A time-varying parameter VAR investigation of the exchange rate pass-through in Turkey
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 p...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Economists' Association of Vojvodina
2016-01-01
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| Series: | Panoeconomicus |
| Subjects: | |
| Online Access: | http://www.doiserbia.nb.rs/img/doi/1452-595X/2016/1452-595X1600005C.pdf |
| Summary: | 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. |
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| ISSN: | 1452-595X 2217-2386 |