Türkiye’de Döviz Kurunun Tüketici Fiyatları Üzerindeki Asimetrik Geçiş Etkileri

Çalışmada, Türkiye’de 2003:01-2018:02 dönemine ilişkin aylık nominal döviz kuru ve tüketici fiyatları arasındaki ilişkiyi incelemektedir. Doğrusal Olmayan Sınır Testi yaklaşımı (NARDL) sonuçlarına göre; TÜFE uzun vadede pozitif ve negatif kur sepeti ile birlikte hareket etmektedir. Ayrıca, ülkemizde TL’nin %1’lik değer kaybı tüketici fiyatlarına %0,24’lik bir artış olarak yansırken, aynı oranda TL’de bir değerlenme ise %0,17’lik artışa neden olmaktadır. Dolayısıyla araştırılan dönemde döviz sepetinin değer kazanmasının tüketici fiyatlarında yarattığı artış, döviz sepetinin aynı oranda değer kaybetmesi halinde yarattığı azalış miktarından daha fazla olmaktadır .

Anahtar Kelimeler:

Döviz Kuru Geçiş Etkisi (ERPT), Tüketici Fiyatları, Asimetrik, Nedensellik, Doğrusal Olmayan ARDL (NARDL)

Asymmetric Transition Effects of the Exchange Rate on Consumer Prices in Turkey

This study examines the relationship between nominal exchange rates and consumer price index (CPI) in Turkey for the period 2003:01- 2018:02 by using monthly data. According to the results of bound testing to cointegration under NARDL approach, CPI is found to be correlated with positive and negative exchange rate baskets in the long run. Moreover, a 1% of depreciation and appreciation in TL results in 0.24% and 0.17% increase in CPI, respectively. Therefore, the amount of increase in CPI due to rising exchange rates is greater than that of an increase due to falling exchange rates in the period studied.

Keywords:

Exchange Rate Pass Through Effect, Consumer Prices, Asymetric Causality, Non-linear ARDL (NARDL),

