EXCHANGE RATE PASS-THROUGH TO CONSUMER PRICES IN TURKEY: EVIDENCE FROM ARDL AND NONLINEAR ARDL APPROACHES

Yıl 2024, , 1 - 13, 30.04.2024

Halil Altıntaş

https://doi.org/10.18070/erciyesiibd.1377410

Öz

This study analyses the exchange rate pass-through to inflation in Turkey during the inflation targeting period (January 2007–May 2021) by estimating the ARDL and NARDL models. The linear ARDL model showed that there was a significant and positive increase in the inflation rate of exchange rate increases in the long run. The NARDL model results suggest that the pass-through effect of the exchange rate on inflation in Turkey shows asymmetric changes over the short and long term. The magnitudes of the coefficients of exchange rate pass-through to inflation (ERPT) differ in cases of depreciation and appreciation over the long term. NARDL estimates reveal that a 1% depreciation of the exchange rate (dolar/TL) leads to about a 0.71% and 0.51% increase in consumer prices, respectively, while appreciations in the exchange rate decrease consumer prices by approximately 0.45% in the long term. These findings imply that consumer prices react higher during depreciation than appreciation. This evidence reveals that producers with market power may be concerned with speculative behavior to make use of asymmetric exchange rate pass-through in order to profit in weakly competitive market structures. Therefore, the policymaker should provide more independence to the central bank to improve monetary policy’s credibility and strengthen the competitive market structure in financial markets in order to reduce the asymmetric effects of the exchange rate on inflation.

Anahtar Kelimeler

Exchange rate, Inflation, Asymmetry, NARDL

TÜRKİYE’DE DÖVİZ KURUNUN TÜKETİCİ FİYATLARI ÜZERİNE GEÇİŞ ETKİSİ: ARDL ve NARDL YAKLAŞIMINDAN KANITLAR

Öz

Bu çalışma Türkiye’de enflasyon hedefleme döneminde (2007 Ocak-2021 Mayıs) döviz kurunun enflasyon üzerine etkisini ARDL ve NARDL modelleriyle analiz etmektedir. Doğrusal ARDL modeli, döviz kurundaki artışların enflasyon üzerinde uzun dönemde anlamlı ve önemli artışa neden olduğunu göstermiştir. NARDL modeli sonuçlarında Türkiye’de döviz kurunun enflasyon üzerine geçiş etkisinin kısa ve uzun dönemde asimetrik değişim göstermektedir. Döviz kuru geçişkenliğinin (ERPT) katsayılarının büyüklüklerinin değer kaybı (depreciation) ve değer kazancı (appreciation) durumunda farklılaşmaktadır. Uzun dönemde TL karşısında dolar kurunda %1 değer artışının enflasyon üzerinde sırasıyla, % 0.71 ve % 0.51 artışa, TL karşısında dolar kurundaki azalmanın ise enflasyon üzerinde %0.45 azalışa neden olduğu tahmin edilmiştir. Böylece tüketici fiyatlarının TL’deki değer kaybına TL’deki değerlenmeden daha fazla tepki gösterdiği anlaşılmaktadır. Ayrıca bulgularımız, piyasa gücüne sahip üreticilerin, zayıf rekabetçi piyasa koşullarında kar elde etmek amacıyla asimetrik döviz kuru geçişkenliğini kullanma yönünde spekülatif davranışlar gösterebileceğine işaret etmektedir. Bu nedenle döviz kurunun enflasyon üzerindeki asimetrik etkilerini azaltmak için politika yapıcının merkez bankasına daha fazla bağımsızlık sağlaması, para politikasının güvenilirliğini artırması ve finansal piyasalarda rekabetçi piyasa yapısını güçlendirmesi gerekmektedir.

Anahtar Kelimeler

Döviz Kuru, Enflasyon, Asimetri, NARDL

Kaynakça

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