Özet:

Exchange rates have the potential to closely affect many macroeconomic measures in countries. In this study, pass-through of inflation on exchange rates in Turkey is investigated by time series analysis with structural break considering the period of 2006:M01-2020:M06 in which the Central Bank has applied open inflation targeting regime. Stationarity of the series is examined by Carrion-i-Silvestre et al. (2009) multiple structural break unit root test and all series are determined to be I (1). The existence of cointegration relationship between the series in the models is examined by Maki (2012) multiple structural break cointegration test and the series are seen to be cointegrated. Long-term analyzes are performed by DOLS method, and in this context, it is found that when exchange rates in Turkey increased by 1% in 2006:M01-2020:M06 period, CPI increased by 0.76%, PPI by 0.80%, CPI-A by 0.78%, CPI-B by 0.73%, CPI-C by 0.69% and CPI-D by 0.72%. It is determined that the variable most affected by the exchange rate is PPI. In this case, it was seen that the increases in exchange rates caused cost inflation over the costs of imported intermediate goods and capital goods. Short term analyzes are also carried out by DOLS method and it is found that the effect of the increase in exchange rates on PPI is greater than the effect of it on CPI, as in the long term. That is, exchange rate increases did not affect PPI more than CPI. In conclusion; strong causality relationships from exchange rate to inflation in the short term and weak causality in the long term are determined.

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