ISSN 1300-1868
 

Original Research (Original Article) 


EXCHANGE RATES AND INFLATION RELATIONS DURING THE PERIOD OF DOLLARIZATION IN TURKEY

Harun TERZİ, Serdar KURT.

Abstract
In this study, whether or not the exchange rate pass-through effect to domestic prices changes in high and low levels of the dollarization in Turkish economy is investigated by using VAR analysis with inflation, exchange rate, money supply, prices of export and import variables for the period of 1995:01-2006:04. In the VAR analysis for 1995-2006, it was fixed a Granger causality from real exchange rate to inflation. The results from sub-periods VAR analysis showed that dollarization important variable for exchange rate pass-through affect to domestic prices. While level of dollarization is high, exchange rate pass-through affect to domestic prices is low and vice versa. Results of variance decompositon supported causality relationships from VAR analysis. Results from impulse response fonction conform with VAR and variance decompositon. As a general results, due to different level of dollarization before and after the year 2001, VAR analysis with five variables estimated for the two periods, and it is determined that the exchange rate pass-through affect to domestic prices has declined for the period of 2001-2006.

Key words: Real Exchange Rates, Inflation, Dollarization, Time Series, VAR.



TÜRKİYE'DE DOLARİZASYON SÜRECİNDE DÖVİZ KURU VE ENFLASYON İLİŞKİSİ

Ozet
Bu çalışmada, 1995:01-2006:04 dönemi enflasyon, döviz kuru, para arzı, ithalat ve ihracat fiyatları değişkenleri ile Türkiye ekonomisinde kurdan fiyatlara geçiş etkisinin yüksek ve düşük dolarizasyon düzeylerinde değişim gösterip göstermediği VAR yöntemi işe araştırılmıştır. 1995-2006 dönemi için yapılan VAR analizinde, reel döviz kurundan enflasyona doğru Granger anlamda bir nedensellik ilişkisi tespit edilmiştir. Alt dönemler için yapılan VAR analizlerden elde edilen sonuçlar dolarizasyonun kurdan fiyatlara geçiş etkisi için önemli bir değişken olduğunu göstermiştir. Dolarizasyon yüksek iken kurda meydana gelen bir değişmenin fiyatlara geçiş etkisinin daha fazla olduğu, dolarizasyon oranı düşük iken kurda meydana gelen bir artışın fiyatlara geçiş etkisinin daha zayıf olduğu belirlenmiştir. Varyans ayrıştırması sonuçları VAR analizinden elde edilen nedensellik ilişkilerini desteklemektedir. Etki tepki analizi sonuçları da VAR ve varyans ayrıştırması sonuçları ile uyumludur. Genel olarak değerlendirildiğinde, 2001 yılı öncesi ve sonrası iki farklı dolarizasyon seviyesi için beş değişkenli VAR analizi uygulanmış ve 2001-2006 döneminde, kurdan fiyatlara geçiş etkisinin azaldığı belirlenmiştir.

Anahtar Kelimeler: Reel Döviz Kuru, Enflasyon, Dolarizasyon, Zaman Serisi, VAR.


 
ARTICLE TOOLS
Abstract
PDF Fulltext
Print this article Print this Article
How to cite this articleHow to cite this article
Citation Tools
Related Records
 Articles by Harun TERZİ
Articles by Serdar KURT
on Google
on Google Scholar
Article Statistics
 Viewed: 2758
Downloaded: 775
Cited: 0

