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Yıl 2023, Cilt: 18 Sayı: 70, 237 - 251, 11.05.2023

Murat Emikönel Ayhan Orhan

Öz

Kaynakça

  • Referans1: Agenor, P.R., & Montiel, P.J. (1996). Development macroeconomics. Princeton University Press, 215.
  • Referans2: Alam, I., & R. Quazi (2003). Determinants of capital flight: An econometric case study of Bangladesh. International Review of Applied Economics, 17(1), 85-103.
  • Referans3: Albuquerque, C. R., & Portugal, M. (2005). Exchange Rate and Inflation: A Case of Sulkiness of Volatiliy. https://www.researchgate.net/publication/228816643_Excahne_rate_and_inflation_a_case_of_sulkiness_of_volatility,
  • Referans4: Asad, I., Ahmad, N., & Hussain, Z. (2012). Impact of Real Effective Exchange Rate on Inflation in Pakistan. Asian Economicand Financial Review, 2(8), 983-990.
  • Referans5: Achsani, N. A., Fauzi, A. J. F. A., & Abdullah, P. (2010). The Relationship Between Inflation and Real Exchange Rate: Comparative Study Between ASEAN+3, the EU and North America. European Journal of Economics, Finance and Administrative Sciences, 18, 69-76.
  • Referans6: Coricelli, F., Jazbec, B., & Masten, I. (2004). Exchange Rate Policy and Inflation in Acceding Countries: The Role of Pass-Through, William Davidson Institute Working Papers Series 674.
  • Referans7: Darvas, Z. (2001). Exchange Rate Pass-Through and Real Exchange Rate in EU Candidate Countries. Bundesbank Series 1 Discussion Paper No. 10.
  • Referans8: Dornbusch, R. (1976). Expectations and exchange rate Dynamics. The Journal of Political Economy, 84(6), 1161-1176.
  • Referans9: Edwards, S. (2006). The Relationship Between Exchange Rates and Inflation Targetting Revisited. The National Bureau of Economic Research, Working Paper 12163.
  • Referans10: Fetai, B., Koku, P. S., Chaushi, A., & Fetai, A. (2016). The Relationship Between Exchange Rate and Inflation: The Case of Western Balkans Countries. Journal of Business, Economics and Finance, 5(4), 360-364.
  • Referans11: Fosu, O. A. E., & Joseph, M. F. (2006). Aggregate import demand and expenditure components in Ghana: An econometric analysis. MPRA Paper No.599, August.
  • Referans12: Granger, C.W.J., & Newbold P.(1974). Spurious regressions in econometrics. Journal of Econometrics, 2, 111 120.
  • Referans13: Helali, K., Kalai, M., & Boujelben, T. (2014). Exchange Rate Pass-Through to Domestic Prices in Tunisia: A Short and Long Run Analysis. University of Sfax. Faculty of Economics and Management of Sfax. MPRA Paper, No:62204
  • Referans14: Imımole, B., & Enoma, A. (2011). Exchange Rate Depreciation and Inflation in Nigeria (1986-2008). Business and Economics Journal,
  • Referans15: Johansen, S., & K. Juselius (1990). Maximum Likelihood Estimation and Inference on Cointegration with Applications to The Demand for Money. Oxford Bulletin of Economics and Statistics, 52, 169-210.
  • Referans16: Kataranova, M. (2010). The Relationship Between the Exchange Rate and Inflation in Russia, Problems of Economic Transition, 53(3), 45-68, DOI: 10.2753/PET1061-1991530303
  • Referans17:Kesavarajah, M. (2001). A Multivariate Cointegration Analysis of Inflation in Sri Lanka. http://repository.kln.ac.lk/handle/123456789/4534,
  • Referans18:Kholdy, S., & Sohrabian, A. (1990). Exchange Rates and Prices: Evidence from Granger Causality Test. Journal of Post Keynesian Economics, 13: 71–78.
  • Referans19: Lado, E. P. Z. (2015). Test of Relationship Between Exchange Rate and Inflation in South Sudan: Granger-Causality Approach. Economics, 4(2), 34-40.
