Asymmetric behavior of exchange rate pass through in Turkey

Date
2009
Advisor
Özlale, Ümit
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Publisher
Bilkent University
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Language
English
Type
Thesis
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Abstract

This thesis investigates the presence of asymmetry in pass through from exchange rates to manufacturing industry prices in Turkey. In the analysis, to detect a possible nonlinear response of prices, threshold regression models are employed. The results indicate that reactions of prices to exchange rate movements differ depending on the aggregate demand conditions. In particular, when the economy is booming, exchange rate changes are transmitted into prices in a larger extent. On the other hand, during slowdowns, fluctuations of exchange rates are not reflected on prices and past inflation has more important role in determining prices.

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Keywords
Exchange Rate Pass Through, Threshold Regression Models, Inflation
Citation
Published Version (Please cite this version)