DÖVİZ KURUNUN YURTİÇİ FİYATLARA GEÇİŞ ETKİSİ; KIRILGAN BEŞLİ ÜZERİNDE BİR UYGULAMA

Yıl 2024, Cilt: 12 Sayı: 1, 91 – 103, 02.07.2024

Ahmet Turan Özhuy Rüştü Yayar

Öz

Döviz kuru hareketleri az gelişmiş ve gelişmekte olan ülke ekonomileri için büyük öneme sahiptir. Bunun nedeni bu ülke ekonomilerinde döviz kurlarındaki dalgalanmaların yurtiçi fiyat düzeyini etkileyerek enflasyon sorununu ortaya çıkarmasıdır. Döviz kuru geçiş etkisi olarak bilinen bu durum ekonomi literatüründe çok sayıda araştırmaya konu olmuştur. Bu çalışmada ise 2007:Q4-2021:Q4 dönemi için çeyreklik veriler kullanılarak eski Kırılgan Beşli ülkeleri olan Brezilya, Endonezya, Güney Afrika, Hindistan ve Türkiye’nin döviz kuru geçişkenliği incelenmiştir. Analizde nominal efektif döviz kuru ve tüketici enflasyonu değişkenleri kullanılmıştır. Öncelikle Genişletilmiş Dickey-Fuller (ADF) ve Phillips Perron (PP) birim kök testleri uygulanarak değişkenlerin durağanlıkları kontrol edilmiştir. Daha sonra Balcılar vd. (2010) tarafından geliştirilen Kayan Pencereler testi (Rolling Window test) uygulanmıştır. Çalışma sonucunda nominal kur ve enflasyon arasındaki nedensellik ilişkisi; Brezilya’da 5, Endonezya’da 8, Güney Afrika’da 20, Hindistan’da 10 ve Türkiye’de 4 çeyreklik dönem için anlamlı bulunmuştur.

Anahtar Kelimeler

Geçiş Etkisi, Döviz Kuru, Enflasyon, Kırılgan Beşli, Kayan Pencereler

Kaynakça

• Al-Abri, A. S., Goodwin, B. K., (2009). “Re-examining the exchange rate pass-through into import prices using nonlinear estimation techniques: threshold cointegration”, International Review of Economics and Finance, 18, pp. 142–61.
• An, Lian ve Wang, Jian (2011), “Exchange Rate Pass-through: Evidence Based on Vector Autoregression With Sign Restrictions”, Federal Reserve Bank of Dallas Globalization and Monetary Policy Institute Working 70,1-34
• Anderton B. (2003) “Extra Euro Area Manufacturing Import Prices and Exchange Rate Pass-Through”. ECB Çalışma Tebliği No:219. Erişim:19 Kasım 2022 http://www.ecb.int/pub/pdf/scpwps/ecbwp219.pdf
• Arslaner, Ferhat, (2009), “Türkiye’de Para Politikası Stratejisi Seçimi ve Döviz Kuru Geçişkenliği”, Yayınlanmamış Doktora Tezi, Selçuk Üniversitesi, Sosyal Bilimler Enstitüsü, İktisat Anabilim Dalı, İktisat Bilim Dalı, Konya.
• Asteriou, D. ve Hall, S. G. (2021). Applied Econometrics. Palgrave. Balcılar, M., Özdemir, Z. A., & Arslantürk, Y. (2010). Economic Growth and Energy Consumption Causal Nexus Viewed Through a Bootstrap Rolling Window. Energy Economics, 32(6), 1398-1410.
• Bayat, T., Özcan, B. ve Taş, Ş., (2015). Türkiye'de Döviz Kuru Geçiş Etkisinin Asimetrik Nedensellik Testleri ile Analizi. Eskişehir Osmangazi Üniversitesi İ.İ.B.F. Dergisi, 10(2), 7- 30.
• Brun-Aguerre, R., Fuertes, A., Phylaktis, K., (2012). “Exchange rate pass-through into import prices revisited: What drives it?”, Journal of International Money and Finance, 31, Issue 4, pp. 818-844.
• Bussière, M., (2007). “Exchange rate pass-through to trade prices –the role of non-linearities and asymmetries”, ECB Working Paper No. 822, European Central Bank, Frankfurt am Main. Ca' Zorzi, Michele & Hahn, Elke & Sánchez, Marcelo, 2007. "Exchange rate pass-through in emerging markets," Working Paper Series 739, European Central Bank. Campa, Jose´ Manuel ve Linda S. Goldberg (2005), “Exchange rate pass-through into import prices.” The Review of Economics and Statistics, 87(4): 679–690.
• Comunale, Mariarosaria and Kunovac, Davor, Exchange Rate Pass-Through in the Euro Area (January 25, 2017). ECB Working Paper No. 2003, Available at SSRN: https://ssrn.com/abstract=2910939 or http://dx.doi.org/10.2139/ssrn.2910939
• Coulibaly, Dramane, ve Kempf, Hubert (2010). “Does Inflation Targeting Decrease Exchange Rate PassThrough In Emerging Countries?”. (https://halshs.archives- ouvertes.fr/halshs-00497446/document 16 Temmuz 2023) tarihinde erişildi)
• Dış Ekonomik İlişkiler Kurulu (DEİK). 2013. 4. https://www.deik.org.tr/uploads/guney-afrika-ulke-bulteni-2013.doc. Erişim tarihi 20-03-2023
• Dornbusch, R., Sturzenegger, F. ve Wolf, H. (1990). Extreme Inflation: Dynamics and Stabilization, Brookings Papers on Economic Activity, 2, ss. 1-84.Akbaba, S. (2006). “Eğitimde Motivasyon”. Atatürk Üniversitesi Kazım Karabekir Eğitim Fakültesi Dergisi, (13).
• Ehsan U. C., Hakura, S. D. (2015). “The exchange rate pass-through to import and export prices: The role of nominal rigidities and currency choice”, Journal of International Money and Finance, Volume 51, March 2015, pp. 1-25.
• Ghosh, A., & Rajan, R. S. (2007). A comparative analysis of export price pass-through in three open Asian economies: Korea, Singapore and Thailand. Global Economic Review, 36(3), 287-299. Hahn, E. (2003). “Pass-through of external shocks to euro area inflation”, ECB Working Paper, No.243, European Central Bank.
• Hüfner, F. P., & Schröder, M. (2002). Exchange Rate Pass-through to Consumer Prices: A European Perspective. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.304939
• Ito, T. & Sato, K. (2008). “Exchange Rate Pass-Through and Domestic Inflation: A Comparison between East Asia and Latin American Countries”, RIETI Discussion Papers, 07-E-040. https://www.rieti.go.jp/jp/publications/dp/07e040.pdf
• McCarthy, J. (2000). “Pass -Through of Exchange Rates and Import Prices to Domestic Inflation in Some Industrialized Economies”, https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr111.html Morgan Stanley Research Report (2013)“Fx Pulse”. (http://www.morganstanleyfa.com/public/projectfiles/dce4d168-15f9-4245-9605-e37e2caf114c.pdf).
• Mumtaz, H., Sunder-Plassmann, L., (2010). “Time-varying dynamics of the real exchange rate. A structural VAR analysis”, Bank of England working papers 382.
• Sek, K. S. ve Kapsalyamova, Z. (2008) “Exchange Rate Pass-Through and Volatility: Impacts On Domestic Prices In Four Asian Countries”. MPRA Çalışma Tebliği No: 11130 Erişim:14 Eylül 2019 http://mpra.ub.uni-muenchen.de/11130/1/MPRA_paper_11130.pdf
• Sekine, T.i (2006). “Time-varying exchange rate pass-through: experiences of some industrial countries”, Bank for International Settlements, Working Paper, 202