REFERENCES
ALLSOPP, C., KARA, A., NELSON, E. (2006), "U. K. loflation Targeting and the Exchange Rate", Research Division Federal Reservc Bank of St. Louis, Working Paper No: 2006-030A.
ARAT, K. (2003), ·'Türkiye'de Optimum Döviz Kuru Rejimi Seçimi ve Döviz Kurlanndan Fiyatlara Geçiþ Etkisinin Lncelenýnesi", Dýþ Ýliþkiler Genel Müdürlüðü, TCMB, Uzmanlýk YeterliEk Tezi, Ankara, Temmuz.
BAHMANl-OSKOOEE. M., DOMAC, I. (2002), "On the Link between Dollarization and Inflation: Evidence from Turkey", Research and Monetary Policy Deparhnent, the Central Bank of the Republic of Turkey, D iscussion Papers, No: 0207.
BERUMENT, H. (2002), ''Döviz Kuru Hareketleri ve Enflasyon Dinamiði: Türkiye Ömeði", Bilkent Üniversitesi Yayýnlarý, Mart.
BTLLMElER, A. BONATO, L. (2002), "Exchange Ratc Pass-Through and Monetary Policy in Croatia'', IMF Working Paper, No: 02/109, June.
CAMPA. J. M., GOLBERG, L. (2002), "Exchange Ratc Pass-Through inlo Import Prices: A Macro or Micro Phenomenon?", NBER Working Paper, No: 8934.
CHOUDHRJ. U. E., HAKURA, D. (2001), "Exchange Rate Pass-Through to Domestic Prices: Does the Tnflationary Environment Matter?", lMF Working Paper, No: 01/194, December.
CÝVCiR, i. (2003), "Dollarization and its Long-run Deteýýninants in Turkey", Middle East Econoýnics Series, 6, Elsevier Science Publisher. ....
DICKEY, D. A., FULLER. W. A. (1981), "The Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root", Econometrica, 49, 1057-1072. [DOI via Crossref]   
DORNBUSCH, R. ( 1 987), "Exchange Rates and Prices", American Economic Review, 77(1),93-106.
EICHENGREEN, B., HAUSMANN, R. (1999), ''Exchange rates and Financial Fragility", NBER Working Papers 7418.
GOLDFAJN, L, WERLANG, S. (2000), "The Pass-Through from Depreciation to Inflation: aPanel Study", Central Bank ofBrazil, Workiýýg Paper, No: 05.
GREGORTO, J. D., TOKMAN A., V ALD ES R. (2005), ·'Flexible Exchange Rate with Inflation Targeting in Clýile: Experience and Issues··, Inter-AmericanDevelopment Bank. Research Department. Working Paper, No: 640, August.
KARA, H., KÜÇÜK TUÖER, H., ÖZLALE, Ü., TUÖER, B., YAVUZ, D., YÜCEL, E. M. (2005), ''Exchange Rate Pass-Through in Turkey: Has It Changed and to Wbat Extent?", Reseaý·clý Department, the Central Bank of the Republic Turkey, Working Papcr, No: 05/04, February.
KARA, H., ÖGÜNÇ, F. (2005), .. Exchange Rate Pass-Through in Turkey: It is Slow, but is it Really Low?", Rcsearch Department, the Central Bank of the Republic of Turkey, Working Paper, No: 05/10, April.
LEIGH, D., ROSSl, M. (2002), "Exchange Rate Pass-Through in Turkey'', IMF Working Paper, WP/02/204.
MANNlNG, L. M., ADRlACANOS, D. (1993), "Dallar Movements and lnflation: A Cointegratiou Analysis", Applied Economics, 25, 1483-1488. [DOI via Crossref]   
McCALLUM, B. T., NELSON, E; (1999). "Nominal Ineome Targeting in an OpenEconoýny Optimizing Model", Jottmal of Monetary Econoýnics, 43, 553-578. [DOI via Crossref]   
McCARTHY, J. (1999), "Pass-Through of Exchange Rates and lýnport Prices to Doýnestic lnflation in Some Industrialized Ecunonýics", BIS Working Papers, No: 79.
MISHKJN, F., SAVASTANO, M. (2001), "Monetary Policy StTategies for Latin America", Journal of Development Economics, 66,415-444. [DOI via Crossref]   
NOGUEIRA, R. P. Jor. (2006a), "Inflation Targetiug, Exchange Rate Pass-Through and Fear of Floating", Studies in Econoýnics, Department of Economics, University of Kent, No: 605.
NOGUEIRA, R. P. Jnr. (2006b) lnflation Targeting and the Role of Exchange Rate Pass-Through, Studies in Econoýnics, Deparnnent of Econoýnics. University of Kent, No: 602. /
ÖNÝÞ, Z., ÖZMUCUR, S. (1990), "Exchange Rates, Tnflation and Money Supply in Turkey, Testing the Vicious Circle Hypothesis", Jounýal of Development Econonýics, 32, 133-154, North-Holland.
REINHART, C. M., ROGOFF, K. S., SAVASTANO, M. A. (2006), "Addicted to Dollars", NBER Working Paper, No: J 0015. Noveýnbcr.
SCHMIDT-HEBBEL, K., WERNER, A. (2002), "lnflation Targering in Brazil, Clýile and Mexico: Performance, Credibility and the Exchange Rate", Central Bank ofChile, Working Paper No: 171.
SEKINE, T. (2006), "Time-Varying Excha.nge Ratc Pass-Through: Expcrienccs of Some lndustrial Countries", BIS Working Papers, Monetary and Economic Department, No: 202, March.
STMS, C. A. (1980). "Macroecononýics and Reality", Econometrica, 48, 1-46. [DOI via Crossref]   
TAYLOR, J. (2000), "Low Inflatioý~ Pass-Through, and the Pricing Power of Firms", European Econoýnic Review, 44, 1389-1408. Happcncd?, içinde, Washington: Institute for lmernational Economics, pp. 7-38.
(1999). "What Should ýhe World Bank Think about the Washington Conscnsus'?", The World Bank Research Observer, vol. 15, No. 2, August, pp. 251-264.
(2003), "From Reform Agenda to Damaged Brand Name". Finance and Development, 40(3), pp. 10-13.
WILLIAMSON. O. E. (1996). The Mecbanisms of Governance, Oxford: Oxford Unýversiry Press.
WOOLCOCK, M. (1998), "Social Capital and Economic Development: Toward a Theorctical Synthesis and Policy Framework". Thcory and Socicty. 27: ý 51-208.
WORLD BANK ( 1989). Sub-Saharan Africa: From Crisis to Sustainable Growth. Washington D.C.: The World Bank.
( 1997), World Development Report: Statc in a Changing World, Washington D.C.: The World Bank.
( 1998/99). World Development Report: Knowledge for Development, Washýngton D.C: The World Bank.
(2002), World De\Ciopment Report: Building lnstitutions for Markets, Washýngton D.C. : The World Banl..
YELDAN. E. (2005), "Merkez Bankasý: Baðýmsýz mý Ýlgisiz mi?" Wl\'11'. bagimsizsosyal bilimciler.org/Ya::ilar Ga:ete/Yeltlan_Mart05.pdf: (ý 2.07.2005 ).
YILMAZ. F. (2002). "Ýktisat 'e o~yoloji: Rakip Kardc~lcrin Hakimiyet Kavgasý", Toplum ve Bilim. Kýþ, 95. 61-84.

