Exchange Rate Pass-Through into Import Prices: Evidence from Türkiye during 2010-2020 Period

Volkan Sezgin

Makale detayları

Exchange Rate Pass-Through into Import Prices: Evidence from Türkiye during 2010-2020 Period

Yazarlar:

Volkan Sezgin

Yayıncı:

İdeal Kent Yayınları

Ana Başlıklar:

Finans | Finansal Ekonometri

Dergi:

OPUS Toplum Araştırmaları Dergisi Vol.21 Issue 5, pp.329-340

Belge Tipi:

Makale

Yayın Tarihi:

10/2024

Belge Dili:

İngilizce

Document ID (Org No.):

2001329398

pISSN:

2791-9862

Anahtar kelimeler:

Özet:

 This article analyses pass through of exchange rates into the import prices for an emerging economy, Türkiye, which faced severe fluctuations in the nominal exchange rate in the recent years, and experienced significant increases in domestic prices. The Turkish economy continues to struggle due to high inflationary pressures and a steep Turkish Lira TL devaluation particularly after 2017. This study aimed at examining the relationship between exchange rate and import prices using quarterly data for the period of 2010q1-2019q1, while the empirical methodology is framed in the multivariate cointegration analysis, along with the application of the Johansen cointegration test and the development of an autoregressive error correction vector for the determination of the pass-through in the long term. Our findings show that 85.6 of the fluctuations of the nominal exchange rate are transmitted to the import prices in the mentioned period, slower than the findings of the study by Akgunduz and his colleagues as the difference of import prices from its long-run relationship implied by the real exchange rate is likely dominated by energy prices in a strong manner. Second significant finding derives from the parameter that measures the speed of the pass-through, whose estimate has been found as -0.0125, inferring that the adjustment in short-term imbalances between import prices and the nominal exchange rate through changes in import prices is rather slow.

 This article analyses pass through of exchange rates into the import prices for an emerging economy, Türkiye, which faced severe fluctuations in the nominal exchange rate in the recent years, and experienced significant increases in domestic prices. The Turkish economy continues to struggle due to high inflationary pressures and a steep Turkish Lira TL devaluation particularly after 2017. This study aimed at examining the relationship between exchange rate and import prices using quarterly data for the period of 2010q1-2019q1, while the empirical methodology is framed in the multivariate cointegration analysis, along with the application of the Johansen cointegration test and the development of an autoregressive error correction vector for the determination of the pass-through in the long term. Our findings show that 85.6 of the fluctuations of the nominal exchange rate are transmitted to the import prices in the mentioned period, slower than the findings of the study by Akgunduz and his colleagues as the difference of import prices from its long-run relationship implied by the real exchange rate is likely dominated by energy prices in a strong manner. Second significant finding derives from the parameter that measures the speed of the pass-through, whose estimate has been found as -0.0125, inferring that the adjustment in short-term imbalances between import prices and the nominal exchange rate through changes in import prices is rather slow.

 This article analyses pass through of exchange rates into the import prices for an emerging economy, Türkiye, which faced severe fluctuations in the nominal exchange rate in the recent years, and experienced significant increases in domestic prices. The Turkish economy continues to struggle due to high inflationary pressures and a steep Turkish Lira TL devaluation particularly after 2017. This study aimed at examining the relationship between exchange rate and import prices using quarterly data for the period of 2010q1-2019q1, while the empirical methodology is framed in the multivariate cointegration analysis, along with the application of the Johansen cointegration test and the development of an autoregressive error correction vector for the determination of the pass-through in the long term. Our findings show that 85.6 of the fluctuations of the nominal exchange rate are transmitted to the import prices in the mentioned period, slower than the findings of the study by Akgunduz and his colleagues as the difference of import prices from its long-run relationship implied by the real exchange rate is likely dominated by energy prices in a strong manner. Second significant finding derives from the parameter that measures the speed of the pass-through, whose estimate has been found as -0.0125, inferring that the adjustment in short-term imbalances between import prices and the nominal exchange rate through changes in import prices is rather slow.

 Bu çalışma, nominal döviz kurunda önemli dalgalanmalar ve yurt içi fiyatlarda artış yaşamakta olan gelişmekte olan ekonomilerden biri olan Türkiyedeki döviz kuru geçişkenliğinin ithalat fiyatları üzerindeki etkisini incelemektedir. Türkiye ekonomisi özellikle 2017den bu yana yüksek enflasyon ve Türk Lirasındaki değer kaybı nedeniyle baskı altında kalmayı sürdürmektedir. Araştırma, 2010 ilk çeyreğinden 2019 yılı ilk çeyreğine kadar üç aylık verileri kullanarak döviz kurları ile ithalat fiyatları arasındaki ilişkiye odaklanmaktadır. Çalışma, uzun vadeli geçiş etkisini analiz etmek için çok değişkenli eşbütünleşme analizi, Johansen eşbütünleşme testi ve otoregresif hata düzeltme vektörünü kullanmaktadır. Sonuçlar, belirtilen dönemde nominal döviz kuru dalgalanmalarının 85,6sının ithalat fiyatlarını etkilediğini, enerji fiyatlarının ithalat fiyatları üzerindeki etkisi sebebiyle Akgunduz ve arkadaşlarının 2020 yılında yaptıkları çalışma ile kıyaslandığında daha yavaş bir geçişkenliğin var olduğunu göstermektedir. Çalışmanın bir diğer önemli bulgusu ise geçiş hızına ilişkin tahmin edilen parametrenin -0,0125 olması, bunun da ithalat fiyatları ile nominal döviz kuru arasındaki kısa vadeli dengesizliklerin kademeli olarak düzeltildiğini göstermesidir.

Makale detayları

Exchange Rate Pass-Through into Import Prices: Evidence from Türkiye during 2010-2020 Period

Yazarlar:

Volkan Sezgin

Yayıncı:

İdeal Kent Yayınları

Ana Başlıklar:

Finans | Finansal Ekonometri

Dergi:

OPUS Toplum Araştırmaları Dergisi Vol.21 Issue 5, pp.329-340

Belge Tipi:

Makale

Yayın Tarihi:

10/2024

Belge Dili:

İngilizce

Document ID (Org No.):

2001329398

pISSN:

2791-9862

Exchange rate pass through

import prices

Türkiye.Döviz kuru geçişkenliği

ithalat fiyatları

Türkiye.

Sayı

Makale detayları

Exchange Rate Pass-Through into Import Prices: Evidence from Türkiye during 2010-2020 Period

Yazarlar: Volkan Sezgin

Yayıncı: İdeal Kent Yayınları

Ana Başlıklar: Finans | Finansal Ekonometri

Dergi: OPUS Toplum Araştırmaları Dergisi Vol.21 Issue 5, pp.329-340

Belge Tipi: Makale

Yayın Tarihi: 10/2024

Belge Dili: İngilizce

Document ID (Org No.): 2001329398

pISSN: 2791-9862

Exchange rate pass through

import prices

Türkiye.Döviz kuru geçişkenliği

ithalat fiyatları

Türkiye.

Sayı

Yazarlar:

Volkan Sezgin

Yayıncı:

İdeal Kent Yayınları

Ana Başlıklar:

Finans | Finansal Ekonometri

Dergi:

OPUS Toplum Araştırmaları Dergisi Vol.21 Issue 5, pp.329-340

Belge Tipi:

Makale

Yayın Tarihi:

10/2024

Belge Dili:

İngilizce

Document ID (Org No.):

2001329398

pISSN:

2791-9862