Asymmetric Exchange Rate Pass-Through into Inflation in Turkey: A NARDL Approach
Yıl: 2021 Cilt: 5 Sayı: 3 Sayfa Aralığı: 845 - 861 Metin Dili: İngilizce DOI: 10.25295/fsecon.925369 İndeks Tarihi: 29-07-2022
Asymmetric Exchange Rate Pass-Through into Inflation in Turkey: A NARDL Approach
Öz: Inflation expectation resulting from the exchange rate increases is one of the widely
discussed topics in the literature. When determining the disinflation policies, it is crucial
to consider the size and duration of the exchange rate pass-through effect on inflation.
The literature findings show that the high level of rises in the exchange rate pass-through
much faster on inflation, especially in dollarized economies with high inflation inertia. On
the other hand, it has been revealed that the relationship between exchange rate inflation
is asymmetrical. The Turkish economy, which struggles with chronicle higher inflation, has
experienced an exchange rate crisis in 2018. Therefore, to analyse the effect of exchange
rate on inflation in Turkey is very important for the effectiveness of the fight against
inflation and developing a policy proposal in this direction. This study examined the
asymmetric relationships between exchange rate and inflation using a nonlinear
autoregressive distributed lag model for 2004:Q1–2019:Q4. Findings indicate that the
exchange rate pass-through into inflation is asymmetric in Turkey in the long run. 1%
increase in the exchange rate increases the annual inflation by 0.11% in the long run,
whereas a 1% decrease in the exchange rate decreases inflation by 0.28%. Besides, a
decrease in the exchange rate has no statistically significant effect on inflation, but an
increase also increases inflation in the short run.
Anahtar Kelime: Türkiye'de Döviz Kurunun Enflasyona Asimetrik Geçişi: Bir NARDL Yaklaşımı
Öz: Döviz kuru artışlarından kaynaklanan enflasyon beklentisi literatürde oldukça yaygın tartışma
konularından birisidir. Dezenflasyon politikalarının belirlenmesinde döviz kurunun enflasyona
geçiş etkisinin büyüklüğü ve süresinin dikkate alınması önem arz etmektedir. Literatür
bulguları özellikle enflasyon ataletinin yüksek olduğu dolarize olmuş ekonomilerde, yüksek
döviz kuru geçişkenliğinin enflasyonu daha hızlı etkilediğini göstermektedir. Diğer yandan,
döviz kuru enflasyon arasındaki ilişkinin asimetrik olduğu ortaya konulmuştur. Kronik yüksek
enflasyonla mücadele eden Türkiye ekonomisi, 2018 yılında döviz kuru krizi yaşamıştır. Bu
nedenle, Türkiye'de döviz kurunun enflasyon üzerindeki etkisinin incelenmesi, enflasyonla
mücadelenin etkinliği ve bu yönde bir politika önerisi geliştirilmesi açısından büyük önem
taşımaktadır. Bu çalışma, döviz kuru ile enflasyon arasındaki asimetrik ilişkileri, 2004:Q1–
2019:Q4 dönemi için doğrusal olmayan otoregresif dağıtılmış gecikme modeli kullanarak
incelemektedir. Bulgular, Türkiye'de döviz kuru geçişkenliğinin uzun vadede asimetrik
olduğunu göstermektedir. Döviz kurundaki %1'lik artış uzun dönemde yıllık enflasyonu %0,11
artırırken, döviz kurundaki %1'lik düşüş enflasyonu %0,28 oranında azaltmaktadır. Ayrıca,
döviz kurundaki düşüşün enflasyon üzerinde istatistiksel olarak anlamlı bir etkisi olmamakla
birlikte, kısa vadede döviz kurundaki artış enflasyonu artırmaktadır.
Anahtar Kelime: Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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| APA | Karaoğlu N, demirel b (2021). Asymmetric Exchange Rate Pass-Through into Inflation in Turkey: A NARDL Approach. , 845 - 861. 10.25295/fsecon.925369 |
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| ISNAD | Karaoğlu, Nazlı - demirel, baki. "Asymmetric Exchange Rate Pass-Through into Inflation in Turkey: A NARDL Approach". (2021), 845-861. https://doi.org/10.25295/fsecon.925369 |
| APA | Karaoğlu N, demirel b (2021). Asymmetric Exchange Rate Pass-Through into Inflation in Turkey: A NARDL Approach. Fiscaoeconomia, 5(3), 845 - 861. 10.25295/fsecon.925369 |
| Chicago | Karaoğlu Nazlı,demirel baki Asymmetric Exchange Rate Pass-Through into Inflation in Turkey: A NARDL Approach. Fiscaoeconomia 5, no.3 (2021): 845 - 861. 10.25295/fsecon.925369 |
| MLA | Karaoğlu Nazlı,demirel baki Asymmetric Exchange Rate Pass-Through into Inflation in Turkey: A NARDL Approach. Fiscaoeconomia, vol.5, no.3, 2021, ss.845 - 861. 10.25295/fsecon.925369 |
| AMA | Karaoğlu N,demirel b Asymmetric Exchange Rate Pass-Through into Inflation in Turkey: A NARDL Approach. Fiscaoeconomia. 2021; 5(3): 845 - 861. 10.25295/fsecon.925369 |
| Vancouver | Karaoğlu N,demirel b Asymmetric Exchange Rate Pass-Through into Inflation in Turkey: A NARDL Approach. Fiscaoeconomia. 2021; 5(3): 845 - 861. 10.25295/fsecon.925369 |
| IEEE | Karaoğlu N,demirel b "Asymmetric Exchange Rate Pass-Through into Inflation in Turkey: A NARDL Approach." Fiscaoeconomia, 5, ss.845 - 861, 2021. 10.25295/fsecon.925369 |
| ISNAD | Karaoğlu, Nazlı - demirel, baki. "Asymmetric Exchange Rate Pass-Through into Inflation in Turkey: A NARDL Approach". Fiscaoeconomia 5/3 (2021), 845-861. https://doi.org/10.25295/fsecon.925369 |
