Does the Exchange Rate Have a Pass-Through Effect on Domestic Food Prices in Türkiye? An Empirical Study Using a Combined ANN Algorithm and VAR Method

Salih Çam

Makale detayları

Does the Exchange Rate Have a Pass-Through Effect on Domestic Food Prices in Türkiye? An Empirical Study Using a Combined ANN Algorithm and VAR Method

Yazarlar:

Salih Çam

Yayıncı:

Gaziantep University

Ana Başlıklar:

Ekonometrik ve İstatistiksel Yöntemler | Ekonomik Modeller ve Öngörü

Dergi:

Gaziantep Üniversitesi Sosyal Bilimler Dergisi Vol.23 Issue 3, pp.1046-1059

Belge Tipi:

Makale

Yayın Tarihi:

7/2024

Belge Dili:

İngilizce

Document ID (Org No.):

2001324204

pISSN:

1303-0094

Anahtar kelimeler:

Özet:

 Exchange rate fluctuations have far-reaching consequences for national economies, companies and, above all, consumers. It is therefore important to understand the mechanisms by which these fluctuations affect food prices in domestic markets. In this context, we examine the complex relationship between exchange rates and domestic food prices and attempt to calculate the pass-through effect of the exchange rate on domestic prices. To examine the pass-through effect of the exchange rate on food prices, we use monthly USDTRY exchange rate data from January 2003 to July 2023 as well as the global food price index, the export-import rate for food and the producer price index for food in Türkiye. We employ the vector autoregression VAR method to determine the optimal lags of the variables included in the analysis and the artificial neural network ANN algorithm to calculate the overall pass-through effect of the USDTRY exchange rate on domestic food prices. The results show that the pass-through effect of the variable on food prices persists for three months: the current month, the previous month and the two previous months. The total pass-through effect of the exchange rate on food prices reaches up to 27. Half of this impact comes from the previous months food prices. In addition, the ratio of food exports to imports accounts for about 12 of the increase in domestic food prices. The results also show that the variable with the highest pass-through effect is the producer price index and that 90 of the increase in food prices is due to domestic dynamics, while the effect of price increases in foreign markets is only about 10.

 Exchange rate fluctuations have far-reaching consequences for national economies, companies and, above all, consumers. It is therefore important to understand the mechanisms by which these fluctuations affect food prices in domestic markets. In this context, we examine the complex relationship between exchange rates and domestic food prices and attempt to calculate the pass-through effect of the exchange rate on domestic prices. To examine the pass-through effect of the exchange rate on food prices, we use monthly USDTRY exchange rate data from January 2003 to July 2023 as well as the global food price index, the export-import rate for food and the producer price index for food in Türkiye. We employ the vector autoregression VAR method to determine the optimal lags of the variables included in the analysis and the artificial neural network ANN algorithm to calculate the overall pass-through effect of the USDTRY exchange rate on domestic food prices. The results show that the pass-through effect of the variable on food prices persists for three months: the current month, the previous month and the two previous months. The total pass-through effect of the exchange rate on food prices reaches up to 27. Half of this impact comes from the previous months food prices. In addition, the ratio of food exports to imports accounts for about 12 of the increase in domestic food prices. The results also show that the variable with the highest pass-through effect is the producer price index and that 90 of the increase in food prices is due to domestic dynamics, while the effect of price increases in foreign markets is only about 10.

 Exchange rate fluctuations have far-reaching consequences for national economies, companies and, above all, consumers. It is therefore important to understand the mechanisms by which these fluctuations affect food prices in domestic markets. In this context, we examine the complex relationship between exchange rates and domestic food prices and attempt to calculate the pass-through effect of the exchange rate on domestic prices. To examine the pass-through effect of the exchange rate on food prices, we use monthly USDTRY exchange rate data from January 2003 to July 2023 as well as the global food price index, the export-import rate for food and the producer price index for food in Türkiye. We employ the vector autoregression VAR method to determine the optimal lags of the variables included in the analysis and the artificial neural network ANN algorithm to calculate the overall pass-through effect of the USDTRY exchange rate on domestic food prices. The results show that the pass-through effect of the variable on food prices persists for three months: the current month, the previous month and the two previous months. The total pass-through effect of the exchange rate on food prices reaches up to 27. Half of this impact comes from the previous months food prices. In addition, the ratio of food exports to imports accounts for about 12 of the increase in domestic food prices. The results also show that the variable with the highest pass-through effect is the producer price index and that 90 of the increase in food prices is due to domestic dynamics, while the effect of price increases in foreign markets is only about 10.

