Exchange Rate Pass-Through to Domestic Prices: The Turkish Case (2002-2014)

Şiklar, İ̇lyas; Kocaman, Merve; Kapkara, Sevcan

doi:10.5296/ber.v7i2.11541

Cited by 4 publications

(2 citation statements)

References 4 publications

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“…According to Panel E, a positive domestic credit shock creates a simultaneous increase in interest rate differential. Considering the incomplete exchange rate pass-through findings of the previous studies (see, for instance, Siklar et al, 2017;Siklar-Uslu, 2007;Arslaner et al, 2014), this result is rather surprising. One possible reason for this situation is the high inflationary expectations stemming from unreached inflation targets throughout analyzing period.…”

Section: Estimation Methodology and Resultsmentioning

confidence: 79%

Exchange Market Pressure and Monetary Policy: The Turkish Case

Şiklar

2020

ECO

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The purpose of this study is to determine the relationship between monetary policy and the exchange market pressure index in Turkey for the 2002–2018 period with monthly data. To obtain the foreign exchange market pressure index, this study uses the model developed by L. Girton and D.E. Roper and is based fundamentally on the monetary approach to exchange rate determination and the balance of payments. The calculated exchange market pressure index is in accordance with the developments lived in financial markets and changes in monetary policy during the period under investigation. As for the relation between exchange market pressure index and monetary policy, a VAR model was set up and a Granger type causality analysis was carried out. According to Granger causality test results, there is a unidirectional causality running from domestic credit expansion to exchange market pressure and from domestic credit expansion to interest rate differential while there is a bidirectional causality between exchange market pressure and interest rate differential. Since increasing exchange market pressure means a depreciation of the Turkish Lira, the estimated VAR model’s results support the view that the Central Bank will increase the interest rate to temper the exchange market pressure.

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Section: Estimation Methodology and Resultsmentioning

confidence: 79%

Exchange Market Pressure and Monetary Policy: The Turkish Case

Şiklar

2020

ECO

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“…dönemine ilişkin aylık verileri kullanarak, döviz kurundan yurt içi fiyatlara geçişkenlik etkisini VAR yöntemini kullanarak incelemişlerdir. Çalışma sonucunda; döviz kurundan tüketici fiyatlarına geçişkenlik etkisinin yüksek olduğu, sözkonusu etkinin 12 aydan kısa bir sürede hızlı bir şekilde ortaya çıktığı belirlenmiştir Şıklar ve Uslu (2007), 1994. Ocak -2006 Aralık dönemi için Türkiye ekonomisinde, döviz kurundan ÜFE ve TÜFE'ye geçişkenlik etkisini VECM modelini kullanarak incelemişlerdir.…”

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Exchange Rate Pass-Through in Turkey: Hatemi̇-J Asymmetric Causality Test

Yetim¹,

Yamak²

2019

Trakya Üniversitesi Sosyal Bilimler Dergisi

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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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Exchange rate pass-through at high and low frequencies in Turkey: a continuous wavelet transform model approach

Bilgili,

Kuşkaya,

Gençoğlu

et al. 2024

Economic Structures

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This paper investigates the effect of the exchange rate on prices through wavelet analysis for the period 2010:01-2019:12 in Turkey. The Wavelet Transform outcomes reveal that at a higher frequency, an upsurge in the Consumer Price Index (CPI) is associated with an increase in the exchange rate, for the period 2011:03-2013:12, and an increase in the exchange rate is accompanied by a higher CPI during the 2015:02-2018:10 period. Moreover, at a lower frequency, an increase in CPI is accompanied by a rise in the exchange rate during the 2014:01-2017:12 period. These results highlight that the pass-through effect is empirically confirmed in Turkey. It is also shown that the power of the pass-through effect might vary from one sub-sample period to another with different frequencies.

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Exchange Rate Pass-Through to Domestic Prices: The Turkish Case (2002-2014)

Cited by 4 publications

References 4 publications

Exchange Market Pressure and Monetary Policy: The Turkish Case

Exchange Market Pressure and Monetary Policy: The Turkish Case

Exchange Rate Pass-Through in Turkey: Hatemi̇-J Asymmetric Causality Test

Exchange rate pass-through at high and low frequencies in Turkey: a continuous wavelet transform model approach

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