  • Referans20: Leigh, D., & Rossi, M. (2002). Exchange Rate Pass-through in Turkey. IMF Working Paper, https://www.imf.org/external/pubs/ft/wp/2002/wp02204.pdf
  • Referans21: Madesha, W., Chidoko, C., & Zivanomoyo, J. (2013). Empirical Test of the Relationship Between Exchange Rate and Inflation in Zimbabwe. Journal of Economics and Sustainable Development, 4(1), 52-58.
  • Referans22: McCarthy, J. (2000). Pass-through of exchange rates and import prices to domestic inflation in some industrialized economies. FRB of New York Staff Report, (111).
  • Referans23: Mıhaljek, D., & Klau, M. (2001). A Note on the Pass-Through From Exchange Rate and Foreign Price Changes to Inflation in Selected Emerging Market Economies. Bank for International Settlements, 8, 69-81.
  • Referans24 :Minella, A. vd. (2002). Inflation Targeting in Brazil: Lessons and Challenges. BIS Papers, 19.
  • Referans25: Mohanty, B., & Bhanumurthy, N.R. (2014). Exchange Rate Regimes and Inflation: Evidence from India. National Institute of Public Finance and Policy Working Paper 130.
  • Referans26: Morgan Stanley Research Outlook, (2013) Global Currency Research Team, 1-38. http://www.morganstanleyfa.com/public/projectfiles/dce4d168-15f9-4245-9605- e37e2caf114c.pdf
  • Referans27: Muço, M., Sanfey, P., & Taci, A. (2004). Inflation, Exchange Rates and The Role of Monetary Policy in Albania. European Bank forReconstruction and Development WorkingPaper No:88.
  • Referans28: Narayan S., & Narayan P.K. (2004). Determinats of demand of Fiji’s exports: An empirical investigation. The Developing Economics, 17(1), 95-112.
  • Referans29: Oriavwote, V. E. & Eshenake, S. J. (2012). Real Exchange Rate and Inflation: An Empirical Assessment of the Nigerian Experience. Mediterranean Journal of Social Sciences, 3(3), 145-153. Referans30: Osabuohien, E., Obiekwe, E., Urhie, E., & Osabohien, R. (2018). Inflation Rate, Exchange Rate Volatility and Exchange Rate Pass-Through Nexus: The Nigerian Experience. Journal of Applied Economic Sciences, 13(2), 574-585.
  • Referans31: Pesaran, M. H., Y. Shin., & R.J. Smith. 2001. Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16(3), 289–326.
  • Referans32: Sharif, S. H. (2017). Macroeconomic Impact on the Exchange Rate of SAARC Countries. International Journal of Applied Economic Studies, 5(1), 1-9.
  • Referans33:Sheefeni, J., & Ocran, M. (2014). Rate Pass-Through to Domestic Prices in Namibia: SVAR Evidence. Journal of Economic and Financial Sciences, 7(1), 89–102.
  • Referans34: Smile, D. (2016). Exchange Rate Pass-through And Inflation- Targeting: Evidence From South Africa, Camera Di Commercio Di Genova International Economics, 69(2), 121-150.
  • Referans35: Svensson, L.E.O. (2000). Open-economy ınflation targeting. Journal of International Economics, 50, 155–183.
  • Referans36: Vicente, C. (2007). Exchange Rate and Consumer Prices in Mozambique: A Cointegration Approach. Instituto de Estodos Sociais Economicos, 40, 1-24.
  • Referans37: Westerlund, J. (2006). Testingfor Panel Cointegration with Multiple Structural Breaks. Oxford Bulletin of Economics and Statistics, 68(1), 101- 132.
  • Referans38: Yien, L. C., Abdullah, H., & Azam, M. (2017). Granger Causality Analysis Between Inflation, Debt and Exchange Rate: Evidence from Malaysia. International Journal of Academic Research in Accounting, Finance and Management Sciences, 7(1), 189–196.
  • Referans39: Zaferio, E. A., Theodoros, C. K., & Spyridon, C. S. (2008). An EmpiricalStudy of the Relationship Between the Real Exchange Koruna-Dollar Rate and Economics Fundamentals for Czec Republic and US. International Conference on Applied Economics, 945-951.

