Türkiye'de döviz kurunun enflasyon üzerine geçiş etkisinin ekonometrik analizi: 19872011

Bu çalışma, Türkiyede 1987 - 2011 dönemi üç aylık verileriyle döviz kurunun enflasyon üzerindeki geçiş etkisini tahmin etmeyi amaçlamaktadır. Çalışmada Goldberg ve Knetter (1996), Goldberg ve Campa (2002) ve Ghosh ve Rajan (2007) tarafından k ullanılan modeller esas alınmıştır. ARDL sınır testi tahmini sonucunda F - istatistiği değerinin üç model için Pesaran vd. (2001)den alınan üst kritik değeri aştığı görülmüş ve böylece üç modelde dört değişken arasında eşbütünleşme ilişkisinin var olduğu so nucuna ulaşılmıştır. Ardından ARDL modeli tahmini sonucunda uzun dönemde döviz kurunun yurtiçi tüketici fiyat elastikiyetinin sırasıyla 0.91, 0.85 ve 0.72 olduğu görülmüş ve katsayılar istatistiksel olarak anlamlı bulunmuştur. Türkiyede uzun dönemde döviz kurundaki yüzde 1lik artışın TÜFE cinsinden yurtiçi fiyatlarda yüzde 0.72 ve yüzde 0.91 oranı arasında artışa yol açtığı ve böylece döviz kurunun enflasyon üzerinde geçiş etkisinin anlamlı fakat 1den küçük olduğu sonucuna varılmıştır

Econometric analysis of exchange rate pass -through to domestic inflation in Turkey: 1987-2011

This paper aims to investigate the effects of exchange rate pass -through on domestic prices over the period from 1987:1 to 2011:3 in Turkey. This research is based on empirical models used by Goldberg and Knetter (1996), Goldberg and Campa (2002), Ghosh and Rajan (2007). In the current models, it is assumed that exchange rate pass - through is determined by a combination of bilateral US nominal effective exchange rate, the domestic price of consumer product, the exporter's (outside world) cost and domestic demand conditions. The results based on bound testing procedure indicate that there is a cointegration be tween four variables in each three models, according to the obtained F - statistics exceeding the asymptotic critical value for F -statistics cited in Pesaran et al. (2001). We find in our models that the long-run exchange rate pass-through elasticitiesare 0.91, 0.85 and 0.72,respectively. These results show that a one percent change in exchange rate (TL/US dolar) will lead to around between 0.72 and 0.91 per cent increase in the CPI of Turkey, implying that it is quite significant but less than full throug h over the sample period.

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