PDF

___

Aghayev, S. (2011), “Azerbaycan’da Fiyatlar Genel Düzeyi ve Döviz Kuru İlişkisi”, H.Ü. İktisadi ve İdari Bilimler Fakültesi Dergisi, 29(1), 1-19.
Akkoç, U. & M.E. Yücel (2017), “Türkiye’de Döviz Kuru Geçişkenliğinin Asimetrik Davranışı”, Uluslararası Yönetim İktisat ve İşletme Dergisi, ICMEB17 Özel Sayısı, 903-11.
Alper, K. (2003), “Exchange Rate Pass-Through to Domestic Prices in Turkish Economy, Unpublished Master’s Thesis, Orta Doğu Teknik Üniversitesi, Ankara.
Arbatlı, E.C. (2003), “Exchange Rate Pass-Through in Turkey: Looking for Asymmetries”, Central Bank of Repuclic of Turkey Review, 2, 85-124.
Arslaner, F. & D. Karaman & N. Arslaner & S.H. Kal (2014), “The Relationship between Inflation Targeting and Exchange Rate Pass-Through in Turkey with A Model Averaging Approach”, CBRT Working Paper, 14/16, 1-54.
Azgün, S. (2013), “Türkiye’de Döviz Kuru Hareketlerinin İç Fiyatlara (İthalat, ÜFE, TÜFE) Geçişi ”, Sosyoekonomi, 20(20), 93-106.
Bai, J. & P. Perron (2003), “Computation and Analysis of Multiple Structural Change Models”, Journal of Applied Econometrics, (18), 1-22.
Bayat, T. & B. Özcan & Ş. Taş (2015), “Türkiye’de Döviz Kuru Geçiş Etkisinin Asimetrik Nedensellik Testleri ile Analizi”, Eskişehir Osmangazi Üniversitesi İİBF, 10(2), 7-30.
Beaulieu, J.J. & J.A. Miron (1992), “Seasonal unit Roots in Aggregate U.S. Data”, National Bureau of Economic Research, Technical Paper, 126.
Bozdağlıoğlu, E.Y. & M. Yılmaz (2017), “Türkiye’de Enflasyon ve Döviz Kuru İlişkisi: 1994-2014 Yılları Arası Bir İnceleme”, Bitlis Eren Üniversitesi İktisadi ve İdari Bilimler Fakültesi Akademik İzdüşüm Dergisi, 2(3), 1-20.
Ca’Zorzi, M. & E. Hahn & M. Sanchez, (2007), “Exchange Rate Pass-Through in Emerging Markets”, ECB Working Paper Series, 739, 1-31.
Çiçek, S. & Ç. Boz, (2013), “Küçük ve Dışa Açık Bir Ekonomide Döviz Kuru Geçişkenliğine İlişkin Yeni Bir Test: Asimetrik ARDL Sınır Yaklaşımı Üzerinden Bir Değerlendirme”, İktisat, İşletme ve Finans Dergisi, 28(333), 43-64.
Darrat, A.F. & M.C. Chopin & R.N. Dickens (2001), “The Dollar and U.S. Inflation: Some Evidence from A VECM Process”, The American Economist, 45(2), 3-12.
Delatte, A.L. & A. López-Villavicencio (2012), “Asymmetric Exchange Rate Pass-Through: Evidence from Major Countries”, J Macroeconomics, 34, 833-44.
Devereux, M.B. & J. Yetman (2002), “Price Setting and Exchange Rate Pass-Through: Theory and Evidence”, HKIMR Working Paper, 22, 1-22.
Dickey, D.A. & W.A. Fuller (1981), “Likelihood Ratio Statistics for AutoregressiveTime Series with a Unit Root”, Econometrica, 49(4), 1057-1072.
Dinççağ, A. (2009), “Exchange Rate Pass-Through to Domestic Prices in Turkey: Asymmetric Cointegration Analysis”, Unpublished Master’s Thesis, Bilkent Üniversitesi, Ankara.
Dolores, R.M. (2009), “Exchange Rate Pass-Through in Central and East European Countries”, Eastern European Economics, 47(4), 42-61.
Granger, C.W.J. & G. Yoon (2002), “Hidden Cointegration”, University of California, Working Paper, 02, 3-48.
Gül, E. & A. Ekinci (2006), “Türkiye’de Enflasyon ve Döviz Kuru Arasındaki Nedensellik İlişkisi: 1984-2003”, Sosyal Bilimler Dergisi, 1, 91-106.
Gümrah, Ü. & F. Konur (2017), “Asimetrik Döviz Kuru Geçişkenliği: Türkiye Örneği”, Siyaset, Ekonomi ve Yönetim Araştırmaları Dergisi, 5(4), 81-90.
Gündüz, Ç. (2016), 2015 Yılında Türkiye Ekonomisi Türkiye İhracatçılar Meclisi Orta Vadeli Notlar, , 01.05.2019.
Güven, E.T.A. & D. Uysal (2013), “Türkiye’de Döviz Kurlarındaki Değişme ile Enflasyon Arasındaki İlişki (1983-2012)”, Akademik Araştırmalar ve Çalışmalar Dergisi, 5(9), 141-156.
Hacker, R.S. & A. Hatemi-J (2006), “Tests For Causality Between Integrated Variables Using Asymptotic and Bootstrap Distributions: Theory and Application”, Applied Economics, 38(13), 1489-1500.
Hatemi-J, A. (2012), “Asymmetric Causality Tests With an Application”, Empirical Economics, 43(1), 447-456.
Helali, K. & M. Kalai & T. Boujelben (2014), “Exchange Rate Pass-Through to Domestic Prices in Tunisia: A Short and Long Run Analysis”, MPRA Paper, 62204, 1-12.
Hooper, P. & B.R. Lowery (1979), “Impact of the Dollar Depreciation on the U.S. Price Level: An Analytical Survey of Empirical Estimates”, Board of Governors of the Federal Reserve System Staff Study, 103.
