EXCHANGE RATE PASS-THROUGH TO CONSUMER PRICES IN TURKEY: EVIDENCE FROM ARDL AND NONLINEAR ARDL APPROACHES

Halil Altıntaş

Makale detayları

EXCHANGE RATE PASS-THROUGH TO CONSUMER PRICES IN TURKEY: EVIDENCE FROM ARDL AND NONLINEAR ARDL APPROACHES

Yazarlar:

Halil Altıntaş

Yayıncı:

Erciyes University

Ana Başlıklar:

Uygulamalı Makro Ekonometri | Zaman Serileri Analizi

Dergi:

Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Issue 67, pp.1-13

Belge Tipi:

Makale

Yayın Tarihi:

4/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001316170

pISSN:

1301-3688

Anahtar kelimeler:

Özet:

 This study analyses the exchange rate pass-through to inflation in Turkey during the inflation targeting period January 2007May 2021 by estimating the ARDL and NARDL models. The linear ARDL model showed that there was a significant and positive increase in the inflation rate of exchange rate increases in the long run. The NARDL model results suggest that the pass-through effect of the exchange rate on inflation in Turkey shows asymmetric changes over the short and long term. The magnitudes of the coefficients of exchange rate pass-through to inflation ERPT differ in cases of depreciation and appreciation over the long term. NARDL estimates reveal that a 1 depreciation of the exchange rate dolarTL leads to about a 0.71 and 0.51 increase in consumer prices, respectively, while appreciations in the exchange rate decrease consumer prices by approximately 0.45 in the long term. These findings imply that consumer prices react higher during depreciation than appreciation. This evidence reveals that producers with market power may be concerned with speculative behavior to make use of asymmetric exchange rate pass-through in order to profit in weakly competitive market structures. Therefore, the policymaker should provide more independence to the central bank to improve monetary policys credibility and strengthen the competitive market structure in financial markets in order to reduce the asymmetric effects of the exchange rate on inflation.

 This study analyses the exchange rate pass-through to inflation in Turkey during the inflation targeting period January 2007May 2021 by estimating the ARDL and NARDL models. The linear ARDL model showed that there was a significant and positive increase in the inflation rate of exchange rate increases in the long run. The NARDL model results suggest that the pass-through effect of the exchange rate on inflation in Turkey shows asymmetric changes over the short and long term. The magnitudes of the coefficients of exchange rate pass-through to inflation ERPT differ in cases of depreciation and appreciation over the long term. NARDL estimates reveal that a 1 depreciation of the exchange rate dolarTL leads to about a 0.71 and 0.51 increase in consumer prices, respectively, while appreciations in the exchange rate decrease consumer prices by approximately 0.45 in the long term. These findings imply that consumer prices react higher during depreciation than appreciation. This evidence reveals that producers with market power may be concerned with speculative behavior to make use of asymmetric exchange rate pass-through in order to profit in weakly competitive market structures. Therefore, the policymaker should provide more independence to the central bank to improve monetary policys credibility and strengthen the competitive market structure in financial markets in order to reduce the asymmetric effects of the exchange rate on inflation.

 This study analyses the exchange rate pass-through to inflation in Turkey during the inflation targeting period January 2007May 2021 by estimating the ARDL and NARDL models. The linear ARDL model showed that there was a significant and positive increase in the inflation rate of exchange rate increases in the long run. The NARDL model results suggest that the pass-through effect of the exchange rate on inflation in Turkey shows asymmetric changes over the short and long term. The magnitudes of the coefficients of exchange rate pass-through to inflation ERPT differ in cases of depreciation and appreciation over the long term. NARDL estimates reveal that a 1 depreciation of the exchange rate dolarTL leads to about a 0.71 and 0.51 increase in consumer prices, respectively, while appreciations in the exchange rate decrease consumer prices by approximately 0.45 in the long term. These findings imply that consumer prices react higher during depreciation than appreciation. This evidence reveals that producers with market power may be concerned with speculative behavior to make use of asymmetric exchange rate pass-through in order to profit in weakly competitive market structures. Therefore, the policymaker should provide more independence to the central bank to improve monetary policys credibility and strengthen the competitive market structure in financial markets in order to reduce the asymmetric effects of the exchange rate on inflation.

 Bu çalışma Türkiyede enflasyon hedefleme döneminde 2007 Ocak-2021 Mayıs döviz kurunun enflasyon üzerine etkisini ARDL ve NARDL modelleriyle analiz etmektedir. Doğrusal ARDL modeli, döviz kurundaki artışların enflasyon üzerinde uzun dönemde anlamlı ve önemli artışa neden olduğunu göstermiştir. NARDL modeli sonuçlarında Türkiyede döviz kurunun enflasyon üzerine geçiş etkisinin kısa ve uzun dönemde asimetrik değişim göstermektedir. Döviz kuru geçişkenliğinin ERPT katsayılarının büyüklüklerinin değer kaybı depreciation ve değer kazancı appreciation durumunda farklılaşmaktadır. Uzun dönemde TL karşısında dolar kurunda 1 değer artışının enflasyon üzerinde sırasıyla,  0.71 ve  0.51 artışa, TL karşısında dolar kurundaki azalmanın ise enflasyon üzerinde 0.45 azalışa neden olduğu tahmin edilmiştir. Böylece tüketici fiyatlarının TLdeki değer kaybına TLdeki değerlenmeden daha fazla tepki gösterdiği anlaşılmaktadır. Ayrıca bulgularımız, piyasa gücüne sahip üreticilerin, zayıf rekabetçi piyasa koşullarında kar elde etmek amacıyla asimetrik döviz kuru geçişkenliğini kullanma yönünde spekülatif davranışlar gösterebileceğine işaret etmektedir. Bu nedenle döviz kurunun enflasyon üzerindeki asimetrik etkilerini azaltmak için politika yapıcının merkez bankasına daha fazla bağımsızlık sağlaması, para politikasının güvenilirliğini artırması ve finansal piyasalarda rekabetçi piyasa yapısını güçlendirmesi gerekmektedir.

Makale detayları

EXCHANGE RATE PASS-THROUGH TO CONSUMER PRICES IN TURKEY: EVIDENCE FROM ARDL AND NONLINEAR ARDL APPROACHES

Yazarlar:

Halil Altıntaş

Yayıncı:

Erciyes University

Ana Başlıklar:

Uygulamalı Makro Ekonometri | Zaman Serileri Analizi

Dergi:

Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Issue 67, pp.1-13

Belge Tipi:

Makale

Yayın Tarihi:

4/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001316170

pISSN:

1301-3688

Exchange rate

Inflation

Asymmetry

NARDLDöviz Kuru

Enflasyon

Asimetri

NARDL

Sayı

Makale detayları

Yazarlar: Halil Altıntaş

Yayıncı: Erciyes University

Ana Başlıklar: Uygulamalı Makro Ekonometri | Zaman Serileri Analizi

Dergi: Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Issue 67, pp.1-13

Belge Tipi: Makale

Yayın Tarihi: 4/2024

Belge Dili: Türkçe

Document ID (Org No.): 2001316170

pISSN: 1301-3688

Sayı

Yazarlar:

Halil Altıntaş

Yayıncı:

Erciyes University

Ana Başlıklar:

Uygulamalı Makro Ekonometri | Zaman Serileri Analizi

Dergi:

Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Issue 67, pp.1-13

Belge Tipi:

Makale

Yayın Tarihi:

4/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001316170

pISSN:

1301-3688