Research Article
BibTex RIS Cite

ASYMMETRIC BEHAVIOUR OF EXCHANGE RATE PASS THORUGH IN TURKEY

Year 2017, ICMEB17 Özel Sayısı, 903 - 911, 01.12.2017

Abstract

Exchange rate movements are one of the key determinants of domestic prices in developing countries. In this study, the pass-through of the exchange rate movements to the consumer prices in Turkey during the period of 2002-2017 was examined by Markov regime switching model. According to the basic findings of the nonlinear model, there are two regimes and the pass-through vary considerably depending on the regimes. The exchange rate pass-through rate, which is 3% in the stable regime, is 21% in the unstable regime periods. Nevertheless, the policy of explicit inflation targeting has disinflationary effect in the unstable regime. Nevertheless, the change in foreign prices has powerful effetc on the domestic consumer prices in both regimes

References

  • Arbatlı, E.C. (2003). Exchange rate pass-thorugh in Turkey: Looking for asymmetries. Central Bank Review, 2, 85-124
  • Baharumshah, A. Z., Soon, S.-V., & Wohar, M. E. (2017). Markov-switching analysis of exchange rate pass- through:Perspective from Asian countries. International Review of Economics and Finance,51, 245-257.
  • Barhoumi, K. (2006). Differences in long run exchange rate pass-through into import prices in developing countries: An empirical investigation. Economic Modelling,23(6), 926-951.
  • Ben Cheikh, N., & Louhichi, W. (2006). Revisiting the role of inflation environment in exchange rate pass- through: A panel threshold approach. Economic Modelling, 52(A), 233-238.
  • Ben Cheikh, N. (2012). Asymmetric exchange rate pass-through in the euro area: New evidence from smooth transition models. Economics, 39, 1-28.
  • Berument, H., & Pasaogullari, B. (2003). Effects of the real exchange rate on output. The Developing Economies, XLI(4), 401-35.
  • Bussiere, M. (2007). Exchange rate pass-through to trade prices : The role of non-linearities and asymmetries. European Central Bank Working Paper Series, 822.
  • Bussiere, M., Chiaie, S. D., & Peltonen, T. A. (2014). Exchange rate pass-through in the global economy: The role of emerging market economies. IMF Economic Review, 62(1), 146-178.
  • Caselli, F. G., & Roitman , A. (2016). Non-linear exchange rate pass-through in emerging markets. IMF Working Paper,16-1, 1-38.
  • Campa, J. M., & Goldberg, L. S. (2006). Exchange rate pass-through into ımport prices. The Review of Economics and Statistics,87(4), 679-690.
  • Choudhri, E. U., & Hakura, D. S. (2006). Exchange rate pass-through to domestic prices: Does the inflationary environment matter? Journal of International Money and Finance,25(4), 614-639.
  • Civcir, I., & Akçağlayan, A. (2010). Inflation targeting and the exchange rate: Does it matter in Turkey? Journal of Policy Modeling,32(3), 339-354.
  • Çatık , N.A. & Güçlü, M. (2012).Measuringexchange rate pass-through under structural changes: The case of Turkey.International Journal of Statistics&Economics,8(12), 21-42.
  • Dedeoğlu, D. & Kaya, H. (2015). Model belirsizliği altında enflasyonun döviz kuruna etkisi. Central Bank Review ,15, 79-93.
  • Frankel, J. A., Vegh, C. A., & Vuletin, G. (2013). On graduation from fiscal procyclicality. Journal of Development Economics,100, 32-47.
  • Gagnon, J. E., & Ihrig, J. (2004). Monetary policy and exchange rate pass-through. International Journal of Finance and Economics,9(4), 637-654.
