Does Exchange Rate Pass-Through Change Over Time in Turkiye?

Mustafa Çakır and Ahmet Ekrem Kaya
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Ahmet Ekrem Kaya: Istanbul Sabahattin Zaim University, Department of Economics, Istanbul, Turkiye

Istanbul Journal of Economics-Istanbul Iktisat Dergisi, 2023, vol. 73, issue 73-1, 359-383

Abstract: This paper investigates whether the effects of exchange rate pass-through on general and disaggregated consumer prices change over time in Turkiye. Using the time-varying Granger causality (TVGC) test, the study examines the causality relationship between the US dollar and the consumer price index (CPI) over the 1986M01-2022M06 period and then the causality relationship between a US dollar and Euro currency basket and 12 main expenditure groups over the 2003M01- 2022M06 period. According to the findings, the effects of exchange rate pass-through (ERPT) on the CPI and major groups of consumer expenditures decreased based on the floating exchange rate and explicit inflation-targeting regime in Turkiye. The findings obtained from the TVGC test showed This paper investigates whether the effects of exchange rate pass-through on general and disaggregated consumer prices change over time in Turkiye. Using the time-varying Granger causality (TVGC) test, the study examines the causality relationship between the US dollar and the consumer price index (CPI) over the 1986M01-2022M06 period and then the causality relationship between a US dollar and Euro currency basket and 12 main expenditure groups over the 2003M01- 2022M06 period. According to the findings, the effects of exchange rate pass-through (ERPT) on the CPI and major groups of consumer expenditures decreased based on the floating exchange rate and explicit inflation-targeting regime in Turkiye. The findings obtained from the TVGC test showed.

Keywords: Exchange rate pass-through; Consumer prices; Time-varying Granger causality JEL Classification: C22; E31; F31 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:ist:journl:v:73:y:2023:i:1:p:359-383

DOI: 10.26650/ISTJECON2022-1210198

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