 Döviz kuru dalgalanmalarının ekonomiler, işletmeler ve özellikle de tüketiciler için geniş kapsamlı sonuçları vardır. Bu nedenle, bu dalgalanmaların yurtiçi piyasalardaki gıda fiyatlarını hangi mekanizmalar aracılığıyla etkilediğini anlamak önemlidir. Bu çalışma, döviz kurları ile yurt içi gıda fiyatları arasındaki karmaşık ilişkiyi incelenmekte ve döviz kurunun yurt içi gıda fiyatlarına geçiş etkisi hesaplanmaktadır. Döviz kurunun gıda fiyatlarına etkisini incelemek için Ocak 2003-Temmuz 2023 dönemine ait aylık USDTRY döviz kuru, dünya gıda fiyat endeksi, gıda ihracat-ithalat oranı ve Türkiyedeki gıda üreticileri fiyat endeksi verileri kullanılmıştır. Analize dahil edilen değişkenlerin optimal gecikmelerini belirlemek için vektör otoregresyon VAR yöntemi, USDTRY döviz kurunun yurtiçi gıda fiyatları üzerindeki geçiş etkisini hesaplamak için ise yapay sinir ağı YSA algoritması kullanılmıştır. Sonuçlar, değişkenlerin gıda fiyatları üzerindeki geçiş etkisinin cari ay, bir önceki ay ve iki önceki ay olmak üzere üç ay boyunca devam ettiğini göstermektedir. Döviz kurunun gıda fiyatları üzerindeki toplam geçiş etkisi 27yi bulmaktadır. Bu etkinin yarısı gıda fiyatlarına bir önceki aydan aktarılmaktadır. Yanı sıra gıda ihracatının gıda ithalatını karşılama oranı yurtiçi gıda fiyatlarındaki artışın yaklaşık 12sinden sorumludur. Sonuçlar ayrıca en yüksek geçişkenlik etkisine sahip değişkenin üretici fiyat endeksi olduğunu ve gıda fiyatlarındaki artışın 90ının iç dinamiklerden kaynaklandığını, yurtdışındaki fiyat artışlarının yurtiçi gıda fiyatlarına etkisinin sadece 10 civarında olduğunu göstermektedir.

Makale detayları

Does the Exchange Rate Have a Pass-Through Effect on Domestic Food Prices in Türkiye? An Empirical Study Using a Combined ANN Algorithm and VAR Method

Yazarlar:

Salih Çam

Yayıncı:

Gaziantep University

Ana Başlıklar:

Ekonometrik ve İstatistiksel Yöntemler | Ekonomik Modeller ve Öngörü

Dergi:

Gaziantep Üniversitesi Sosyal Bilimler Dergisi Vol.23 Issue 3, pp.1046-1059

Belge Tipi:

Makale

Yayın Tarihi:

7/2024

Belge Dili:

İngilizce

Document ID (Org No.):

2001324204

pISSN:

1303-0094

Food Prices

the Pass-Through Effects

Artificial Neural Network

VAR Method

Exchange RateGıda Fiyatları

Geçiş Etkisi

YSA Algoritması

VAR Metodu

Döviz Kuru

Sayı

Makale detayları

Yazarlar: Salih Çam

Yayıncı: Gaziantep University

Ana Başlıklar: Ekonometrik ve İstatistiksel Yöntemler | Ekonomik Modeller ve Öngörü

Dergi: Gaziantep Üniversitesi Sosyal Bilimler Dergisi Vol.23 Issue 3, pp.1046-1059

Belge Tipi: Makale

Yayın Tarihi: 7/2024

Belge Dili: İngilizce

Document ID (Org No.): 2001324204

pISSN: 1303-0094

Sayı

Yazarlar:

Salih Çam

Yayıncı:

Gaziantep University

Ana Başlıklar:

Ekonometrik ve İstatistiksel Yöntemler | Ekonomik Modeller ve Öngörü

Dergi:

Gaziantep Üniversitesi Sosyal Bilimler Dergisi Vol.23 Issue 3, pp.1046-1059

Belge Tipi:

Makale

Yayın Tarihi:

7/2024

Belge Dili:

İngilizce

Document ID (Org No.):

2001324204

pISSN:

1303-0094