  • Goldberg , L. S., & Campa, J. M. (2010). The sensitivity of the cpi to exchange rates: Distribution margins, imported inputs, and trade exposure. Review of Economics and Statistics,92(2), 392-407.
  • Goldberg, P. K., & Knetter, M. M. (1997). Goods prices and exchange rates: What have we learned? American Economic Association,35(3), 1243-1272.
  • Hamilton, D.J. (1990). Analysis of time series subject to changes in regime. Journal of Econometrics,45(1-2), 39-70.
  • Jimenez-Rodríguez, R., & Morales-Zumaquero, A. (2016). A new look at exchange rate pass-through in the G-7 countries. Journal of Policy Modeling,38(5), 985-1000.
  • Kal, H. H., Aslaner, F., & Aslaner, N. (2015). Sources of asymmetry and nonlinearity in pass-through of exchange rate and import price to consumer price inflation for the Turkish economy during ınflation targeting regime. Central Bank of the Republic of Turkey Working Paper (15/30).
  • Kara , H., & Öğünç, F. (2008). Inflation targeting and exchange rate pass through: the Turkish experience. Emerging Markets Finance and Trade,44(6), 52-66.
  • Kara, H., & Öğünç, F. (2012). Döviz kuru ve ithalat fiyatlarının yurtiçi fiyatlara etkisi. İktisat, İşletme ve Finans,317, 09-28.
  • Khemiri, R., & Ben Ali, M. (2013). Exchange rate pass-through and inflation dynamics in Tunisia: A markov- switching approach. Economics, (43), 1-30.
  • Kılıc, R. (2016). Regime-dependent exchange-rate pass-through to import prices. International Review of Economics & Finance,41, 295-308.
  • Krolzig, H.-M. (1998). Econometric modelling of Markov-switching vector autoregressions using. Discussion Paper, Department of Economics, University of Oxford: :http://www.economics.ox.ac.uk/hendry/krolzig
  • Leigh, D., & Rossi, M. (2002). Exchange rate pass-through in Turkey. IMF Working Paper , 1-18.
  • Marodina, F. A., & Portugal, M. S. (2015). Exchange rate pass-through in Brazil: A markov switching DSGE estimation for the inflation targeting period (2000-2015). PPGE/UFRGS Working Paper.
  • Mishkin, F. S. (2000). Inflation targeting in emerging market countries. NBER Working Paper,7618, 1-14.
  • Nogueira, R. P., & León-Ledesma, M. A. (2011). Does exchange rate pass-through respond to measures of macroeconomic instability? Journal of Applied Economics,14(1), 167-180.
  • Olivei, G. P. (2002). Exchange rates and the prices of manufacturing products imported into the United States. New England Economic Review,(1st Q), 3-18.
  • Ozkan, İ., & Erden, L. (2015). Time-varying nature and macroeconomic determinants of exchange rate pass- through. International Review of Economics and Finance, (38), 56-66.
  • Ponomarev T., & Ulyukaev, A. (2016). Exchange rate pass-through in Russia. Problems of Economic Transition, 54-72.
  • Sekine, T. (2006). Time-varying exchange rate pass-through: Experiences of some industrial countries . Bank for International Settlements Working Paper.
  • Şen Doğan, B. (2013). Asymmetric behavior of the exchange rate pass-through to manufacturing prices in Turkey. Emerging Markets Finance and Trade,49(3), 35-47.
  • Toraganlı, N. (2010). Exchange rate pass-through and exposure in the Turkish Economy. Central Bank Review,1, 47-69.
  • Yüncüler, Ç. (2011). Pass-through of external factors into price indicators in Turkey. Central Bank Review,11(2), 71-84.

