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Exchange rate pass-through at high and low frequencies in Turkey: a continuous wavelet transform model approach

Author

Listed:
  • Faik Bilgili

    (Erciyes University)

  • Sevda Kuşkaya

    (Erciyes University, Justice Vocational College)

  • Pelin Gençoğlu

    (Erciyes University, Research and Application Center of Kayseri)

  • Fatma Ünlü

    (Erciyes University)

  • Cosimo Magazzino

    (Roma Tre University
    Western Caspian University)

Abstract

This paper investigates the effect of the exchange rate on prices through wavelet analysis for the period 2010:01-2019:12 in Turkey. The Wavelet Transform outcomes reveal that at a higher frequency, an upsurge in the Consumer Price Index (CPI) is associated with an increase in the exchange rate, for the period 2011:03-2013:12, and an increase in the exchange rate is accompanied by a higher CPI during the 2015:02-2018:10 period. Moreover, at a lower frequency, an increase in CPI is accompanied by a rise in the exchange rate during the 2014:01-2017:12 period. These results highlight that the pass-through effect is empirically confirmed in Turkey. It is also shown that the power of the pass-through effect might vary from one sub-sample period to another with different frequencies.

Suggested Citation

  • Faik Bilgili & Sevda Kuşkaya & Pelin Gençoğlu & Fatma Ünlü & Cosimo Magazzino, 2024. "Exchange rate pass-through at high and low frequencies in Turkey: a continuous wavelet transform model approach," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 13(1), pages 1-23, December.
    • Handle: RePEc:spr:jecstr:v:13:y:2024:i:1:d:10.1186_s40008-024-00341-2
    DOI: 10.1186/s40008-024-00341-2
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