A time-varying parameter VAR investigation of the exchange rate pass-through in Turkey
Küçük Resim Yok
Tarih
2016
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Savez Ekonomista Vojvodine
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
The effects of exchange rate movements on price levels have important implications to macroeconomic policies through the impacts on trade balance and inflation. In contrast to previous studies, we employ a VAR model with time-varying parameters to measure the magnitude of exchange rate pass-through (ERPT). The findings confirm the time-varying pattern in the ERPT, as the magnitude of ERPT has reached its maximum value during the 1994 financial crisis. The decline in the magnitude of ERPT has become more pronounced after the 2001 financial crisis as a result of the implementation of inflation targeting, which has shifted Turkey’s economy from a long lasting high inflationary phase to a low inflationary economic environment. © 2016, Savez Ekonomista Vojvodine. All rights reserved.
Açıklama
Anahtar Kelimeler
Consumer prices, Exchange rate pass-through, Time-varying parameter VAR, Turkey, Wholesale prices
Kaynak
Panoeconomicus
WoS Q Değeri
Scopus Q Değeri
Q2
Cilt
63
Sayı
5
