Exchange Rate Pass-Through in Turkey

November 1, 2002

Preview Citation

Format: Chicago

Marco Rossi, and Daniel Leigh. Exchange Rate Pass-Through in Turkey, (USA: International Monetary Fund, 2002) accessed December 4, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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.

Subject: Consumer price indexes, Consumer prices, Exchange rates, Foreign exchange, Inflation, Prices, Wholesale price indexes

Keywords: Africa, Consumer price indexes, Consumer prices, Distribution chain, Exchange rate movement, Exchange rate pass-through, Exchange rate shock, Exchange rates, Impulse response, Inflation, Inflation targeting, Pass-through, Pass-through coefficient, Price, Turkey, VAR, Wholesale price indexes, WP, WPI inflation

Publication Details

Pages:

18
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2002/204
Stock No:

WPIEA2042002
ISBN:

9781451874518
ISSN:

1018-5941

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