Asymmetric Transition Effects of the Exchange Rate on Consumer Prices in Turkey

Yıl 2019, Cilt: 27 Sayı: 42, 29 - 50, 31.10.2019

Pınar Göktaş

https://doi.org/10.17233/sosyoekonomi.2019.04.02

Cited By: 8

Öz

This study examines the relationship between nominal exchange rates and consumer price index (CPI) in Turkey for the period 2003:01- 2018:02 by using monthly data. According to the results of bound testing to cointegration under NARDL approach, CPI is found to be correlated with positive and negative exchange rate baskets in the long run. Moreover, a 1% of depreciation and appreciation in TL results in 0.24% and 0.17% increase in CPI, respectively. Therefore, the amount of increase in CPI due to rising exchange rates is greater than that of an increase due to falling exchange rates in the period studied.

Anahtar Kelimeler

Exchange Rate Pass Through Effect, Consumer Prices, Asymetric Causality, Non-linear ARDL (NARDL)

Türkiye’de Döviz Kurunun Tüketici Fiyatları Üzerindeki Asimetrik Geçiş Etkileri

Öz

Çalışmada, Türkiye’de 2003:01-2018:02 dönemine ilişkin aylık nominal döviz kuru ve tüketici fiyatları arasındaki ilişkiyi incelemektedir. Doğrusal Olmayan Sınır Testi yaklaşımı (NARDL) sonuçlarına göre; TÜFE uzun vadede pozitif ve negatif kur sepeti ile birlikte hareket etmektedir. Ayrıca, ülkemizde TL’nin %1’lik değer kaybı tüketici fiyatlarına %0,24’lik bir artış olarak yansırken, aynı oranda TL’de bir değerlenme ise %0,17’lik artışa neden olmaktadır. Dolayısıyla araştırılan dönemde döviz sepetinin değer kazanmasının tüketici fiyatlarında yarattığı artış, döviz sepetinin aynı oranda değer kaybetmesi halinde yarattığı azalış miktarından daha fazla olmaktadır .

Anahtar Kelimeler

Döviz Kuru Geçiş Etkisi (ERPT), Tüketici Fiyatları, Asimetrik, Nedensellik, Doğrusal Olmayan ARDL (NARDL)

Kaynakça

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