Özet:

In this study, we examine the asymmetric pass-through effect of Brent crude oil price changes on producer and consumer price index in Turkey for the period between 1998:Q1-2019:Q4. Based on an augmented Phillips curve framework, the asymmetric effects of changes in oil prices expressed in both US Dollars and TL on the consumer price (CPI) and producer price index (PPI) are investigated with NARDL. The bound test for cointegration expresses the evidence between the oil price and the output gap. Our results show that the existence of asymmetric effects of oil prices on both inflation rates in the long run. Our estimations support a significant positive relation between crude oil price increases and inflation rates. However, the decline in oil prices either does not affect the inflation rate or effects them relatively low. According to the estimation results, a 1 percent increase in the oil price expressed in Turkish lira causes an increase of 0,27 percent and 0,18 percent in the consumer and producer inflation rates respectively. The positive shock of 1 percent in crude oil prices expressed in US dollars causes an increase of 0,21 percent and 0,17 percent in consumer and producer price indices, respectively.

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