TÜRKİYE’DE DÖVİZ KURUNDAN FİYATLARA GEÇİŞKENLİK ETKİSİ: HATEMİ-J ASİMETRİK NEDENSELLİK TESTİ

Küreselleşme ile birlikte, ülkeler arasındaki ticari engellerin ortadan kalkması sonucunda, döviz kurlarında meydana gelen değişimler ulusal ekonomiler üzerindeki etkisini daha da arttırmıştır. Döviz kurlarındaki dalgalanmaların, ulusal ekonomiler üzerindeki etkilerinden bir tanesi de enflasyon üzerinde görülmektedir. Literatürde, döviz kurundan fiyatlara geçişkenlik etkisinin belirlenmesine yönelik çok sayıda ampirik çalışma bulunmaktadır. Sözkonusu çalışmalar, kullandıkları nedensellik testleri kapsamında, değişkenlerde meydana gelen pozitif ve negatif şok etkilerinin aynı olduğunu kabul etmektedir. Bu çalışmayı literatürdeki diğer nedensellik çalışmalardan ayıran fark, değişkenlerde meydana gelen pozitif ve negatif şokları birbirinden ayırarak, sözkonusu şoklar arasındaki nedenselliğin incelenmiş olmasıdır. Mevcut çalışmada, Türkiye’de döviz kurundan fiyatlara geçişkenlik etkisi Hatemi-J (2012) asimetrik nedensellik testi yardımıyla incelenmiş olup, test sonucunda; %5 anlamlılık seviyesinde, pozitif USD bileşeninden pozitif TÜFE bileşenine doğru, pozitif EURO bileşeninden pozitif TÜFE bileşenine doğru ve ayrıca pozitif EURO bileşeninden pozitif USD bileşenine tek yönlü asimetrik nedensellik ilişkileri tespit edilmiştir. Ayrıca, Hatemi-J asimetrik nedensellik testinden elde edilen sonuçlarla karşılaştırma yapmak amacıyla, Toda-Yamamoto nedensellik testi de kullanılmıştır. Toda-Yamamoto nedensellik testinden elde edilen bulgulara göre, Türkiye’de döviz kurundan fiyatlara geçişkenlik etkisinin olmadığı tespit edilmiştir.

EXCHANGE RATE PASS-THROUGH IN TURKEY: HATEMİ-J ASYMMETRIC CAUSALITY TEST

Along with globalization, as trade barriers among countries have been removed, changes in exchange rates have further increased the impact on the domestic economies. One of the effects of movements in exchange rates appears in inflation rate.  In the literature, there are many empirical studies which have investigated the pass-through effects of the exchange rate on domestic prices. The causality tests used within the scope of the studies assume that the effects of the positive and negative shocks occurring in the variables are the same. The difference distinguishing this study from the other in the literature is that the current study investigates the possible causality among the shocks by separating the positive and negative shocks of the given variable.  In this study, Hatemi-J (2012) asymmetric causality test was used to investigate the exchange rate pass-through effect on the general price level in Turkey. At the end of the test; at the 5% significance level, a one-way asymmetric causality relationship was found between the positive USD component and the positive CPI component, the positive EURO component and the positive CPI component and also the positive EURO component and the positive USD component. Moreover, Toda-Yamamoto causality test has been utilized in order to compare with the results from Hatemi-J asymmetric causality test. According to findings of Toda-Yamamoto causality test, there is no exchange rate pass-through to prices effect in Turkey.

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