Exchange Rate Pass-Through in Turkey

Marco Rossi and Daniel Leigh

No 2002/204, IMF Working Papers from International Monetary Fund

Abstract: In light of the strong correlation between exchange rate movements and domestic prices in Turkey, it is important to assess the impact of the exchange rate on domestic prices, in particular as Turkey moves to an inflation targeting regime. This paper uses a recursive vector autoregression model to investigate the impact of exchange rate movements on prices in Turkey. We find that (i) the impact of the exchange rate on prices is over after about a year, but is mostly felt in the first four months, (ii) the pass-through to wholesale prices is more pronounced compared to the pass-through to consumer prices, and (iii) the estimated pass-through is complete in a shorter time and is larger than that estimated for other key emerging market countries.

Keywords: WP; price; pass-through; pass-through coefficient; exchange rate shock; Exchange rate pass-through; inflation; inflation targeting; distribution chain; VAR; Turkey; WPI inflation; impulse response; exchange rate movement; Exchange rates; Consumer prices; Wholesale price indexes; Consumer price indexes; Africa (search for similar items in EconPapers)
Pages: 18
Date: 2002-11-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (80)

Downloads: (external link)
http://www.imf.org/external/pubs/cat/longres.aspx?sk=16188 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:imf:imfwpa:2002/204

Ordering information: This working paper can be ordered from
http://www.imf.org/external/pubs/pubs/ord_info.htm

Access Statistics for this paper

More papers in IMF Working Papers from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC.
Bibliographic data for series maintained by Akshay Modi ().