TÜRKİYE’DE DÖVİZ KURUNDAN FİYATLARA GEÇİŞKENLİK ETKİSİ: HATEMİ-J ASİMETRİK NEDENSELLİK TESTİ

Yıl 2019, Cilt: 21 Sayı: 1, 203 - 221, 30.06.2019

Muhammer Yetim , Rahmi Yamak

https://doi.org/10.26468/trakyasobed.466936

Cited By: 4

Öz

Küreselleşme ile
birlikte, ülkeler arasındaki ticari engellerin ortadan kalkması sonucunda,
döviz kurlarında meydana gelen değişimler ulusal ekonomiler üzerindeki etkisini
daha da arttırmıştır. Döviz kurlarındaki dalgalanmaların, ulusal ekonomiler
üzerindeki etkilerinden bir tanesi de enflasyon üzerinde görülmektedir.
Literatürde, döviz kurundan fiyatlara geçişkenlik etkisinin belirlenmesine
yönelik çok sayıda ampirik çalışma bulunmaktadır. Sözkonusu çalışmalar,
kullandıkları nedensellik testleri kapsamında, değişkenlerde meydana gelen
pozitif ve negatif şok etkilerinin aynı olduğunu kabul etmektedir. Bu çalışmayı
literatürdeki diğer nedensellik çalışmalardan ayıran fark, değişkenlerde
meydana gelen pozitif ve negatif şokları birbirinden ayırarak, sözkonusu şoklar
arasındaki nedenselliğin incelenmiş olmasıdır. Mevcut çalışmada, Türkiye’de
döviz kurundan fiyatlara geçişkenlik etkisi Hatemi-J (2012) asimetrik
nedensellik testi yardımıyla incelenmiş olup, test sonucunda; %5 anlamlılık
seviyesinde, pozitif USD bileşeninden pozitif TÜFE bileşenine doğru, pozitif
EURO bileşeninden pozitif TÜFE bileşenine doğru ve ayrıca pozitif EURO
bileşeninden pozitif USD bileşenine tek yönlü asimetrik nedensellik ilişkileri
tespit edilmiştir. Ayrıca, Hatemi-J asimetrik
nedensellik testinden elde edilen sonuçlarla karşılaştırma yapmak amacıyla,
Toda-Yamamoto nedensellik testi de kullanılmıştır. Toda-Yamamoto
nedensellik testinden elde edilen bulgulara göre, Türkiye’de döviz kurundan
fiyatlara geçişkenlik etkisinin olmadığı tespit edilmiştir.

Anahtar Kelimeler

Döviz Kuru, Geçişkenlik, Asimetrik Nedensellik Testi

EXCHANGE RATE PASS-THROUGH IN TURKEY: HATEMİ-J ASYMMETRIC CAUSALITY TEST

Öz

Along with
globalization, as trade barriers among countries have been removed, changes in
exchange rates have further increased the impact on the domestic economies. One
of the effects of movements in exchange rates appears in inflation rate.  In the literature, there are many empirical
studies which have investigated the pass-through effects of the exchange rate
on domestic prices. The causality tests used within the scope of the studies
assume that the effects of the positive and negative shocks occurring in the
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.

