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Exchange Rate Pass-Through in Turkey

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Author Info
Daniel Leigh
Marco Rossi
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.

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Paper provided by International Monetary Fund in its series IMF Working Papers with number 02/204.

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Length: 18 pages
Date of creation: 12 Dec 2002
Date of revision:
Handle: RePEc:imf:imfwpa:02/204

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Related research
Keywords: Exchange rates ; Turkey ; Inflation ;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Andreas Billmeier & Leo Bonato, 2002. "Exchange Rate Pass-Through and Monetary Policy in Croatia," IMF Working Papers 02/109, International Monetary Fund. [Downloadable!]
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  2. Ilan Goldfajn & Sergio R.C. Werlang, 2000. "The pass-through from depreciation to inflation : a panel study," Textos para discussão 423, Department of Economics PUC-Rio (Brazil). [Downloadable!]
  3. Ashok Bhundia, 2002. "An Empirical Investigation of Exchange Rate Pass-Through in South Africa," IMF Working Papers 02/165, International Monetary Fund. [Downloadable!]
  4. Ilan Goldfajn & Sérgio Ribeiro da Costa Werlang, 2000. "The Pass-through from Depreciation to Inflation: A Panel Study," Working Papers Series 5, Central Bank of Brazil, Research Department. [Downloadable!]
  5. Jonathan McCarthy, 2000. "Pass-through of exchange rates and import prices to domestic inflation in some industrialized economies," Staff Reports 111, Federal Reserve Bank of New York. [Downloadable!]
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  6. Dalia Hakura & Ehsan U. Choudhri, 2001. "Exchange Rate Pass-Through to Domestic Prices: Does the Inflationary Environment Matter?," IMF Working Papers 01/194, International Monetary Fund. [Downloadable!]
    Other versions:
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. James L. Butkiewicz & Zeliha Ozdogan, 2009. "Financial crisis, monetary policy reform and the monetary transmission mechanism in Turkey," Working Papers 09-04, University of Delaware, Department of Economics. [Downloadable!]
  2. Faruk Selçuk, 2005. "The Policy Challenge with Floating Exchange Rates: Turkey’s Recent Experience," Open Economies Review, Springer, vol. 16(3), pages 295-312, July. [Downloadable!] (restricted)
  3. Hande Kucuk & Burc Tuger, 2004. "Relative Price Variability : The Case Of Turkey 1994-2002," Working Papers 0402, Research and Monetary Policy Department, Central Bank of the Republic of Turkey. [Downloadable!]
  4. Nikolay Gueorguiev, 2003. "Exchange Rate Pass-Through in Romania," IMF Working Papers 03/130, International Monetary Fund. [Downloadable!]
  5. Federico Marongiu, 2004. "Devaluación e Inflacion en Argentina despues de la Convertibilidad," Macroeconomics 0404013, EconWPA. [Downloadable!]
  6. Cagri Sarikaya & Fethi Ogunc & Dilara Ece & Hakan Kara & Umit Ozlale, 2005. "Estimating Output Gap for the Turkish Economy," Working Papers 0503, Research and Monetary Policy Department, Central Bank of the Republic of Turkey. [Downloadable!]
  7. Hande Kucuk-Tuger & Burc Tuger, 2004. "Relative Price Variability : The Case of Turkey 1994-2002," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 4(2), pages 1-40. [Downloadable!]
  8. Aykut Kibritcioglu, 2004. "A Short Review of the Long History of Turkish High Inflation," Macroeconomics 0404003, EconWPA. [Downloadable!]
  9. Carlos de Almeida Cardoso & Flávio Vilela Vieira, 2004. "Câmbio, Inflação E Juros Na Transição Do Regime Cambial Brasileiro: Uma Análise De Vetores Auto-Regressivos E Causalidade," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32th Brazilian Economics Meeting] 080, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]. [Downloadable!]
  10. Forte, Antonio, 2009. "The pass-through effect: a twofold analysis," MPRA Paper 16527, University Library of Munich, Germany. [Downloadable!]
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  11. Kenji Moriyama, 2008. "Investigating Inflation Dynamics in Sudan," IMF Working Papers 08/189, International Monetary Fund. [Downloadable!]
  12. Zulfiqar Hyder & Sardar Shah, 2005. "Exchange Rate Pass-Through to Domestic Prices in Pakistan," Macroeconomics 0510020, EconWPA. [Downloadable!]
    Other versions:
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