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

Faik Bilgili, Sevda Kuşkaya, Pelin Gençoğlu, Fatma Ünlü and Cosimo Magazzino ()
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Faik Bilgili: Erciyes University
Sevda Kuşkaya: Erciyes University, Justice Vocational College
Pelin Gençoğlu: Erciyes University, Research and Application Center of Kayseri
Fatma Ünlü: Erciyes University

Journal of Economic Structures, 2024, vol. 13, issue 1, 1-23

Abstract: Abstract 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.

Keywords: Pass-through Effect; Exchange Rate; Continuous Wavelet Transform; Turkey; C1; C6; E31; F31; F41 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1186/s40008-024-00341-2

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