An Empiric Analysis on the Relationship between Exchange Rates and Inflation in Fragile Five Countries

Orhan, Ayhan; EMIKONEL, MURAT

An Empiric Analysis on the Relationship between Exchange Rates and Inflation in Fragile Five Countries

Murat EMİKÖNEL, (Kocaeli Üniversitesi, Kocaeli, Türkiye)

Ayhan ORHAN (Kocaeli Üniversitesi, Kocaeli, Türkiye)

Journal of Yasar University

3 0

Yıl: 2023 Cilt: 18 Sayı: 70 Sayfa Aralığı: 237 - 251 Metin Dili: İngilizce İndeks Tarihi: 21-08-2023

An Empiric Analysis on the Relationship between Exchange Rates and Inflation in Fragile Five Countries

Öz:

The exchange rate, which is defined as the value of one unit of foreign currency against the national currency or the value of one unit of national currency against foreign currency, has an impact on the inflation of countries that depend on foreign inputs in their domestic production, especially since it interacts with foreign trade. As a result of the fragilities created by the policies implemented in the country or external shocks, the five countries that lost the most value against the US dollar among the currencies of the developing countries were defined as the Fragile Five by Morgan Stanley. In this context, in this study, it is aimed to determine the long-term and short-term relationship (the existence of cointegration) between the exchange rate and inflation with the monthly data of the 1990:M1-2020:M12 period obtained from the IMF online database for the countries defined as the Fragile Five. After determining the existence of cointegration, ARDL test was applied to determine the effect of exchange rate on inflation. The findings show that there is cointegration between the exchange rate and the inflation rate in the countries included in the study. In addition, it has been determined that the exchange rate has no significant effect on inflation in the long run for Brazil, Türkiye and India, while it has significant effect on in Indonesia and South Africa.

Anahtar Kelime: Exchange Rate Inflation Fragile Five ARDL Bounds Test

Kırılgan Beşli Ülkelerinde Döviz Kuru ve Enflasyon Arasındaki İlişki Üzerine Ampirik Bir Analiz

Öz:

Bir birim yabancı para biriminin ulusal para birimi karşısındaki değeri ya da bir birim ulusal para biriminin yabancı para karşısındaki değeri olarak tanımlanan döviz kuru, dış ticaret ile etkileşim halinde olması sebebiyle özellikle yurtiçi üretiminde dış girdiye bağlı olan ülkelerin enflasyonu üzerinde etkili olmaktadır. Ülke içinde uygulanan politikalar veya dışsal şokların oluşturduğu kırılganlıklar sonucunda gelişmekte olan ülke para birimlerinden ABD doları karşısında en çok değer kaybeden beş ülke Morgan Stanley tarafından Kırılgan Beşli olarak tanımlanmıştır. Bu bağlamda bu çalışmada Kırılgan Beşli olarak tanımlanan ülkeler için IMF çevrimiçi veri tabanından temin edilen 1990:M1-2020:M12 dönemine ait aylık verilerle döviz kuru ile enflasyon arasındaki uzun ve kısa dönemli ilişkinin (eşbütünleşmenin varlığının) araştırılması amaçlanmaktadır. Eşbütünleşmenin varlığı tespit edildikten sonra döviz kurunun enflasyon üzerindeki etkisini belirlemek için ARDL testi uygulanmıştır. Elde edilen bulgular, çalışmaya dahil edilen ülkelerde döviz kuru ile enflasyon oranı arasında eşbütünleşme olduğunu göstermektedir. Ayrıca, uzun vadede Brezilya, Türkiye ve Hindistan için döviz kurunun enflasyon üzerinde etkili olmadığı, Endonezya ve Güney Afrika'da ise etkili olduğu belirlenmiştir.

Anahtar Kelime: Döviz Kuru Enflasyon Kırılgan Beşli ARDL Sınır Testi

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık

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APA	EMIKONEL M, Orhan A (2023). An Empiric Analysis on the Relationship between Exchange Rates and Inflation in Fragile Five Countries. , 237 - 251.
Chicago	EMIKONEL MURAT,Orhan Ayhan An Empiric Analysis on the Relationship between Exchange Rates and Inflation in Fragile Five Countries. (2023): 237 - 251.
MLA	EMIKONEL MURAT,Orhan Ayhan An Empiric Analysis on the Relationship between Exchange Rates and Inflation in Fragile Five Countries. , 2023, ss.237 - 251.
AMA	EMIKONEL M,Orhan A An Empiric Analysis on the Relationship between Exchange Rates and Inflation in Fragile Five Countries. . 2023; 237 - 251.
Vancouver	EMIKONEL M,Orhan A An Empiric Analysis on the Relationship between Exchange Rates and Inflation in Fragile Five Countries. . 2023; 237 - 251.
IEEE	EMIKONEL M,Orhan A "An Empiric Analysis on the Relationship between Exchange Rates and Inflation in Fragile Five Countries." , ss.237 - 251, 2023.
ISNAD	EMIKONEL, MURAT - Orhan, Ayhan. "An Empiric Analysis on the Relationship between Exchange Rates and Inflation in Fragile Five Countries". (2023), 237-251.

APA	EMIKONEL M, Orhan A (2023). An Empiric Analysis on the Relationship between Exchange Rates and Inflation in Fragile Five Countries. Journal of Yasar University, 18(70), 237 - 251.
Chicago	EMIKONEL MURAT,Orhan Ayhan An Empiric Analysis on the Relationship between Exchange Rates and Inflation in Fragile Five Countries. Journal of Yasar University 18, no.70 (2023): 237 - 251.
MLA	EMIKONEL MURAT,Orhan Ayhan An Empiric Analysis on the Relationship between Exchange Rates and Inflation in Fragile Five Countries. Journal of Yasar University, vol.18, no.70, 2023, ss.237 - 251.
AMA	EMIKONEL M,Orhan A An Empiric Analysis on the Relationship between Exchange Rates and Inflation in Fragile Five Countries. Journal of Yasar University. 2023; 18(70): 237 - 251.
Vancouver	EMIKONEL M,Orhan A An Empiric Analysis on the Relationship between Exchange Rates and Inflation in Fragile Five Countries. Journal of Yasar University. 2023; 18(70): 237 - 251.
IEEE	EMIKONEL M,Orhan A "An Empiric Analysis on the Relationship between Exchange Rates and Inflation in Fragile Five Countries." Journal of Yasar University, 18, ss.237 - 251, 2023.
ISNAD	EMIKONEL, MURAT - Orhan, Ayhan. "An Empiric Analysis on the Relationship between Exchange Rates and Inflation in Fragile Five Countries". Journal of Yasar University 18/70 (2023), 237-251.