TÜRKİYE’DE DÖVİZ KURU GEÇİŞKENLİĞİNİN ASİMETRİK DAVRANIŞI

Year 2017, ICMEB17 Özel Sayısı, 903 - 911, 01.12.2017

Abstract

Döviz kuru hareketleri gelişmekte olan ülkelerde yurtiçi fiyatların önemli belirleyicilerinden biridir. Bu çalışmada 2002 -2017 döneminde Türkiye’de döviz kuru hareketlerinin tüketici fiyatlarına geçişi Markov Rejim değişikliği yöntemiyle incelenmiştir. Doğrusal olmayan modelin temel bulgularına göre iki rejim bulunmaktadır ve döviz kuru geçişkenliği rejimlere bağlı olarak önemli ölçüde değişim göstermektedir. İstikrarlı rejimde %3 olan döviz kuru geçişkenliği, istikrarsız rejim dönemlerinde %21 düzeyindedir. Bununla birlikte, açık enflasyon hedeflemesi politikası istikrarsız rejimde enflasyonu baskılayıcı etkiye sahiptir. Bununla birlikte yurtdışı fiyatlarda meydana gelen değişiklik her iki rejimde de yurtiçi tüketici fiyatları üzerinde güçlü etkiye sahiptir

References

  • Arbatlı, E.C. (2003). Exchange rate pass-thorugh in Turkey: Looking for asymmetries. Central Bank Review, 2, 85-124
  • Baharumshah, A. Z., Soon, S.-V., & Wohar, M. E. (2017). Markov-switching analysis of exchange rate pass- through:Perspective from Asian countries. International Review of Economics and Finance,51, 245-257.
  • Barhoumi, K. (2006). Differences in long run exchange rate pass-through into import prices in developing countries: An empirical investigation. Economic Modelling,23(6), 926-951.
  • Ben Cheikh, N., & Louhichi, W. (2006). Revisiting the role of inflation environment in exchange rate pass- through: A panel threshold approach. Economic Modelling, 52(A), 233-238.
  • Ben Cheikh, N. (2012). Asymmetric exchange rate pass-through in the euro area: New evidence from smooth transition models. Economics, 39, 1-28.
  • Berument, H., & Pasaogullari, B. (2003). Effects of the real exchange rate on output. The Developing Economies, XLI(4), 401-35.
  • Bussiere, M. (2007). Exchange rate pass-through to trade prices : The role of non-linearities and asymmetries. European Central Bank Working Paper Series, 822.
  • Bussiere, M., Chiaie, S. D., & Peltonen, T. A. (2014). Exchange rate pass-through in the global economy: The role of emerging market economies. IMF Economic Review, 62(1), 146-178.
  • Caselli, F. G., & Roitman , A. (2016). Non-linear exchange rate pass-through in emerging markets. IMF Working Paper,16-1, 1-38.
  • Campa, J. M., & Goldberg, L. S. (2006). Exchange rate pass-through into ımport prices. The Review of Economics and Statistics,87(4), 679-690.
  • Choudhri, E. U., & Hakura, D. S. (2006). Exchange rate pass-through to domestic prices: Does the inflationary environment matter? Journal of International Money and Finance,25(4), 614-639.
  • Civcir, I., & Akçağlayan, A. (2010). Inflation targeting and the exchange rate: Does it matter in Turkey? Journal of Policy Modeling,32(3), 339-354.
  • Çatık , N.A. & Güçlü, M. (2012).Measuringexchange rate pass-through under structural changes: The case of Turkey.International Journal of Statistics&Economics,8(12), 21-42.
  • Dedeoğlu, D. & Kaya, H. (2015). Model belirsizliği altında enflasyonun döviz kuruna etkisi. Central Bank Review ,15, 79-93.
  • Frankel, J. A., Vegh, C. A., & Vuletin, G. (2013). On graduation from fiscal procyclicality. Journal of Development Economics,100, 32-47.
  • Gagnon, J. E., & Ihrig, J. (2004). Monetary policy and exchange rate pass-through. International Journal of Finance and Economics,9(4), 637-654.
  • Goldberg , L. S., & Campa, J. M. (2010). The sensitivity of the cpi to exchange rates: Distribution margins, imported inputs, and trade exposure. Review of Economics and Statistics,92(2), 392-407.
