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

Author

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  • Serdar Simonyan

    (Universidad Carlos III de Madrid, Getafe Campus, C/ Madrid, 126- 28903 Getafe, Madrid, Spain)

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.

Suggested Citation

  • Serdar Simonyan, 2020. "Asymmetric Exchange Rate Pass-Through to Import and Export Prices for Turkey: A Nonlinear Autoregressive Distributed Lag (NARDL) Approach," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 16(1), pages 35-44.
    • Handle: RePEc:usm:journl:aamjaf01601_35-44
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    References listed on IDEAS

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    1. Matthieu Bussiere, 2013. "Exchange Rate Pass-through to Trade Prices: The Role of Nonlinearities and Asymmetries," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(5), pages 731-758, October.
    2. Krzysztof Falkowski, 2018. "Trade interdependence between Russia vs. the European Union and China within the context of the competitiveness of the Russian economy," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 13(4), pages 667-687, December.
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    Cited by:

    1. Humphrey Fandamu & Manenga Ndulo & Dale Mudenda & Mercy Fandamu, 2023. "Asymmetric Exchange Rate Pass Through to Consumer Prices: Evidence from Zambia," Foreign Trade Review, , vol. 58(4), pages 504-523, November.

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