_reports/sr111.html, (Erişim Tarihi: 21.11.2013).
• Minh, V. V. (2009), ''Exchange Rate Pass-Through and Its Implications for Inflation in Vietnam'', Vietnam Development Forum, Working Paper, 0902, http://www.ibrarian.net/navon/paper/EXCHANGE_RATE_PASS_THROUGH_AND_I TS_IMPLICATIONS_F.pdf?paperid=16447855, (Erişim:24.06.2014).
• Özçiçek, Ö. (2010), ''Döviz Kuru Hareketlerinin Enflasyon Üzerindeki Etkisi: Sektörel Analiz'', Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 19(2), 313-327.
• Pinto, R. ve N. Junior (2006), ''Inflation Targeting: Exchange Rate Pass Through and Fear of Floating'', University of Kent, Studies in Economic Series, 605, ftp://ftp.ukc.ac.uk/pub/ejr/RePEc/ukc/ukcedp/0605.pdf, (Erişim: 22.04.2014).
• Sek, S.K. ve Z. Kapsalyamova (2008), ''Exchange Rate Pass-Through and Volatility: Imports on Domestic Prices in Four Asian Countries'', Munich Personal Repec Archive, Working Paper, 11130, http://mpra.ub.unimuenchen.de/11130/1/MPRA_paper_11130.pdf, (Erişim: 12.10.2014).
• Sekine, T. (2006), ''Time-Varying Exchange Rate Pass-Through: Experiences of Some Industrial Countries'', Bank for International Settlements, Working papers, 202, http://www.bis.org/publ/work202.pdf, (Erişim: 09.07.2014).
• Seyidoğlu, H. (2003), ''Uluslararası İktisat'', İstanbul: Güzem Can Yayınları.
• Shukur, G. ve P. Mantalos, P (2000), ‘’A simple investigation of the Grangercausality test in integrated-cointegrated VAR systems’’, Journal of Applied Statistics 27, 1021–1031.
• Shintani, M., A.T. Hagiwara, ve T. Yabu (2013), ''Exchange Rate Pass-Through and Inflation: A Nonlinear Time Series Analysis'', Journal of International Money and Finance, 32, 512-527.
• Shambaugh, J. (2008), ''A New Look at Pass-Through'', Journal of International Money and Finance, 27, 560-591.
• Taylor, J. B. (2000), ''Low Inflation, Pass-Through and the Pricing Power of Firms'', European Economic Review, 44, 1389-1408 TOBB (2011), ’’Ekonomik Rapor 2010’’, http://www.tobb.org.tr/Documents/yayinlar/ekonomikrapor2010.pdf, (Erişim:10.08.2014)
• Türkiye Cumhuriyet Merkez Bankası (2005), ‘’Yıllık Rapor 2004’’, http://www.tcmb.gov.tr/wps/wcm/connect/6a07e62c-868e-49ae-9210- ac61cd84c713/YR2004.pdf?MOD=AJPERES&CACHEID=6a07e62c-868e-49ae-9210- ac61cd84c713, (Erişim: 20.05.2014).
• Türkiye Cumhuriyet Merkez Bankası (2008), ‘’Enflasyon Raporu 2008-I’’, http://www.tcmb.gov.tr/wps/wcm/connect/edd4b6f8-14e2-49ca-b649- c0e5b36e51ae/enf-ocak2008.pdf?MOD=AJPERES&CACHEID=edd4b6f8-14e2- 49ca-b649-c0e5b36e51ae, (Erişim: 10.11.2013).
• Tulk, D. (2004), ''Exchange Rate Pass-Through: Theory and Evidence'', International Finance Economics, 826, 1-8, http://qed.econ.queensu.ca/pub/students/rodrigue/826/tulk.pdf, (Erişim:10.09.2014).
• Volkan, A., C. Saatçioğlu, ve L. Korap (2007) ''Impact Exchange Rate Changes on Domestic Inflation: The Turkish Experience'' Turkish Economic Association, Discussion Paper, 2007/6, http://www.tek.org.tr/dosyalar/VOLKAN-SAATCIKORAP.pdf Erişim tarihi: 12.01.2014.
• Zivot, E., D.W. Andrews, ve W. Donald (1992), ''Further Evidence on the Great Crash, The Oil Price Shock and The Unit Root Hypothesis'', Journal of Business and Economic Statistics, 10, 251-270.