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Asimetrik Döviz Kuru Geçişkenliği: Türkiye Örneği

Yıl 2017, Cilt: 5 Sayı: 4, 81 - 90, 01.10.2017
https://doi.org/10.25272/j.2147-7035.2017.5.4.05

Öz

Döviz kurlarında meydana gelen değişimlerin ithal edilen malların fiyatlarına etkisi döviz kuru geçişkenliği olarak ifade edilmektedir. Döviz kuru dalgalanmaları enflasyon başta olmak üzere birçok makroekonomik değişkeni etkileyen önemli bir faktördür. Bu çalışmada, Türkiye’de ithalat fiyatlarına döviz kuru geçişkenliği 2002 Ocak ile 2016 Şubat dönemi için eşbütünleşme ve vektör hata düzeltme modelleri kullanılarak araştırılmıştır. Çalışmada elde edilen bulgulara göre; Türkiye’de döviz kurlarındaki değişimler ithal mallarının fiyatlarına yansımakta ancak geçişkenlik asimetrik bir ilişki göstermemektedir.

Kaynakça

  • Al-Abri, A. S., Goodwin, B. K., (2009). “Re-examining the exchange rate pass-through into import prices using nonlinear estimation techniques: threshold cointegration”, International Review of Economics and Finance, 18, pp. 142–61.
  • Aron, J., Farrell, G., Muellbauer, J., Sinclair, P., (2014). “Exchange Rate Pass-through to Import Prices, and Monetary Policy in South Africa”, The Journal of Development Studies, 50:1, pp. 144-164.
  • Azgün, S . (2013). “Türkiye’de Döviz Kuru Hareketlerinin İç Fiyatlara (İthalat Fiyatları, ÜFE ve TÜFE) Geçişi”, Sosyoekonomi, 20 (20), ss.93-106.
  • Bacchetta, P., van Wincoop, E., (2005). “A Theory of the Currency Denomination Of International Trade”, Journal of International Economics, 67 (2), pp. 295-319
  • Bayat, T., Özcan, B., Taş, Ş., (2015), “Türkiye’de Döviz Kuru Geçiş Etkisinin Asimetrik Nedensellik Testleri ile Analizi”, Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt 10, Sayı 2, ss. 7-30.
  • Beckmann, J., Belke, A., Verheyen, F., (2013). “Interest Rate Pass-Through in the EMU - New Evidence from Nonlinear Cointegration Techniques for Fully Harmonized Data”, Journal of International Money and Finance, Vol. 37, pp. 1-24 (frühere Versionen erhältlich als DIW Discusion Paper 1223, Ruhr Economic Paper 350).
  • Betts, C., Devereux, M.B., (1996). “The exchange rate in a model of pricing-to-market”, European Economic Review, 40, pp. 1007–1021.
  • Betts, C., Devereux, M. B., (2000). “Exchange-rate dynamics in a model of pricing-to market”, Journal of International Economics, 50, pp. 215-244.
  • Brun-Aguerre, R., Fuertes, A., Phylaktis, K., (2012). “Exchange rate pass-through into import prices revisited: What drives it?”, Journal of International Money and Finance, 31, Issue 4, pp. 818-844.
  • Bussière, M., (2007). “Exchange rate pass-through to trade prices –the role of non-linearities and asymmetries”, ECB Working Paper No. 822, European Central Bank, Frankfurt am Main.
  • Caballero, R. J., Engel, E M R A (1993). “Microeconomic rigidities and aggregate price Dynamics”, European Economic Review, Vol. 37, pp. 697-717.
  • Campa, J., Goldberg, L. S., (2002). “Exchange Rate Pass Through into Import Prices: A macro or micro http://www.nber.org/papers/w8934 National Bureau of Economic Research (NBER)
  • Campa, J., Goldberg, L. S., (2005). “Exchange Rate Pass Through into Import Prices.” Review of Economics and Statistics 87, 4 (November), pp. 679-690.
  • Campa, J., Goldberg, L. S., (2008). “Pass-Through of Exchange Rates to Consumption Prices: What Has Changed and Why?,” NBER Chapters, in: International Financial Issues in the Pacific Rim: Global Imbalances, Financial Liberalization, and Exchange Rate Policy (NBER-EASE Volume 17), pp. 139-176 National Bureau of Economic Research, Inc.