  • Goldberg, P. K., & Knetter, M. M. (1997). Goods prices and exchange rates: What have we learned? American Economic Association,35(3), 1243-1272.
  • Hamilton, D.J. (1990). Analysis of time series subject to changes in regime. Journal of Econometrics,45(1-2), 39-70.
  • Jimenez-Rodríguez, R., & Morales-Zumaquero, A. (2016). A new look at exchange rate pass-through in the G-7 countries. Journal of Policy Modeling,38(5), 985-1000.
  • Kal, H. H., Aslaner, F., & Aslaner, N. (2015). Sources of asymmetry and nonlinearity in pass-through of exchange rate and import price to consumer price inflation for the Turkish economy during ınflation targeting regime. Central Bank of the Republic of Turkey Working Paper (15/30).
  • Kara , H., & Öğünç, F. (2008). Inflation targeting and exchange rate pass through: the Turkish experience. Emerging Markets Finance and Trade,44(6), 52-66.
  • Kara, H., & Öğünç, F. (2012). Döviz kuru ve ithalat fiyatlarının yurtiçi fiyatlara etkisi. İktisat, İşletme ve Finans,317, 09-28.
  • Khemiri, R., & Ben Ali, M. (2013). Exchange rate pass-through and inflation dynamics in Tunisia: A markov- switching approach. Economics, (43), 1-30.
  • Kılıc, R. (2016). Regime-dependent exchange-rate pass-through to import prices. International Review of Economics & Finance,41, 295-308.
  • Krolzig, H.-M. (1998). Econometric modelling of Markov-switching vector autoregressions using. Discussion Paper, Department of Economics, University of Oxford: :http://www.economics.ox.ac.uk/hendry/krolzig
  • Leigh, D., & Rossi, M. (2002). Exchange rate pass-through in Turkey. IMF Working Paper , 1-18.
  • Marodina, F. A., & Portugal, M. S. (2015). Exchange rate pass-through in Brazil: A markov switching DSGE estimation for the inflation targeting period (2000-2015). PPGE/UFRGS Working Paper.
  • Mishkin, F. S. (2000). Inflation targeting in emerging market countries. NBER Working Paper,7618, 1-14.
  • Nogueira, R. P., & León-Ledesma, M. A. (2011). Does exchange rate pass-through respond to measures of macroeconomic instability? Journal of Applied Economics,14(1), 167-180.
  • Olivei, G. P. (2002). Exchange rates and the prices of manufacturing products imported into the United States. New England Economic Review,(1st Q), 3-18.
  • Ozkan, İ., & Erden, L. (2015). Time-varying nature and macroeconomic determinants of exchange rate pass- through. International Review of Economics and Finance, (38), 56-66.
  • Ponomarev T., & Ulyukaev, A. (2016). Exchange rate pass-through in Russia. Problems of Economic Transition, 54-72.
  • Sekine, T. (2006). Time-varying exchange rate pass-through: Experiences of some industrial countries . Bank for International Settlements Working Paper.
  • Şen Doğan, B. (2013). Asymmetric behavior of the exchange rate pass-through to manufacturing prices in Turkey. Emerging Markets Finance and Trade,49(3), 35-47.
  • Toraganlı, N. (2010). Exchange rate pass-through and exposure in the Turkish Economy. Central Bank Review,1, 47-69.
  • Yüncüler, Ç. (2011). Pass-through of external factors into price indicators in Turkey. Central Bank Review,11(2), 71-84.
There are 37 citations in total.

Details

Primary Language Turkish
Subjects Economics
Journal Section Research Article
Authors

Uğur Akkoç

Emir Yücel This is me

Publication Date December 1, 2017
Submission Date October 17, 2017
Published in Issue Year 2017 ICMEB17 Özel Sayısı

Cite

APA Akkoç, U., & Yücel, E. (2017). TÜRKİYE’DE DÖVİZ KURU GEÇİŞKENLİĞİNİN ASİMETRİK DAVRANIŞI. Uluslararası Yönetim İktisat Ve İşletme Dergisi, 13(13), 903-911.