Anahtar Kelimeler

Exchange Rate, Pass-Through, Asymmetric Causality Test

Kaynakça

• Achsani, Noer Azam vd. (2010), “The Relationship Between Inflation and Real Exchange Rate: Comparative Study Between ASEAN+3, The EU and North America”, European Journal of Economics, Finance and Administrative Sciences, 18, 69-76.
• Ajmi, Ahdi Noomen vd. (2015), “Oil Price And Consumer Price Nexus in South Africa Revisited: A Novel Asymmetric Causality Approach”, Energy Exploration & Explotiation, 33(1), 63-73.
• Akat, Asaf Savaş ve Yazgan, Ege (2012), “Döviz Kuru İhracat Fiyatlarına Yansıyor mu?”, İktisat Toplum Dergisi, 26, 5 – 14.
• Alimi, Santos R. ve Ofonyelu, Chris C. (2013), “Toda-Yamamoto Causalty Test Between Money Market Interest Rate And Expected Inflation: The Fisher Hypothesis Revisited”, European Scientific Journal, 9 (7), 125-142.
• Anarou, Emmanuel ve Elike, Uchenna (2015), “Empirical Evidence on The Asymmetric Relationship Between Bond and REIT (Real Estate Investment Trusts) Returns”, International Journal of Financial Research, 6(3), 1-12.
• Arı, Ayşe (2015), “World Oil Prices and Agricultural Commodity Prices in Turkey: Evidence From Symmetric And Asymmetric Causality Tests”, Journal of Applied Research in Finance and Economics, 1(1), 25-35.
• Arouri, Mohamed vd. (2014), “Energy Utilization and Ecomomic Growth in France: Evidence From Asymmetric Casuality Test”, Ipag Business School Working Paper Series, (102), 1-15.
• Aworinde, Olalekan Bashir (2015), “Are Energy Consumption and GDP Per Capita Asymmetric? Empirical Evidence From Nigeria”, http://2015.essa.org.za/fullpaper/essa_2876.pdf (02.04.2016).
• Balamurali, N. ve Sivarajasingam, S. (2011), “Does Exchange Rate Cause Inflation in Sri Lanka? An Emprical Study”, Annual Academic Sessions, 214-216.
• Cheikh, Nidhaleddine Ben (2013), “Nonlinear Mechanism of the Exchange Rate Pass-Through: Does Business Cycle Matter?” Center for Research in Economics and Management, 06, 1 - 23.
• Cigan, Heidi vd. (2008), “Exchange Rate Pass-Through to Inflation in Slovakia”, ECFIN Country Focus, Economic Analysis From The European Commission’s Directorate-General for Economic and Financial Affairs, 5 (8), 1 – 6.
• Damar, Armağan Onur (2010), “Türkiye’de Döviz Kurundan Fiyatlara Geçiş Etki sinin İncelenmesi”, TCMB Piyasalar Genel Müdürlüğü Uzmanlık Yeterlik Tezi, 1 – 80.
• Destek, Mehmet Akif (2015), “Is The Causal Nexus of Military Expenditures and Economic Growth Asymmetric in G-6?”, Journal of Applied Research in Finance and Economics, 1(1), 1-8.
• Doğru, Bülent vd. (2013), “Döviz Kuru Hareketleri ve Bütçe Açığı, Enflasyona Yol Açar Mı? Gelişmekte Olan Asya Ülkeleri Üzerine Bir Panel Nedensellik Analizi”, Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 8(2), 21-36.
• Erdem, H. Feyza ve Yamak, Nebiye (2016), “Döviz Kurunun Fiyatlar Genel Düzeyi Üzerindeki Geçişkenlik Etkisi: Gecikmesi Dağıtılmış Yaklaşım”, Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 7 (13), 303 – 322.
• Hatemi-J, Abdulnasser (2012), “Asymmetric Causality Tests With An Application”, Empirical Economics, 43 (1), 447 – 456.
• Hatemi-J, Abdulnasser (2014), “Asymmetric Panel Causality Tests With an Application to the Impact of Fiscal Policy on Economic Performance in Scandinavia, MPRA (Munich Personal RePEc Archive) Paper No:555”, http://mpra.ub.uni- muenchen.de/55527/, (05.02.2016).
• Hatemi-J, Abdulnasser vd. (2014), “Are There Asymmetric Causal Relationships Between Tourism And Economic Growth in a Panel of G-7 Countries?”, University of Pretoria Department of Economics Working Paper Series, 1-18.
