Investigation of the Long and Short-Term Relationship Between Exchange Rate and Inflation in Türkiye

İbrahim Aytekin; Seda Bayrakdar; Emre Aksoy

Makale detayları

Investigation of the Long and Short-Term Relationship Between Exchange Rate and Inflation in Türkiye

Yazarlar:

İbrahim Aytekin | Seda Bayrakdar | Emre Aksoy

Yayıncı:

Istanbul University

Ana Başlıklar:

Ekonomi

Dergi:

İktisat Politikası Araştırmaları Dergisi Vol.10 Issue 1, pp.87-112

Belge Tipi:

Makale

Yayın Tarihi:

1/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001284646

pISSN:

2148-3876

Anahtar kelimeler:

Özet:

 The Covid-19 pandemic and the exchange rate shock that the Turkish economy has been subjected to have put pressure on inflation in that nations economy, which is reliant on imported inputs for production. Accordingly, in this study, the relationship between the monthly consumer price index, producer price index, and real effective exchange rate in Türkiye between the years 2004-2021 was examined by the time series analysis method. Augmented Dickey-Fuller and Phillips-Perron unit root tests were used to determine the stationarity levels of the data in time series analysis. According to the findings of the unit root tests, the Autoregressive Distributed Lag-Bound test was utilized to ascertain the cointegration relationship between the data. The Toda-Yamamoto causality test was employed in the analysis last stage to determine whether there was a statistical correlation between the data. The empirical results are that the real effective exchange rate, inflation, and producer price index are data that can affect each other in the long run in Türkiye. In the study, it has been determined that a 1 increase in the producer price index in Türkiye, in the long run, will create a 0.40 increase in inflation. In the long run, the relationship between inflation and the real effective exchange rate is statistically insignificant. The Toda-Yamamoto causality test results, on the other hand, reveal that there is a one-way causality relationship from the producer price index to inflation, but a bidirectional causality relationship between the real effective exchange rate and the producer price index.

 The Covid-19 pandemic and the exchange rate shock that the Turkish economy has been subjected to have put pressure on inflation in that nations economy, which is reliant on imported inputs for production. Accordingly, in this study, the relationship between the monthly consumer price index, producer price index, and real effective exchange rate in Türkiye between the years 2004-2021 was examined by the time series analysis method. Augmented Dickey-Fuller and Phillips-Perron unit root tests were used to determine the stationarity levels of the data in time series analysis. According to the findings of the unit root tests, the Autoregressive Distributed Lag-Bound test was utilized to ascertain the cointegration relationship between the data. The Toda-Yamamoto causality test was employed in the analysis last stage to determine whether there was a statistical correlation between the data. The empirical results are that the real effective exchange rate, inflation, and producer price index are data that can affect each other in the long run in Türkiye. In the study, it has been determined that a 1 increase in the producer price index in Türkiye, in the long run, will create a 0.40 increase in inflation. In the long run, the relationship between inflation and the real effective exchange rate is statistically insignificant. The Toda-Yamamoto causality test results, on the other hand, reveal that there is a one-way causality relationship from the producer price index to inflation, but a bidirectional causality relationship between the real effective exchange rate and the producer price index.

 The Covid-19 pandemic and the exchange rate shock that the Turkish economy has been subjected to have put pressure on inflation in that nations economy, which is reliant on imported inputs for production. Accordingly, in this study, the relationship between the monthly consumer price index, producer price index, and real effective exchange rate in Türkiye between the years 2004-2021 was examined by the time series analysis method. Augmented Dickey-Fuller and Phillips-Perron unit root tests were used to determine the stationarity levels of the data in time series analysis. According to the findings of the unit root tests, the Autoregressive Distributed Lag-Bound test was utilized to ascertain the cointegration relationship between the data. The Toda-Yamamoto causality test was employed in the analysis last stage to determine whether there was a statistical correlation between the data. The empirical results are that the real effective exchange rate, inflation, and producer price index are data that can affect each other in the long run in Türkiye. In the study, it has been determined that a 1 increase in the producer price index in Türkiye, in the long run, will create a 0.40 increase in inflation. In the long run, the relationship between inflation and the real effective exchange rate is statistically insignificant. The Toda-Yamamoto causality test results, on the other hand, reveal that there is a one-way causality relationship from the producer price index to inflation, but a bidirectional causality relationship between the real effective exchange rate and the producer price index.

 Türkiye ekonomisinde, 2004-2021 yılları arasında aylık veriler kullanılarak tüketici fiyat endeksi, üretici fiyat endeksi ve reel efektif döviz kuru arasındaki ilişkiler ARDL sınır testi ile araştırılmıştır. Ulaşılan ampirik sonuçlar, Türkiyede döviz kuru, enflasyon ve üretici fiyatları değişkenlerinin uzun vadede birbirlerini etkileyebilen değişkenler oldukları yönündedir. Çalışmada Türkiyede uzun dönemde üretici fiyatlarında görülen 1lik bir artışın enflasyonda 0.40lık bir artış oluşturacağı tespit edilmiştir. Uzun dönemde enflasyon ile reel efektif döviz kuru arasındaki ilişki ise istatistiki açıdan anlamsızdır. Söz konusu değişkenler arasındaki nedensellik ilişkisini tespit etmek açısından uygulanan Toda-Yamamoto nedensellik testi sonuçları ise döviz kuru ile üretici fiyatları arasında çift yönlü nedensellik ilişkisinin olduğunu, fakat üretici fiyatlarından enflasyona doğru ise tek yönlü bir nedensellik ilişkisinin olduğun göstermektedir.

Makale detayları

Investigation of the Long and Short-Term Relationship Between Exchange Rate and Inflation in Türkiye

Yazarlar:

İbrahim Aytekin | Seda Bayrakdar | Emre Aksoy

Yayıncı:

Istanbul University

Ana Başlıklar:

Ekonomi

Dergi:

İktisat Politikası Araştırmaları Dergisi Vol.10 Issue 1, pp.87-112

Belge Tipi:

Makale

Yayın Tarihi:

1/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001284646

pISSN:

2148-3876

ARDL bound test

Exchange rate

Inflation

Producer prices

Toda-Yamamoto

Döviz kuru

Enflasyon

Üretici fiyatları

ARDL sınır testi

Toda-Yamamoto

Sayı

Makale detayları

Yazarlar: İbrahim Aytekin | Seda Bayrakdar | Emre Aksoy

Yayıncı: Istanbul University

Ana Başlıklar: Ekonomi

Dergi: İktisat Politikası Araştırmaları Dergisi Vol.10 Issue 1, pp.87-112

Belge Tipi: Makale

Yayın Tarihi: 1/2023

Belge Dili: Türkçe

Document ID (Org No.): 2001284646

pISSN: 2148-3876

Sayı

Yazarlar:

İbrahim Aytekin | Seda Bayrakdar | Emre Aksoy

Yayıncı:

Istanbul University

Ana Başlıklar:

Ekonomi

Dergi:

İktisat Politikası Araştırmaları Dergisi Vol.10 Issue 1, pp.87-112

Belge Tipi:

Makale

Yayın Tarihi:

1/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001284646

pISSN:

2148-3876