Hsiao, C. (1981), “Autoregressive Modelling and Money-Income Causality Detection”, Journal of Monetary Economics, 7(1), 85-106.
Hylleberg, S. & R.F. Engle & C.W.J. Granger & B.S. Yoo (1990), “Seasonal Integration and Cointegration”, Journal of Econometrics, 44, 215-238.
Işık, N. & M. Acar & H. Işık (2004), “Enflasyon ve Döviz Kuru İlişkisi: Bir Eşbütünleşme Analizi”, Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi, 9(2), 325-340.
Ito, T. & K. Sato (2006), “Exchange Rate Changes and Inflation in Post-Crisis Asian Economies: Vector Autoregression Analysis of the Exchange Rate Pass-Through”, NBER Working Paper, 395, 1-49.
Kal S.H. & F. Arslaner & N. Arslaner (2015), “Sources of Asymmetry and Non-linearity in PassThrough of Exchange Rate and Import Price to Consumer Price Inflation forthe Turkish Economy during Inflation Targeting Regime”, CBRT Working Paper, 15/30, 1-26.
Kara, H. & F. Öğünç (2005), “Exchange Rate Pass-Through in Turkey: It is Slow, But Is It Really Low?”, CBRT Research Department Working Paper, 5/10.
Kara, H. & H. Küçük & Ü. Özlale & B. Tuğer & D. Yavuz & E. Yücel (2005), “Exchange Rate Pass-Through in Turkey: Has It Changed and to What Extent”, Türkiye Cumhuriyet Merkez Bankası Araştırma Tebliği, No: 4.
Karagöz, M. & B. Demirel & E.G. Bozdağ (2016), “Pass-through Effect from Exchange Rates to the Prices in the Framework of Inflation Targeting Policy: A Comparison of Asia-Pacific, South American and Turkish Economies”, Procedia Economics and Finance, 38, 438445.
Kaygısız, A.D. (2018), “Döviz Kuru Dalgalanmalarının Enflasyon Üzerindeki Geçiş Etkisi: Türkiye Örneği”, Internetional Review of Economics and Management, 6(2), 117-137.
Khemiri, R. & M.S. Ben Ali (2012), “Exchange Rate Pass-Through and Inflation Dynamics in Tunisia: A Markov-Switching Approach”, Economic Discussion Paper, 39.
Kholdy, S. & A. Sohrabian (1990), “Exchange Rates and Prices: Evidence from Granger Causality Test”, Journal of Post Keynesian Economics, 13, 71-78.
Kılıç, R. (2010), “Exchange-Rate Pass-Through to Import Prices: Nonlinearities and Exchange Rate and Inflationary Regimes”, TÜSİAD-Koç University Economic Research Forum Working Paper Series, 1033.
Kim, K.H. (1998), “US Inflation and the Dollar Exchange Rate: A Vector Error Correction Model”, Applied Economics, 30(5), 613-619.
Koch, P.D. & J.A. Rosensweig & J.A. Whitt (1988), “The Dynamic Relationship between the Dollar and US Prices: An Intensive Empirical Investigation”, Journal of International Money and Finance, 7, 181-204.
Koç, P. (2018), “Türkiye’de Geçiş Etkisi Hipotezinin Geçerliliği: Bir Doğrusal Olmayan Zaman Serisi Analizi”, Bartın Üniversitesi İ.İ.B.F. Dergisi, 9(17), 1-12.
Korkmaz, S. & M. Bayır (2015), “Döviz Kuru Dalgalanmalarının Yurt içi Fiyatlara Etkisi”, Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 8(4), 69-85.
Kwiatkowski, D.P. & C.B. Phillips & P. Schmidt & Y. Shin (1992), “Testing the Null Hypothesis of Stationarity Against the Alternative of A Unit Root: How Sure Are We That Economic Time Series Have A Unit Root?”, Journal of Econometrics, 54, 159-178.
Leigh, D. & M. Rossi (2002), “Exchange Rate Pass-Through in Turkey”, IMF Working Paper, 204.
Manning, L.M. & D. Andrianacos (1993), “Dollar Movement and Inflation: A Cointegration Analysis”, Applied Economics, 25, 1483-1488.
McCarthy, J. (1999), “Pass-Through of Exchange Rates and Import Prices to Domestic Inflation in Some Industrialised Economies”, BIS Working Paper, 79, Bank for International Settlements Monetary and Economic Department Basel, Switzerland.
McFarlane, L. (2002) “Consumer Price Inflation and Exchange Rate Pass Through In Jamaica”, Bank of Jamaica, 37.
Mirdala, R. (2014), “Exchange Rate Pass-Through to Domestic Prices Under Different Exchange Rate Regimes”, William Davidson Institute Working Paper, 1070.
Nidhaleddine, B.C. (2012), “Asymmetric Exchange Rate Pass-Through in the Euro Area: New Evidence from Smooth Transition Models”, Economics Discussion Papers, 36.