  • Çiçek, S., Boz, Ç., (2013). “A New Test of Exchange Rate Pass-through in a Small Open Economy: Evidence from Asymmetric ARDL Bounds Approach”, İktisat, İşletme ve Finans 333 (Aralık), pp. 43-64.
  • Delatte, A., López-Villavicencio, A., (2012). “Asymmetric exchange rate pass-through: Evidence from major countries,” Journal of Macroeconomics, Elsevier, vol. 34(3), pp. 833-844.
  • Dedeoğlu, D., Kaya, H., (2015). “Model Belirsizliği Altında Döviz Kurunun Enflasyona Etkisi,” of Turkey, vol. 15(2), pp. 79-93.
  • Ehsan U. C., Hakura, S. D. (2015). “The exchange rate pass-through to import and export prices: The role of nominal rigidities and currency choice”, Journal of International Money and Finance, Volume 51, March 2015, pp. 1-25.
  • Ergin, A. (2015). “Döviz Kuru ve Enflasyon Arasındaki Geçiş Etkisi: Türkiye Örneği”, Niğde Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 8(3), ss. 13-29.
  • Hahn, E. (2003). “Pass-through of external shocks to euro area inflation”, ECB Working Paper, No. 243, European Central Bank.
  • Herzberg, V., Kapetanios, G., Price, S., (2003). “Import prices and exchange rate pass-through: theory and evidence from the United Kingdom” Bank of England Working Paper no. 182.
  • Kara, H., Öğünç, F., (2012). “Döviz kuru ve ithalat fiyatlarının yurt içi fiyatlara etkisi,” İktisat İşletme ve Finans, Bilgesel Yayıncılık, vol. 27 (317), pp. 9-28.
  • Krugman, P. R., (1987). “Is Free Trade Passe?” Journal of Economic Perspectives, 1(2), pp. 131-144.
  • McCarthy, J., (2000). “Pass-through of exchange rates and import prices to domestic inflation in some industrialized economies”, Federal Reserve Bank of New York Staff Report, Number 111.
  • Mumtaz, H., Sunder-Plassmann, L., (2010). “Time-varying dynamics of the real exchange rate. A structural VAR analysis”, Bank of England working papers 382.
  • Özkan, İ., Erden, L. (2015). “Time-varying nature and macroeconomic determinants of exchange rate pass-through”, International Review of Economics & Finance, Volume 38, July, pp. 56-66.
  • Nguyen, T. A., Kiyotaka, S., (2015). “Asymmetric Exchange Rate Pass-Through in Japanese Exports: Application of the Threshold Vector Autoregressive Model”, Discussion papers 15098, Research Institute of Economy, Trade and Industry (RIETI).
  • Peltzman, S., (2000), “Prices Rise Faster than They Fall” Journal of Political Economy 108(3), pp. 466- 502.
  • Pollard, P., Coughlin, C., (2004). “Size matters: asymmetric exchange rate pass-through at the industry level”, No 2003-029, Working Papers, Federal Reserve Bank of St. Louis, http://EconPapers.repec.org/RePEc:fip:fedlwp:2003-029.
  • Przystupa, J., Wrobel, E. “Asymmetry of the Exchange Rate Pass-Through”, Eastern European Economics” 49:1, pp. 30-51.
  • Sekine, T.i (2006). “Time-varying exchange rate pass-through: experiences of some industrial countries”, Bank for International Settlements, Working Paper, 202.
  • Taylor, J. B., (2000). “Using monetary policy rules in emerging market economies”, The 75th Anniversary Conference, “Stabilization and Monetary Policy: The International Experience”, Bank of Mexico.
  • Yanamandra, V., (2015). “Exchange rate changes and inflation in India: What is the extent of exchange rate pass-through to imports?”, Economic Analysis and Policy, 47, pp. 57-68.

