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 |
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SpringerOpen
2024-12-01
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| Series: | Journal of Economic Structures |
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| Online Access: | https://doi.org/10.1186/s40008-024-00341-2 |
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| author | Faik Bilgili Sevda Kuşkaya Pelin Gençoğlu Fatma Ünlü Cosimo Magazzino |
| author_facet | Faik Bilgili Sevda Kuşkaya Pelin Gençoğlu Fatma Ünlü Cosimo Magazzino |
| author_sort | Faik Bilgili |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-cd466a8c5d9c45179caabf4f03bb94eb |
| institution | DOAJ |
| issn | 2193-2409 |
| language | English |
| publishDate | 2024-12-01 |
| publisher | SpringerOpen |
| record_format | Article |
| series | Journal of Economic Structures |
| spelling | doaj-art-cd466a8c5d9c45179caabf4f03bb94eb2025-08-20T02:57:36ZengSpringerOpenJournal of Economic Structures2193-24092024-12-0113112310.1186/s40008-024-00341-2Exchange rate pass-through at high and low frequencies in Turkey: a continuous wavelet transform model approachFaik Bilgili0Sevda Kuşkaya1Pelin Gençoğlu2Fatma Ünlü3Cosimo Magazzino4Faculty of Economics and Administrative Sciences, Department of Economics, Erciyes UniversityDepartment of Law, Erciyes University, Justice Vocational CollegeErciyes University, Research and Application Center of KayseriFaculty of Economics and Administrative Sciences, Department of Economics, Erciyes UniversityDepartment of Political Science, Roma Tre UniversityAbstract 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.https://doi.org/10.1186/s40008-024-00341-2Pass-through Effect; Exchange Rate; Continuous Wavelet Transform; Turkey |
| spellingShingle | Faik Bilgili Sevda Kuşkaya Pelin Gençoğlu Fatma Ünlü Cosimo Magazzino Exchange rate pass-through at high and low frequencies in Turkey: a continuous wavelet transform model approach Journal of Economic Structures Pass-through Effect; Exchange Rate; Continuous Wavelet Transform; Turkey |
| title | Exchange rate pass-through at high and low frequencies in Turkey: a continuous wavelet transform model approach |
| title_full | Exchange rate pass-through at high and low frequencies in Turkey: a continuous wavelet transform model approach |
| title_fullStr | Exchange rate pass-through at high and low frequencies in Turkey: a continuous wavelet transform model approach |
| title_full_unstemmed | Exchange rate pass-through at high and low frequencies in Turkey: a continuous wavelet transform model approach |
| title_short | Exchange rate pass-through at high and low frequencies in Turkey: a continuous wavelet transform model approach |
| title_sort | exchange rate pass through at high and low frequencies in turkey a continuous wavelet transform model approach |
| topic | Pass-through Effect; Exchange Rate; Continuous Wavelet Transform; Turkey |
| url | https://doi.org/10.1186/s40008-024-00341-2 |
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