An Empiric Analysis on The Relationship Between Exchange Rates and Inflation in Fragile Five Countries

Yıl 2023, Cilt: 18 Sayı: 70, 237 - 251, 11.05.2023

Murat Emikönel Ayhan Orhan

Öz

Exchange rates, which are defined as the value of a local currency against foreign currency, are one of the important factors affecting the economic structure of a country and determining inflationary trends in open economies. Following the FED's expansionary monetary policy after the 2008 crisis, the contractionary monetary policy in 2013 caused the currencies of developing countries to depreciate against the US dollar. Morgan Stanley described the five most depreciating countries as the fragile five. In this context, in this study, it is aimed to investigate the relationship between exchange rate and inflation for countries that are more affected by shocks and described as the fragile five, using ARDL bounds test. In the research, monthly data of 1990: M1-2020: M12 were used. According to the results of the analysis, it has been determined that there is cointegration between the exchange rate and the inflation rate in the countries included in the study. In the long run, it is determined that the exchange rate has no effect on inflation for Brazil, Turkey and India, and the exchange rate has an effect on the inflation rate in Indonesia and South Africa.

Anahtar Kelimeler

Exchange Rate Inflation Fragile Five ARDL Bounds Test.

Kaynakça

  • Referans1: Agenor, P.R., & Montiel, P.J. (1996). Development macroeconomics. Princeton University Press, 215.
  • Referans2: Alam, I., & R. Quazi (2003). Determinants of capital flight: An econometric case study of Bangladesh. International Review of Applied Economics, 17(1), 85-103.
  • Referans3: Albuquerque, C. R., & Portugal, M. (2005). Exchange Rate and Inflation: A Case of Sulkiness of Volatiliy. https://www.researchgate.net/publication/228816643_Excahne_rate_and_inflation_a_case_of_sulkiness_of_volatility,
  • Referans4: Asad, I., Ahmad, N., & Hussain, Z. (2012). Impact of Real Effective Exchange Rate on Inflation in Pakistan. Asian Economicand Financial Review, 2(8), 983-990.
  • Referans5: Achsani, N. A., Fauzi, A. J. F. A., & Abdullah, P. (2010). The Relationship Between Inflation and Real Exchange Rate: Comparative Study Between ASEAN+3, the EU and North America. European Journal of Economics, Finance and Administrative Sciences, 18, 69-76.
  • Referans6: Coricelli, F., Jazbec, B., & Masten, I. (2004). Exchange Rate Policy and Inflation in Acceding Countries: The Role of Pass-Through, William Davidson Institute Working Papers Series 674.
  • Referans7: Darvas, Z. (2001). Exchange Rate Pass-Through and Real Exchange Rate in EU Candidate Countries. Bundesbank Series 1 Discussion Paper No. 10.
  • Referans8: Dornbusch, R. (1976). Expectations and exchange rate Dynamics. The Journal of Political Economy, 84(6), 1161-1176.
  • Referans9: Edwards, S. (2006). The Relationship Between Exchange Rates and Inflation Targetting Revisited. The National Bureau of Economic Research, Working Paper 12163.
  • Referans10: Fetai, B., Koku, P. S., Chaushi, A., & Fetai, A. (2016). The Relationship Between Exchange Rate and Inflation: The Case of Western Balkans Countries. Journal of Business, Economics and Finance, 5(4), 360-364.
  • Referans11: Fosu, O. A. E., & Joseph, M. F. (2006). Aggregate import demand and expenditure components in Ghana: An econometric analysis. MPRA Paper No.599, August.
  • Referans12: Granger, C.W.J., & Newbold P.(1974). Spurious regressions in econometrics. Journal of Econometrics, 2, 111 120.
  • Referans13: Helali, K., Kalai, M., & Boujelben, T. (2014). Exchange Rate Pass-Through to Domestic Prices in Tunisia: A Short and Long Run Analysis. University of Sfax. Faculty of Economics and Management of Sfax. MPRA Paper, No:62204
  • Referans14: Imımole, B., & Enoma, A. (2011). Exchange Rate Depreciation and Inflation in Nigeria (1986-2008). Business and Economics Journal,
  • Referans15: Johansen, S., & K. Juselius (1990). Maximum Likelihood Estimation and Inference on Cointegration with Applications to The Demand for Money. Oxford Bulletin of Economics and Statistics, 52, 169-210.
  • Referans16: Kataranova, M. (2010). The Relationship Between the Exchange Rate and Inflation in Russia, Problems of Economic Transition, 53(3), 45-68, DOI: 10.2753/PET1061-1991530303
