A New Test of Exchange Rate Pass-through in a Small Open Economy: Evidence from Asymmetric ARDL Bounds Approach

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dc.contributor.authorCicek, Serkan
dc.contributor.authorBoz, Cigdem
dc.date.accessioned2024-07-12T21:47:27Z
dc.date.available2024-07-12T21:47:27Z
dc.date.issued2013en_US
dc.departmentMaltepe Üniversitesien_US
dc.description.abstractIn this paper, we investigate the asymmetric effect of exchange rate movements on prices in both expansion and recession cycles for the inflation targeting (IT) period in Turkey, from 2002:M1 to 2012:M10, by using a co-integrating non-linear auto regression distributed lag (NARDL) model. This method enables us to analyse an asymmetric short and long-run relationship between nominal exchange rate and domestic inflation rate. According to alternative calculations of depreciation and appreciation series, our results indicate that depreciation is passed through prices in the long run for all alternative series in expansion cycle, but appreciation is only passed through if the appreciation rate is calculated by more than four previous periods. Our findings further suggest that the magnitude of depreciation on prices is larger than appreciation. However, in the short run, although depreciation is passed through to the prices, appreciation is not. This finding implies that prices are sticky downwards but flexible upwards in the short run and business cycle is the main source of asymmetry.en_US
dc.identifier.doi10.3848/iif.2013.333.3840
dc.identifier.endpage64en_US
dc.identifier.issn1300-610X
dc.identifier.issn1308-4658
dc.identifier.issue333en_US
dc.identifier.startpage43en_US
dc.identifier.urihttps://dx.doi.org/10.3848/iif.2013.333.3840
dc.identifier.urihttps://hdl.handle.net/20.500.12415/8044
dc.identifier.volume28en_US
dc.identifier.wosWOS:000328876200002en_US
dc.identifier.wosqualityQ4en_US
dc.indekslendigikaynakWeb of Science
dc.language.isoenen_US
dc.publisherBILGESEL YAYINCILIK SAN & TIC LTDen_US
dc.relation.ispartofIKTISAT ISLETME VE FINANSen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.snmzKY01222
dc.subjectAsymmetric Exchange Rate Pass-Throughen_US
dc.subjectNon-linear ARDLen_US
dc.subjectInflationen_US
dc.subjectTurkish Economyen_US
dc.titleA New Test of Exchange Rate Pass-through in a Small Open Economy: Evidence from Asymmetric ARDL Bounds Approachen_US
dc.typeArticle
dspace.entity.typePublication

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