PASS-THROUGH EFFECT OF EXCHANGE RATE TO DOMESTIC PRICES; AN APPLICATION ON THE FRAGILE FIVE

Yıl 2024, Cilt: 12 Sayı: 1, 91 – 103, 02.07.2024

Ahmet Turan Özhuy Rüştü Yayar

Öz

Exchange rate movements are of great importance for the economies of underdeveloped and developing countries. This is because exchange rate fluctuations in these economies affect the domestic price level and cause inflation problems. This situation, known as the exchange rate pass-through effect, has been the subject of numerous studies in the economic literature. This study examines the exchange rate pass-through in the former Fragile Five countries of Brazil, Indonesia, South Africa, India, South Africa, India and Turkey by using quarterly data for the period 2007:Q4-2021:Q4.The nominal effective exchange rate and consumer inflation variables are used in the analysis. First, the stationarity of the variables is checked by applying the Extended Dickey-Fuller (ADF) and Phillips Perron (PP) unit root tests. Then, the Rolling Window test developed by Balcılar et al. (2010) was applied. As a result of the study, the causality relationship between nominal exchange rate and inflation is found to be significant for 5 quarters in Brazil, 8 quarters in Indonesia, 20 quarters in South Africa, 10 quarters in India and 4 quarters in Turkey.