  • Referans17:Kesavarajah, M. (2001). A Multivariate Cointegration Analysis of Inflation in Sri Lanka. http://repository.kln.ac.lk/handle/123456789/4534,
  • Referans18:Kholdy, S., & Sohrabian, A. (1990). Exchange Rates and Prices: Evidence from Granger Causality Test. Journal of Post Keynesian Economics, 13: 71–78.
  • Referans19: Lado, E. P. Z. (2015). Test of Relationship Between Exchange Rate and Inflation in South Sudan: Granger-Causality Approach. Economics, 4(2), 34-40.
  • Referans20: Leigh, D., & Rossi, M. (2002). Exchange Rate Pass-through in Turkey. IMF Working Paper, https://www.imf.org/external/pubs/ft/wp/2002/wp02204.pdf
  • Referans21: Madesha, W., Chidoko, C., & Zivanomoyo, J. (2013). Empirical Test of the Relationship Between Exchange Rate and Inflation in Zimbabwe. Journal of Economics and Sustainable Development, 4(1), 52-58.
  • Referans22: McCarthy, J. (2000). Pass-through of exchange rates and import prices to domestic inflation in some industrialized economies. FRB of New York Staff Report, (111).
  • Referans23: Mıhaljek, D., & Klau, M. (2001). A Note on the Pass-Through From Exchange Rate and Foreign Price Changes to Inflation in Selected Emerging Market Economies. Bank for International Settlements, 8, 69-81.
  • Referans24 :Minella, A. vd. (2002). Inflation Targeting in Brazil: Lessons and Challenges. BIS Papers, 19.
  • Referans25: Mohanty, B., & Bhanumurthy, N.R. (2014). Exchange Rate Regimes and Inflation: Evidence from India. National Institute of Public Finance and Policy Working Paper 130.
  • Referans26: Morgan Stanley Research Outlook, (2013) Global Currency Research Team, 1-38. http://www.morganstanleyfa.com/public/projectfiles/dce4d168-15f9-4245-9605- e37e2caf114c.pdf
  • Referans27: Muço, M., Sanfey, P., & Taci, A. (2004). Inflation, Exchange Rates and The Role of Monetary Policy in Albania. European Bank forReconstruction and Development WorkingPaper No:88.
  • Referans28: Narayan S., & Narayan P.K. (2004). Determinats of demand of Fiji’s exports: An empirical investigation. The Developing Economics, 17(1), 95-112.
  • Referans29: Oriavwote, V. E. & Eshenake, S. J. (2012). Real Exchange Rate and Inflation: An Empirical Assessment of the Nigerian Experience. Mediterranean Journal of Social Sciences, 3(3), 145-153. Referans30: Osabuohien, E., Obiekwe, E., Urhie, E., & Osabohien, R. (2018). Inflation Rate, Exchange Rate Volatility and Exchange Rate Pass-Through Nexus: The Nigerian Experience. Journal of Applied Economic Sciences, 13(2), 574-585.
  • Referans31: Pesaran, M. H., Y. Shin., & R.J. Smith. 2001. Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16(3), 289–326.
  • Referans32: Sharif, S. H. (2017). Macroeconomic Impact on the Exchange Rate of SAARC Countries. International Journal of Applied Economic Studies, 5(1), 1-9.
  • Referans33:Sheefeni, J., & Ocran, M. (2014). Rate Pass-Through to Domestic Prices in Namibia: SVAR Evidence. Journal of Economic and Financial Sciences, 7(1), 89–102.
  • Referans34: Smile, D. (2016). Exchange Rate Pass-through And Inflation- Targeting: Evidence From South Africa, Camera Di Commercio Di Genova International Economics, 69(2), 121-150.
  • Referans35: Svensson, L.E.O. (2000). Open-economy ınflation targeting. Journal of International Economics, 50, 155–183.
  • Referans36: Vicente, C. (2007). Exchange Rate and Consumer Prices in Mozambique: A Cointegration Approach. Instituto de Estodos Sociais Economicos, 40, 1-24.
  • Referans37: Westerlund, J. (2006). Testingfor Panel Cointegration with Multiple Structural Breaks. Oxford Bulletin of Economics and Statistics, 68(1), 101- 132.
  • Referans38: Yien, L. C., Abdullah, H., & Azam, M. (2017). Granger Causality Analysis Between Inflation, Debt and Exchange Rate: Evidence from Malaysia. International Journal of Academic Research in Accounting, Finance and Management Sciences, 7(1), 189–196.
  • Referans39: Zaferio, E. A., Theodoros, C. K., & Spyridon, C. S. (2008). An EmpiricalStudy of the Relationship Between the Real Exchange Koruna-Dollar Rate and Economics Fundamentals for Czec Republic and US. International Conference on Applied Economics, 945-951.
Toplam 38 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Bölüm Makaleler
Yazarlar

