Exchange rate pass-through at high and low frequencies in Turkey: a continuous wavelet transform model approach
Abstract This paper investigates the effect of the exchange rate on prices through wavelet analysis for the period 2010:01-2019:12 in Turkey. The Wavelet Transform outcomes reveal that at a higher frequency, an upsurge in the Consumer Price Index (CPI) is associated with an increase in the exchange...
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| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2024-12-01
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| Series: | Journal of Economic Structures |
| Subjects: | |
| Online Access: | https://doi.org/10.1186/s40008-024-00341-2 |
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| Summary: | Abstract This paper investigates the effect of the exchange rate on prices through wavelet analysis for the period 2010:01-2019:12 in Turkey. The Wavelet Transform outcomes reveal that at a higher frequency, an upsurge in the Consumer Price Index (CPI) is associated with an increase in the exchange rate, for the period 2011:03-2013:12, and an increase in the exchange rate is accompanied by a higher CPI during the 2015:02-2018:10 period. Moreover, at a lower frequency, an increase in CPI is accompanied by a rise in the exchange rate during the 2014:01-2017:12 period. These results highlight that the pass-through effect is empirically confirmed in Turkey. It is also shown that the power of the pass-through effect might vary from one sub-sample period to another with different frequencies. |
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| ISSN: | 2193-2409 |