Asymmetric Exchange Rate Pass-Through: The Case of Turkey

Yıl 2017, Cilt: 5 Sayı: 4, 81 - 90, 01.10.2017
https://doi.org/10.25272/j.2147-7035.2017.5.4.05

Öz

The effect of changes in exchange rates on the prices of imported goods is expressed as the exchange rate pass-through. Exchange rate fluctuations are an important factor affecting many macroeconomic variables, such as inflation. In this study, exchange rate pass-through to import prices in Turkey was investigated using cointegration and vector error correction models for the period 2002 January to 2016 February. According to the findings obtained in the study; changes in exchange rates in Turkey are reflected in the prices of imported goods, but pass-through does not show an asymmetrical relationship.

Kaynakça

  • Al-Abri, A. S., Goodwin, B. K., (2009). “Re-examining the exchange rate pass-through into import prices using nonlinear estimation techniques: threshold cointegration”, International Review of Economics and Finance, 18, pp. 142–61.
  • Aron, J., Farrell, G., Muellbauer, J., Sinclair, P., (2014). “Exchange Rate Pass-through to Import Prices, and Monetary Policy in South Africa”, The Journal of Development Studies, 50:1, pp. 144-164.
  • Azgün, S . (2013). “Türkiye’de Döviz Kuru Hareketlerinin İç Fiyatlara (İthalat Fiyatları, ÜFE ve TÜFE) Geçişi”, Sosyoekonomi, 20 (20), ss.93-106.
  • Bacchetta, P., van Wincoop, E., (2005). “A Theory of the Currency Denomination Of International Trade”, Journal of International Economics, 67 (2), pp. 295-319
  • Bayat, T., Özcan, B., Taş, Ş., (2015), “Türkiye’de Döviz Kuru Geçiş Etkisinin Asimetrik Nedensellik Testleri ile Analizi”, Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt 10, Sayı 2, ss. 7-30.
  • Beckmann, J., Belke, A., Verheyen, F., (2013). “Interest Rate Pass-Through in the EMU - New Evidence from Nonlinear Cointegration Techniques for Fully Harmonized Data”, Journal of International Money and Finance, Vol. 37, pp. 1-24 (frühere Versionen erhältlich als DIW Discusion Paper 1223, Ruhr Economic Paper 350).
  • Betts, C., Devereux, M.B., (1996). “The exchange rate in a model of pricing-to-market”, European Economic Review, 40, pp. 1007–1021.
  • Betts, C., Devereux, M. B., (2000). “Exchange-rate dynamics in a model of pricing-to market”, Journal of International Economics, 50, pp. 215-244.
  • Brun-Aguerre, R., Fuertes, A., Phylaktis, K., (2012). “Exchange rate pass-through into import prices revisited: What drives it?”, Journal of International Money and Finance, 31, Issue 4, pp. 818-844.
  • Bussière, M., (2007). “Exchange rate pass-through to trade prices –the role of non-linearities and asymmetries”, ECB Working Paper No. 822, European Central Bank, Frankfurt am Main.
  • Caballero, R. J., Engel, E M R A (1993). “Microeconomic rigidities and aggregate price Dynamics”, European Economic Review, Vol. 37, pp. 697-717.
  • Campa, J., Goldberg, L. S., (2002). “Exchange Rate Pass Through into Import Prices: A macro or micro http://www.nber.org/papers/w8934 National Bureau of Economic Research (NBER)
  • Campa, J., Goldberg, L. S., (2005). “Exchange Rate Pass Through into Import Prices.” Review of Economics and Statistics 87, 4 (November), pp. 679-690.
  • Campa, J., Goldberg, L. S., (2008). “Pass-Through of Exchange Rates to Consumption Prices: What Has Changed and Why?,” NBER Chapters, in: International Financial Issues in the Pacific Rim: Global Imbalances, Financial Liberalization, and Exchange Rate Policy (NBER-EASE Volume 17), pp. 139-176 National Bureau of Economic Research, Inc.
