Modeling the exchange rate pass-through in Turkey with uncertainty and geopolitical risk: a Markov regime-switching approach
نویسندگان
چکیده
Purpose This paper aims to investigate the pass-through (PT) effect in Turkey by using quarterly data for period 1998: Q1-2019: Q2 understand dynamic potential effects of exchange rates on domestic prices. Design/methodology/approach The launches several nonlinear models which basic determinants prices are determined through Markov regime-switching (MSMs). Hence, this research follows variables consumer price index (CPI), USD rate, gross product (GDP; demand side economy), industrial production (production economic uncertainty and geopolitical risk Turkey. Findings work explores that rate economy (GDP) follow a positive relationship with CPI at both regimes. (IP) affects negatively during regime 0. Economic influences positively Regime 1, while has negative association Eventually, provides some policy proposals associated impacts GDP, IP, Originality/value One may claim any PT model, does not observe possible structural or shifts estimated parameters, might fail estimate coefficients unbiasedly efficiently. differs from available relevant works literature since considers linearity nonlinearity important reveals model path rather than linear path, is converged strongly MSMs estimates significant constant term and, parameters independent MSMs.
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ژورنال
عنوان ژورنال: Applied economic analysis
سال: 2021
ISSN: ['2632-7627']
DOI: https://doi.org/10.1108/aea-08-2020-0105