Asymmetric Exchange Rate Pass-Through to Import and Export Prices for Turkey: A Nonlinear Autoregressive Distributed Lag (NARDL) Approach

IF 0.7 Q4 BUSINESS, FINANCE

Asian Academy of Management Journal of Accounting and Finance Pub Date : 2020-08-14 DOI:10.21315/aamjaf2020.16.1.2

S. Simonyan

引用次数: 3

Abstract

This paper re-examines the exchange rate pass-through into trade prices in Turkey to observe possible asymmetries. This exercise is done using a Nonlinear Autoregressive Distributed Lag (NARDL) model. We provide empirical evidence that the impact of exchange rate into import and export prices are asymmetric, meaning that the export and import prices respond differently to a change in exchange rate depending on the direction. Moreover, we observe that the pass-through coefficients decline after Turkey adopts floating exchange rate regime. This result has important implications in terms of monetary policy.

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土耳其进出口价格的非对称汇率传导:非线性自回归分布滞后(NARDL)方法

本文重新考察了土耳其的汇率传递到贸易价格，以观察可能的不对称。这个练习是使用非线性自回归分布滞后(NARDL)模型完成的。我们提供的经验证据表明，汇率对进出口价格的影响是不对称的，这意味着出口和进口价格对汇率变化的反应取决于方向。此外，我们观察到土耳其采用浮动汇率制度后，传递系数下降。这一结果在货币政策方面具有重要意义。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Asian Academy of Management Journal of Accounting and Finance BUSINESS, FINANCE-

CiteScore

1.50

自引率

0.00%

发文量

审稿时长

20 weeks

期刊介绍： To provide a forum for the exchange of ideas and dissemination of empirical findings and analytical research in the specialized areas of accounting and finance with special emphasis on scholarly works with policy implications for countries in the Asia Pacific. The following are some of the topical subject areas relevant to the journal (but are not limited to): Accounting • Financial reporting and accounting standards • Auditing issues • Value based accounting and its relevance • Theory of accounting firm • Environmental auditing • Corporate governance issues • Public sector accounting Finance • Valuation of financial assets • International capital flows • Ownership and agency theory • Stock market behavior • Investment and portfolio management • Islamic banking and finance • Microstructures of financial markets