Nogueira Jr., R.P. & M. Leon-Ledesma (2008), “Exchange Rate Pass-Through Into Inflation: The Role of Asymmetries and NonLinearities”, Studies in Economics, 08(01), Department of Economics, University of Kent.
Özen, E.Ö. (2011), “Exchange Rate Pass-Through into Domestic Price Indicators: A Sectoral Analysis of Turkish Economy”, Unpublished Master’s Thesis, Ankara.
Peker, O. & Ş. Görmüş (2008), “Türkiye’de Döviz Kurunun Enflasyonist Etkileri”, Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 13(2), 187-202.
Pesaran, M.H. &Y. Shin (1998), “An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis. Econometrics and Economic Theory”, Econometric Society Monographs, Cambridge, 371-413.
Pesaran, M.H. & Y. Shin & R.J. Smith (2001), “Bounds Testing Approaches to the Analysis of Level Relationships”, Journal of Applied Econometrics, 16, 289-326.
Pigott, C. & V. Reinhart (1984), “The Strong Dollar and U.S. Inflation”, Federal Reserve Bank of New York Quarterly Review, 10(3), 23-29.
Pollard, P.S. & C.C. Coughlin (2004), “Size Matters: Asymmetric Exchange Rate Pass-Through at the Industry Level”, Federal Reserve Bank of St. Louis Working Papers, 29.
Rincon, H. & N. Rodriguez (2016), “Nonlinear Pass-Through of Exchange Rate Shocks on Inflation: A Bayesian Smooth Transition VAR Approach”, Graduate Institute of International and Development Studies International Economics Department Working Paper Series, 13, Switzerland.
Rana, P.B. & J.M. Dowling (1985), “Inflationary Effects of Small but Continuous Changes in Effective Exchange Rates: Nine Asian LDCs”, The Review of Economics and Statistics, 67(3), 496-500.
Reddan, P. & J. Rice (2017), “Exchange Rate Pass-Through to Domestic Prices”, Central Bank of Ireland Eeconomic Letter Series, 8.
Rittenberg, L. (1990), “Exchange Rate Policy and Price Level Changes: Casualty Tests for Turkey in the Post‐Liberalisation Period”, The Journal of Development Studies, 29(2), 245-259.
Rowland, P. (2004), “Exchange Rate Pass-Through to Domestic Prices: The Case of Colombia”, Revista ESPE, 47, 106-125.
Saha, S. & Z. Zhang, (2013), “Do Exchange Rates Affect Consumer Prices? A Comparative Analysis for Australia, China and India”, Mathematics and Computers in Simulation, 93, 128-138.
Selim, S. & E.T.A. Güven (2014), “Türkiye’de Enflasyon, Döviz Kuru ve İşsizlik Arasındaki İlişkinin Ekonometrik Analizi”, Ekonomik ve Sosyal Araştırmalar Dergisi, 10(1), 127145.
Sever, E. & Z. Mızrak (2007), “Döviz Kuru, Enflasyon ve Faiz Oranı Arasındaki İlişkiler: Türkiye Uygulaması”, SÜ Sosyal ve Ekonomik Araştırmalar Dergisi, 265-83.
Shin, Y. & B. Yu & M. Greenwood-Nimmo (2014), “Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework”, in: W. Horrace & R. Sickles (eds.), The Festschrift in Honor of Peter Schmidt: Econometric Methods and Applications, New York: Springer, 281-314.
Shintani, M. & A. Terada-Hagiwara &T. Yabu (2013), “Exchange Rate Pass-Through and Inflation: A Nonlinear Time Series Analysis”, Journal of International Money and Finance, 32, 512-527.
Sims, C.A. (1972), “Money, Income, and Causality”, The American Economic Review, 62(4), 540552.
Taylor, J. (2000), “Low Inflation, Pass-Through, and the Pricing Power of Firms”, European Economic Review, 44, 1389-1408.
Toda, H.Y. & T. Yamamoto (1995), “Statistical Inference in Vector Autoregressions with Possibly Integrated Processes”, Journal of Econometrics, 66(1), 225-250.
T.C. Merkez Bankası (2004), Para Politikası Raporu, 2004-IV:7-8, Ankara.
T.C. Merkez Bankası (2013), Enflasyon Raporu, 2013-IV: 35-46, Ankara.
T.C. Merkez Bankası (2015), TCMB Başkanının Cumhurbaşkanına Ekonomiye İlişkin Sunumu, 11 Mart, Ankara.
T.C. Merkez Bankası (2016), Enflasyon Raporu, 2016-I, 21-38, Ankara.
T.C. Merkez Bankası (2018), Enflasyon Raporu, 2018-I, 25-40, Ankara.
Ülengin, B. (1995), “Bütçe Açığı, Parasal Büyüme, Enflasyon, Döviz Kuru ve Üretim Arasındaki Nedensellik İlişkileri: Türkiye Üzerine Bir Uygulama”, ODTÜ Gelişme Dergisi, 22(1), 101-116.
Volkan, A. & C. Saatçioğlu & L. Korap (2007), “Impact of Exchange Rate Changes on Domestic Inflation: The Turkish Experience. Discussion Paper, 6.
Yüncüler, Ç. (2011), “Pass-Through of External Factors into Price Indicators in Turkey”, Central Bank Review, 11, 71-84.