İbrahim Ethem GÜNEY, Abdullah KAZDAL, Muhammed Hasan YILMAZ

THE ROLE OF DOLLARIZATION ON EXCHANGE RATE PASS-THROUGH IN EMERGING MARKETS: EVIDENCE FROM PANEL VAR MODEL

Exchange rate dynamics have been significant determinant of inflation movements in emerging markets regarding the exchange rate pass-through (ERPT). However, recent observations and empirical findings point out the argument that there appears to be decoupling between inflation tendencies and exchange rate changes in the post-crisis period. Our proposition is that abovementioned decoupling might be due to the heterogeneity in dollarization levels. Hence, in this paper, we aim to assess the role of dollarization on ERPT for 14 emerging countries for the period of 2010-2018. Our methodology utilizes panel vector autoregression (panel VAR) model, Granger causality tests and forecast error variance decomposition analysis to investigate the relation between exchange rate and consumer price inflation. The findings under different empirical strategies show that depreciation shocks coming to exchange rate have created statistically and economically significant responses in inflation for high dollarization countries, whereas the responses are insignificant when dollarization tendencies are low. Our findings emphasize that policymakers in emerging countries would be more advantageous in achieving price stability by abating the dollarization levels in the economy.

GELİŞMEKTE OLAN ÜLKELERDEK KUR GEÇİŞKENLİĞİNDE DOLARİZASYONUN ROLÜ: PANEL VEKTÖR ÖZBAĞLANIM MODELİYLE BULGULAR

Enflasyondaki kur geçiĢkenliği geliĢmekte olan ülkelerdeki fiyat hareketlerinin önemli belirleyicilerin-den birisidir. Öte yandan, daha yakın zamandaki bulgular küresel finansal kriz sonrası dönemde enflas-yon eğilimi ile kur değiĢimleri arasındaki iliĢkinin zayıfladığına iĢaret etmektedir. Bu bağlamda, 2010-2018 dönemi için gerçekleĢtirilen bu çalıĢmada 14 geliĢmekte olan ülkeden oluĢan bir örneklem için dolarizasyonun enflasyondaki kur geçiĢkenliği üzerindeki etkisi analiz edilmektedir. Döviz kuru ve tü-ketici enflasyonu arasındaki iliĢki panel vektör özbağlanım modeli, Granger nedensellik testi ve öngörü hata varyans ayrıĢtırması kullanılarak araĢtırılmaktadır. Farklı ampirik spesifikasyonlara ait bulgular, kurda değer kaybı yönünde yaĢanan Ģokların yüksek dolarizasyona sahip ülkelerde enflasyon üzerinde ekonomik ve istatistiksel olarak anlamlı tepki oluĢturduğunu göstermektedir. Diğer yandan, düĢük dolarizasyona sahip ülke grubunda tepkiler anlamlı bulunmamaktadır. Sonuçlar dolarizasyonu azaltacak adımların, fiyat istikrarına ulaĢmak noktasında geliĢmekte olan ülkelerdeki politika yapıcılar için faydalı olduğuna iĢaret etmektedir.

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