Murat Emikönel 0000-0002-8415-0510

Ayhan Orhan 0000-0002-8109-4306

Erken Görünüm Tarihi 2 Haziran 2023
Yayımlanma Tarihi 11 Mayıs 2023
Yayımlandığı Sayı Yıl 2023 Cilt: 18 Sayı: 70

Kaynak Göster

APA Emikönel, M., & Orhan, A. (2023). An Empiric Analysis on The Relationship Between Exchange Rates and Inflation in Fragile Five Countries. Yaşar Üniversitesi E-Dergisi, 18(70), 237-251.
AMA Emikönel M, Orhan A. An Empiric Analysis on The Relationship Between Exchange Rates and Inflation in Fragile Five Countries. Yaşar Üniversitesi E-Dergisi. Mayıs 2023;18(70):237-251.
Chicago Emikönel, Murat, ve Ayhan Orhan. “An Empiric Analysis on The Relationship Between Exchange Rates and Inflation in Fragile Five Countries”. Yaşar Üniversitesi E-Dergisi 18, sy. 70 (Mayıs 2023): 237-51.
EndNote Emikönel M, Orhan A (01 Mayıs 2023) An Empiric Analysis on The Relationship Between Exchange Rates and Inflation in Fragile Five Countries. Yaşar Üniversitesi E-Dergisi 18 70 237–251.
IEEE M. Emikönel ve A. Orhan, “An Empiric Analysis on The Relationship Between Exchange Rates and Inflation in Fragile Five Countries”, Yaşar Üniversitesi E-Dergisi, c. 18, sy. 70, ss. 237–251, 2023.
ISNAD Emikönel, Murat - Orhan, Ayhan. “An Empiric Analysis on The Relationship Between Exchange Rates and Inflation in Fragile Five Countries”. Yaşar Üniversitesi E-Dergisi 18/70 (Mayıs 2023), 237-251.
JAMA Emikönel M, Orhan A. An Empiric Analysis on The Relationship Between Exchange Rates and Inflation in Fragile Five Countries. Yaşar Üniversitesi E-Dergisi. 2023;18:237–251.
MLA Emikönel, Murat ve Ayhan Orhan. “An Empiric Analysis on The Relationship Between Exchange Rates and Inflation in Fragile Five Countries”. Yaşar Üniversitesi E-Dergisi, c. 18, sy. 70, 2023, ss. 237-51.
Vancouver Emikönel M, Orhan A. An Empiric Analysis on The Relationship Between Exchange Rates and Inflation in Fragile Five Countries. Yaşar Üniversitesi E-Dergisi. 2023;18(70):237-51.
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