{"title":"Asymmetric Exchange Rate Pass-Through to Import and Export Prices for Turkey: A Nonlinear Autoregressive Distributed Lag (NARDL) Approach","authors":"S. Simonyan","doi":"10.21315/aamjaf2020.16.1.2","DOIUrl":null,"url":null,"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.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.7000,"publicationDate":"2020-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"3","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Asian Academy of Management Journal of Accounting and Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.21315/aamjaf2020.16.1.2","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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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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
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