• Hatemi-J, Abdulnasser ve El-Khatib, Youssef (2016), “An Extension of The Asymmetric Causality Tests For Dealing With Deterministic Trend Components”, Applied Economics, 48(42), 4033-4041.
• Hatemi-J, Abdulnasser ve Roca, Eduardo (2014), “Brics And Pigs: Who Drive Who? Evidence Based On Asymmetric Causality Tests”, Griffith Business School Discussion Papers Finance, www.mfsociety.org/.../MC21~341~p18e4nime, (06.02.2016).
• Kara, Hakan ve Öğünç, Fethi (2005), "Exchange Rate Pass-Through in Turkey: it is Slow, but is it Really Low?", The Central Bank of the Republic of Turkey, Research Department Working Paper, No:05/10,http://www.tcmb.gov.tr/wps/wcm/connect/tcmb%20tr/tcmb%20tr/main%20menu/yayinlar/arastirma%20yayinlari/calisma%20tebligleri/2005/sunum%208 , (21.02.2017).
• Kara, Hakan ve Öğünç, Fethi (2012), “Döviz Kuru ve İthalat Fiyatlarının Yurt İçi Fiyatlara Etkisi”, İktisat İşletme ve Finans, 27 (317), 9 - 28.
• Korhonen, Iikka ve Wachtel, Paul (2006), “A Note on Exchange Rate Pass-Through in CIS Countries”, Research in International Business and Finance, 20, 215-226.
• Kutlar, Aziz (2005), Uygulamalı Ekonometri, Geliştirilmiş 2. Baskı, Ankara: Nobel Yayın Dağıtım.
• Leigh, Daniel ve Rossi, Marco (2002), “Exchange Rate Pass-Through in Turkey”, IMF Working Paper, WP/02/204, https://www.imf.org/external/pubs/ft/wp/2002/wp02204.pdf, (16.02.2017).
• Liu, Hai Yue ve Chen, Xiao Lan (2017), “The Imported Price, Inflation and Exchange Rate Pass-Through in China”, Cogent Economics & Finance, 5, 1-13.
• Madesha, Wellington vd. (2013), “Empirical Test of the Relationship Between Exchange Rate and Inflation in Zimbabwe”, Journal of Economics and Sustainable Development, 4(1), 52-59.
• McFarline, Lavern (2002), “Consumer Price Inflation And Exchange Rate Pass-Through in Jamacia, Research Services Department Research and Economic Programming Division Bank of Jamaica” http://www.boj.org.jm/uploads/pdf/papers_pamphlets/papers_pamphlets_consumer_price_inflation_and_exchange_rate_pass-through_in_jamaica.pdf , (17.01.2016).
• Özdamar, Gökhan (2015), “Türkiye Ekonomisinde Döviz Kuru Geçiş Etkisi: ARDL Sınır Testi Yaklaşımı Bulguları”, Akdeniz Üniversitesi İ.İ.B.F. Dergisi, 32, 66-97.
• Peker, Osman ve Görmüş, Şakir (2008), “Türkiye’de Döviz Kurunun Enflasyonist Etkileri”, Süleyman Demirel Üniversitesi İİBF Dergisi, 13(2), 187-202.
• Peon, Sylvia Beatriz Guillermo ve Brindis, Martin Rodriguez (2014), “Analyzing the Exchange Rate Pass-Through in Mexico: Evidence Post Inflation Targeting Implementation”, Ensayos Sobre Politica Economica, 32 (74), 18 – 35.
• Rincon, Hernan vd. (2005), “Exchange Rate Pass-Through Effects: A Disaggregate Analysis of Colombian Imports of Manufactured Goods”, http://www.banrep.gov.co/docum/ftp/borra330.pdf, (19.04.2016).
• Şıklar, İlyas ve Uslu, Nilgün Ç. (2007), “Exchange Rate Pass-Through to Domestic Prices: The Turkish Case (1994 - 2006)”, The Business Review, 8(1), 162-171.
• Toda, Hiro Y. ve Yamamoto, Taku (1995), “Statistical Inference in Vector Autoregressions With Possibly Integrated Processes”, Journal of Econometrics, 66, 225-250.
• Turan, Taner ve Karakaş, Mesut (2016), “Cari Denge ve Finans Hesabı İlişkisi: Türkiye İçin Ampirik Bir Uygulama”, Maliye Dergisi, 170, 45 – 58.
• Umar, Mohammed ve Dahalan, Jauhari (2016), “An Application of Asymmetric Toda–Yamamoto Causality on Exchange Rate-Inflation Differentials in Emerging Economies”, International Journal of Economics and Financial Issues, 6 (2), 420 – 426.
• Yılancı, Veli ve Bozoklu, Şeref (2014), “Türk Sermaye Piyasasında Fiyat ve İşlem Hacmi İlişkisi: Zamanla Değişen Asimetrik Nedensellik Analizi”, Ege Akademik Bakış, 14 (2), 211 – 220.