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Buyuk Kur Soklari ve Kur Geciskenliginde Dogrusal Olmayan Etkiler

Author

Listed:
  • Fethi Ogunc
  • Orhun Ozel

Abstract

Bu calisma son bes yillik donemdeki gozlemler isiginda, doviz kurundan tuketici fiyatlarina geciste dogrusal olmayan etkiler oldugunu one surmektedir. Doviz kurundan fiyatlara geciskenlik, firmalarin fiyat degistirme kararlarindaki duruma bagli fiyatlama davranisinin bir sonucu olarak, ilimli ve yuksek deger kaybi donemlerinde farklilasmaktadir. Bulgularimiza gore buyuk kur soklarinin oldugu donemlerde soklarin enflasyona gecisi daha yuksek orandadir. Bu donemlerde enflasyonda normalde gorulenin uzerinde bir artis gozlendigi, ancak sonraki aylarda enflasyonun dogrusal modellerin ongordugunden daha hizli yavasladigi degerlendirilmektedir. Sonuclar, buyuk kur soku donemlerinde olusan bu etkilerin modellenmesinde cari donemdeki kur degisiminin buyuklugu uzerinden tanimlanan asimetrik bir iliskinin iyi bir aciklayici degisken oldugunu gostermektedir. Ilimli sok doneminde uzun donemdeki kur geciskenliginin yuzde 38-40 civarinda oldugu tahmin edilmektedir. Donemsel etkiler modellere dahil edilmediginde, kur geciskenliginin boyutunun oldugundan daha yuksek olculme riski bulunmaktadir. Dogrusal olmayan iliskileri dikkate almayan modeller yuksek sok donemine ozgu etkileri aciklamaya calisirken normal donemlerde gecerli olan iliskilerden uzaklasmakta, bunun sonucunda modellerin aciklayici gucu dusmektedir. Sonuclar buyuk sok donemlerine ait donemsel hareketlerin enflasyon modelleme sureclerinde dikkate alinmasi gerektigine isaret etmektedir.

Suggested Citation

  • Fethi Ogunc & Orhun Ozel, 2025. "Buyuk Kur Soklari ve Kur Geciskenliginde Dogrusal Olmayan Etkiler," Working Papers 2505, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    • Handle: RePEc:tcb:wpaper:2505
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    File URL: https://www.tcmb.gov.tr/wps/wcm/connect/TR/TCMB+TR/Main+Menu/Yayinlar/Arastirma+Yayinlari/Calisma+Tebligleri/2025/25-05
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    More about this item

    Keywords

    Doviz kuru geciskenligi; Dogrusal olmayan etkiler; Duruma bagli fiyatlama davranisi; Asimetrik etki; Enflasyon modellemesi;
    All these keywords.

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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