  • Çiçek, S., Boz, Ç., (2013). “A New Test of Exchange Rate Pass-through in a Small Open Economy: Evidence from Asymmetric ARDL Bounds Approach”, İktisat, İşletme ve Finans 333 (Aralık), pp. 43-64.
  • Delatte, A., López-Villavicencio, A., (2012). “Asymmetric exchange rate pass-through: Evidence from major countries,” Journal of Macroeconomics, Elsevier, vol. 34(3), pp. 833-844.
  • Dedeoğlu, D., Kaya, H., (2015). “Model Belirsizliği Altında Döviz Kurunun Enflasyona Etkisi,” of Turkey, vol. 15(2), pp. 79-93.
  • Ehsan U. C., Hakura, S. D. (2015). “The exchange rate pass-through to import and export prices: The role of nominal rigidities and currency choice”, Journal of International Money and Finance, Volume 51, March 2015, pp. 1-25.
  • Ergin, A. (2015). “Döviz Kuru ve Enflasyon Arasındaki Geçiş Etkisi: Türkiye Örneği”, Niğde Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 8(3), ss. 13-29.
  • Hahn, E. (2003). “Pass-through of external shocks to euro area inflation”, ECB Working Paper, No. 243, European Central Bank.
  • Herzberg, V., Kapetanios, G., Price, S., (2003). “Import prices and exchange rate pass-through: theory and evidence from the United Kingdom” Bank of England Working Paper no. 182.
  • Kara, H., Öğünç, F., (2012). “Döviz kuru ve ithalat fiyatlarının yurt içi fiyatlara etkisi,” İktisat İşletme ve Finans, Bilgesel Yayıncılık, vol. 27 (317), pp. 9-28.
  • Krugman, P. R., (1987). “Is Free Trade Passe?” Journal of Economic Perspectives, 1(2), pp. 131-144.
  • McCarthy, J., (2000). “Pass-through of exchange rates and import prices to domestic inflation in some industrialized economies”, Federal Reserve Bank of New York Staff Report, Number 111.
  • Mumtaz, H., Sunder-Plassmann, L., (2010). “Time-varying dynamics of the real exchange rate. A structural VAR analysis”, Bank of England working papers 382.
  • Özkan, İ., Erden, L. (2015). “Time-varying nature and macroeconomic determinants of exchange rate pass-through”, International Review of Economics & Finance, Volume 38, July, pp. 56-66.
  • Nguyen, T. A., Kiyotaka, S., (2015). “Asymmetric Exchange Rate Pass-Through in Japanese Exports: Application of the Threshold Vector Autoregressive Model”, Discussion papers 15098, Research Institute of Economy, Trade and Industry (RIETI).
  • Peltzman, S., (2000), “Prices Rise Faster than They Fall” Journal of Political Economy 108(3), pp. 466- 502.
  • Pollard, P., Coughlin, C., (2004). “Size matters: asymmetric exchange rate pass-through at the industry level”, No 2003-029, Working Papers, Federal Reserve Bank of St. Louis, http://EconPapers.repec.org/RePEc:fip:fedlwp:2003-029.
  • Przystupa, J., Wrobel, E. “Asymmetry of the Exchange Rate Pass-Through”, Eastern European Economics” 49:1, pp. 30-51.
  • Sekine, T.i (2006). “Time-varying exchange rate pass-through: experiences of some industrial countries”, Bank for International Settlements, Working Paper, 202.
  • Taylor, J. B., (2000). “Using monetary policy rules in emerging market economies”, The 75th Anniversary Conference, “Stabilization and Monetary Policy: The International Experience”, Bank of Mexico.
  • Yanamandra, V., (2015). “Exchange rate changes and inflation in India: What is the extent of exchange rate pass-through to imports?”, Economic Analysis and Policy, 47, pp. 57-68.
Toplam 33 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Research Article
Yazarlar

Ümit Gümrah Bu kişi benim

Fatih Konur Bu kişi benim

Yayımlanma Tarihi 1 Ekim 2017
Yayımlandığı Sayı Yıl 2017 Cilt: 5 Sayı: 4

Kaynak Göster

ISNAD Gümrah, Ümit - Konur, Fatih. “Asimetrik Döviz Kuru Geçişkenliği: Türkiye Örneği”. Siyaset, Ekonomi ve Yönetim Araştırmaları Dergisi 5/4 (Ekim 2017), 81-90. https://doi.org/10.25272/j.2147-7035.2017.5.4.05.