How to Cite this Article
Pubmed Style

Harun TERZI, Serdar KURT. [EXCHANGE RATES AND INFLATION RELATIONS DURING THE PERIOD OF DOLLARIZATION IN TURKEY]. Ekonomik Yaklasim. 2007; 18(64): 1-22. Turkish. doi:10.5455/ey.10635


Web Style

Harun TERZI, Serdar KURT. [EXCHANGE RATES AND INFLATION RELATIONS DURING THE PERIOD OF DOLLARIZATION IN TURKEY]. http://www.ekonomikyaklasim.org/?mno=156089 [Access: February 23, 2019]. Turkish. doi:10.5455/ey.10635


AMA (American Medical Association) Style

Harun TERZI, Serdar KURT. [EXCHANGE RATES AND INFLATION RELATIONS DURING THE PERIOD OF DOLLARIZATION IN TURKEY]. Ekonomik Yaklasim. 2007; 18(64): 1-22. Turkish. doi:10.5455/ey.10635



Vancouver/ICMJE Style

Harun TERZI, Serdar KURT. [EXCHANGE RATES AND INFLATION RELATIONS DURING THE PERIOD OF DOLLARIZATION IN TURKEY]. Ekonomik Yaklasim. (2007), [cited February 23, 2019]; 18(64): 1-22. Turkish. doi:10.5455/ey.10635



Harvard Style

Harun TERZI, Serdar KURT (2007) [EXCHANGE RATES AND INFLATION RELATIONS DURING THE PERIOD OF DOLLARIZATION IN TURKEY]. Ekonomik Yaklasim, 18 (64), 1-22. Turkish. doi:10.5455/ey.10635



Turabian Style

Harun TERZI, Serdar KURT. 2007. [EXCHANGE RATES AND INFLATION RELATIONS DURING THE PERIOD OF DOLLARIZATION IN TURKEY]. Ekonomik Yaklasim, 18 (64), 1-22. Turkish. doi:10.5455/ey.10635



Chicago Style

Harun TERZI, Serdar KURT. "[EXCHANGE RATES AND INFLATION RELATIONS DURING THE PERIOD OF DOLLARIZATION IN TURKEY]." Ekonomik Yaklasim 18 (2007), 1-22. Turkish. doi:10.5455/ey.10635



MLA (The Modern Language Association) Style

Harun TERZI, Serdar KURT. "[EXCHANGE RATES AND INFLATION RELATIONS DURING THE PERIOD OF DOLLARIZATION IN TURKEY]." Ekonomik Yaklasim 18.64 (2007), 1-22. Print.Turkish. doi:10.5455/ey.10635



APA (American Psychological Association) Style

Harun TERZI, Serdar KURT (2007) [EXCHANGE RATES AND INFLATION RELATIONS DURING THE PERIOD OF DOLLARIZATION IN TURKEY]. Ekonomik Yaklasim, 18 (64), 1-22. Turkish. doi:10.5455/ey.10635