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Model Belirsizligi Altinda Doviz Kurunun Enflasyona Etkisi

Listed author(s):
  • Dincer Dedeoglu
  • Huseyin Kaya

Bu calismada Turkiye’de doviz kurunun enflasyon geciskenligi, model belirsizligi dikkate alinarak incelenmektedir. 2003-2013 donemini kapsayan calismada geciskenligin analizi, yazinda sikca kullanilan uretim zinciri boyunca fiyatlamayý esas alan bir VAR sistemi cercevesinde gerceklestirilmistir. Alternatif VAR modelleri dikkate alinarak tahmin edilen kur geciskenligi katsayilari yuzde 4-8 araliginda bulunmaktadir. Elde edilen sonuclar kur geciskenligi tahmininde model belirsizligi olduguna isaret etmektedir. Model belirsizligini dikkate almak icin Bayesyen ortalama yontemi kullanilmis ve geciskenlik katsayisi yuzde 7,5 bulunmustur.

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File URL: http://www.tcmb.gov.tr/wps/wcm/connect/TCMB+TR/TCMB+TR/Main+Menu/Yayinlar/Central+Bank+Review/Central+Bank+Review/2015/Sayi+15-2/
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Article provided by Research and Monetary Policy Department, Central Bank of the Republic of Turkey in its journal Central Bank Review.

Volume (Year): 15 (2015)
Issue (Month): 2 ()
Pages: 79-93

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Handle: RePEc:tcb:cebare:v:15:y:2015:i:2:p:79-93
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  1. Ara Volkan & Cem Saatçioðlu & Levent Korap, 2007. "Impact of Exchange Rate Changes on Domestic Inflation: The Turkish Experience," Working Papers 2007/6, Turkish Economic Association, revised Aug 2007.
  2. Jeannine Bailliu & Eiji Fujii, 2004. "Exchange Rate Pass-Through and the Inflation Environment in Industrialized Countries: An Empirical Investigation," Staff Working Papers 04-21, Bank of Canada.
  3. Hakan Kara & Fethi Ogunc, 2005. "Exchange Rate Pass-Through in Turkey : It is Slow, but is it Really Low?," Working Papers 0510, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  4. Hakan Kara & Fethi Ogunc, 2011. "Doviz Kuru ve Ithalat Fiyatlarinin Enflasyona Etkisi," CBT Research Notes in Economics 1114, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  5. José Manuel Campa & Linda S. Goldberg, 2005. "Exchange Rate Pass-Through into Import Prices," The Review of Economics and Statistics, MIT Press, vol. 87(4), pages 679-690, November.
  6. Garratt, Anthony & Lee, Kevin & Pesaran, M. Hashem & Shin, Yongcheol, 2012. "Global and National Macroeconometric Modelling: A Long-Run Structural Approach," OUP Catalogue, Oxford University Press, number 9780199650460.
  7. Jonathan McCarthy, 2007. "Pass-Through of Exchange Rates and Import Prices to Domestic Inflation in Some Industrialized Economies," Eastern Economic Journal, Eastern Economic Association, vol. 33(4), pages 511-537, Fall.
  8. Toshitaka Sekine, 2006. "Time-varying exchange rate pass-through: experiences of some industrial countries," BIS Working Papers 202, Bank for International Settlements.
  9. Caglar Yunculer, 2011. "Pass-Through of External Factors into Price Indicators In Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 11(2), pages 71-84.
  10. Elif C. Arbatli, 2003. "Exchange Rate Pass-Through in Turkey : Looking for Asymmetries," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 3(2), pages 85-124.
  11. Choudhri, Ehsan U. & Hakura, Dalia S., 2006. "Exchange rate pass-through to domestic prices: Does the inflationary environment matter?," Journal of International Money and Finance, Elsevier, vol. 25(4), pages 614-639, June.
  12. Huseyin Kaya, 2013. "On the Predictive Power of Yield Spread for Future Growth and Recession: The Turkish Case," Working Papers 010, Bahcesehir University, Betam, revised Mar 2013.
  13. Juselius, Katarina, 2006. "The Cointegrated VAR Model: Methodology and Applications," OUP Catalogue, Oxford University Press, number 9780199285679.
  14. Marco Rossi & Daniel Leigh, 2002. "Exchange Rate Pass-Through in Turkey," IMF Working Papers 02/204, International Monetary Fund.
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