The Time-Varying Impact of External Shocks on the Consumer Price Components: Evidence from an Emerging Market

dc.authoridonder, a. ozlem/0000-0002-8903-8931
dc.authoridCatik, Abdurrahman Nazif/0000-0001-9247-5668
dc.authorscopusid36458196600
dc.authorscopusid36925242300
dc.authorscopusid57656099400
dc.contributor.authorCatik, Abdurrahman Nazif
dc.contributor.authorKaracuka, Mehmet
dc.contributor.authorOnder, A. Ozlem
dc.date.accessioned2023-01-12T19:51:51Z
dc.date.available2023-01-12T19:51:51Z
dc.date.issued2022
dc.departmentN/A/Departmenten_US
dc.description.abstractThis article aims to assess the extent of oil price and exchange rate pass-through into disaggregated consumer prices in Turkey in a time-varying framework. For this purpose, pass-through coefficients are computed based on the TVP-VAR model with stochastic volatility by Primiceri (Rev Econ Stud 72:821-852, 2005). The results suggest that (a) oil prices have a significant impact on wholesale and consumer prices; (b) the responses follow a time-varying pattern and differ markedly across the subcomponents of consumer prices, i.e., consumer energy prices, transportation, clothing and footwear, food, beverages and tobacco, and housing are more sensitive to the changes in oil prices; (c) the impact of the exchange rate is found to be more significant and higher compared to that of oil prices; and (d) oil pass-through coefficients have declined remarkably after the 2008 Global Financial Crisis, whereas remarkable increases have been observed in the exchange rate pass-through coefficients since that time.en_US
dc.description.sponsorshipTurkiye Bilimsel ve Teknolojik Arastirma Kurumu [113K363]en_US
dc.description.sponsorshipFunding was provided by Turkiye Bilimsel ve Teknolojik Arastirma Kurumu [Grant no. 113K363].en_US
dc.identifier.doi10.1007/s40953-022-00317-8
dc.identifier.endpage807en_US
dc.identifier.issn0971-1554
dc.identifier.issn2364-1045
dc.identifier.issn0971-1554en_US
dc.identifier.issn2364-1045en_US
dc.identifier.issue4en_US
dc.identifier.scopus2-s2.0-85134316666en_US
dc.identifier.scopusqualityQ3en_US
dc.identifier.startpage781en_US
dc.identifier.urihttps://doi.org/10.1007/s40953-022-00317-8
dc.identifier.urihttps://hdl.handle.net/11454/76340
dc.identifier.volume20en_US
dc.identifier.wosWOS:000824276400001en_US
dc.identifier.wosqualityN/Aen_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherSpringeren_US
dc.relation.ispartofJournal Of Quantitative Economicsen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectOil price pass-throughen_US
dc.subjectExchange rate pass-throughen_US
dc.subjectTime-varying parameter VARen_US
dc.subjectTurkeyen_US
dc.subjectRate Pass-Throughen_US
dc.subjectCrude-Oil Pricesen_US
dc.subjectExchange-Rateen_US
dc.subjectDomestic Pricesen_US
dc.subjectInflation Evidenceen_US
dc.subjectMonetary-Policyen_US
dc.subjectUnit-Rooten_US
dc.subjectMacroeconomyen_US
dc.subjectSeriesen_US
dc.subjectTurkeyen_US
dc.titleThe Time-Varying Impact of External Shocks on the Consumer Price Components: Evidence from an Emerging Marketen_US
dc.typeArticleen_US

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