Anahtar Kelimeler

Pass Through, Exchange Rate, Inflation, Fragile Five, Rolling Windows

Kaynakça

• Al-Abri, A. S., Goodwin, B. K., (2009). “Re-examining the exchange rate pass-through into import prices using nonlinear estimation techniques: threshold cointegration”, International Review of Economics and Finance, 18, pp. 142–61.
• An, Lian ve Wang, Jian (2011), “Exchange Rate Pass-through: Evidence Based on Vector Autoregression With Sign Restrictions”, Federal Reserve Bank of Dallas Globalization and Monetary Policy Institute Working 70,1-34
• Anderton B. (2003) “Extra Euro Area Manufacturing Import Prices and Exchange Rate Pass-Through”. ECB Çalışma Tebliği No:219. Erişim:19 Kasım 2022 http://www.ecb.int/pub/pdf/scpwps/ecbwp219.pdf
• Arslaner, Ferhat, (2009), “Türkiye’de Para Politikası Stratejisi Seçimi ve Döviz Kuru Geçişkenliği”, Yayınlanmamış Doktora Tezi, Selçuk Üniversitesi, Sosyal Bilimler Enstitüsü, İktisat Anabilim Dalı, İktisat Bilim Dalı, Konya.
• Asteriou, D. ve Hall, S. G. (2021). Applied Econometrics. Palgrave. Balcılar, M., Özdemir, Z. A., & Arslantürk, Y. (2010). Economic Growth and Energy Consumption Causal Nexus Viewed Through a Bootstrap Rolling Window. Energy Economics, 32(6), 1398-1410.
• Bayat, T., Özcan, B. ve Taş, Ş., (2015). Türkiye'de Döviz Kuru Geçiş Etkisinin Asimetrik Nedensellik Testleri ile Analizi. Eskişehir Osmangazi Üniversitesi İ.İ.B.F. Dergisi, 10(2), 7- 30.
• Brun-Aguerre, R., Fuertes, A., Phylaktis, K., (2012). “Exchange rate pass-through into import prices revisited: What drives it?”, Journal of International Money and Finance, 31, Issue 4, pp. 818-844.
• Bussière, M., (2007). “Exchange rate pass-through to trade prices –the role of non-linearities and asymmetries”, ECB Working Paper No. 822, European Central Bank, Frankfurt am Main. Ca' Zorzi, Michele & Hahn, Elke & Sánchez, Marcelo, 2007. "Exchange rate pass-through in emerging markets," Working Paper Series 739, European Central Bank. Campa, Jose´ Manuel ve Linda S. Goldberg (2005), “Exchange rate pass-through into import prices.” The Review of Economics and Statistics, 87(4): 679–690.
• Comunale, Mariarosaria and Kunovac, Davor, Exchange Rate Pass-Through in the Euro Area (January 25, 2017). ECB Working Paper No. 2003, Available at SSRN: https://ssrn.com/abstract=2910939 or http://dx.doi.org/10.2139/ssrn.2910939
• Coulibaly, Dramane, ve Kempf, Hubert (2010). “Does Inflation Targeting Decrease Exchange Rate PassThrough In Emerging Countries?”. (https://halshs.archives- ouvertes.fr/halshs-00497446/document 16 Temmuz 2023) tarihinde erişildi)
• Dış Ekonomik İlişkiler Kurulu (DEİK). 2013. 4. https://www.deik.org.tr/uploads/guney-afrika-ulke-bulteni-2013.doc. Erişim tarihi 20-03-2023
• Dornbusch, R., Sturzenegger, F. ve Wolf, H. (1990). Extreme Inflation: Dynamics and Stabilization, Brookings Papers on Economic Activity, 2, ss. 1-84.Akbaba, S. (2006). “Eğitimde Motivasyon”. Atatürk Üniversitesi Kazım Karabekir Eğitim Fakültesi Dergisi, (13).
• Ehsan U. C., Hakura, S. D. (2015). “The exchange rate pass-through to import and export prices: The role of nominal rigidities and currency choice”, Journal of International Money and Finance, Volume 51, March 2015, pp. 1-25.
• Ghosh, A., & Rajan, R. S. (2007). A comparative analysis of export price pass-through in three open Asian economies: Korea, Singapore and Thailand. Global Economic Review, 36(3), 287-299. Hahn, E. (2003). “Pass-through of external shocks to euro area inflation”, ECB Working Paper, No.243, European Central Bank.
• Hüfner, F. P., & Schröder, M. (2002). Exchange Rate Pass-through to Consumer Prices: A European Perspective. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.304939
• Ito, T. & Sato, K. (2008). “Exchange Rate Pass-Through and Domestic Inflation: A Comparison between East Asia and Latin American Countries”, RIETI Discussion Papers, 07-E-040. https://www.rieti.go.jp/jp/publications/dp/07e040.pdf
• McCarthy, J. (2000). “Pass -Through of Exchange Rates and Import Prices to Domestic Inflation in Some Industrialized Economies”, https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr111.html Morgan Stanley Research Report (2013)“Fx Pulse”. (http://www.morganstanleyfa.com/public/projectfiles/dce4d168-15f9-4245-9605-e37e2caf114c.pdf).
• Mumtaz, H., Sunder-Plassmann, L., (2010). “Time-varying dynamics of the real exchange rate. A structural VAR analysis”, Bank of England working papers 382.
• Sek, K. S. ve Kapsalyamova, Z. (2008) “Exchange Rate Pass-Through and Volatility: Impacts On Domestic Prices In Four Asian Countries”. MPRA Çalışma Tebliği No: 11130 Erişim:14 Eylül 2019 http://mpra.ub.uni-muenchen.de/11130/1/MPRA_paper_11130.pdf
• Sekine, T.i (2006). “Time-varying exchange rate pass-through: experiences of some industrial countries”, Bank for International Settlements, Working Paper, 202

Toplam 20 adet kaynakça vardır.

Ayrıntılar

Kaynak Göster

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