The early literature on inflation targeting (IT) regime argues that adopting an IT regime in itself reduces the exchange rate pass-through (ERPT). The basic logic behind this argument is that pursuing a credible and independent monetary policy will help to anchor the inflation expectations and stabilize the exchange rate volatility. In this study, we investigate whether the ERPT has increased in the last decade in Turkey where the credibility of the Central Bank of the Republic of Turkey (CBRT) has deteriorated and the exchange rate uncertainty has increased due to the weakening of commitment to inflation after political pressures although the IT regime has been implementing. Employing the Phillips curve model and then applying a narrowing window analysis, we have found that the ERPT coefficient increased as the beginning of the sample approaches towards the last observation, especially since 2011. To search for the reason behind this increase, we additionally employed a threshold regression method following the work of Murase (2013) which allows both possibility of non-linearity in the ERPT relationship and exogenously adding the threshold variable to the model. When the gap between inflation expectations and the inflation forecasts grows, then the credibility is considered to decrease and we found that the ERPT gets higher if the gap exceeds a certain threshold. Similarly, we have found evidence supporting that the ERPT coefficient was higher when the exchange rate uncertainty exceeded a certain threshold.

关于通胀目标制 (IT) 制度的早期文献认为，采用 IT 制度本身会降低汇率传递 (ERPT)。这一论点背后的基本逻辑是，奉行可靠、独立的货币政策，有助于锚定通胀预期，稳定汇率波动。在这项研究中，我们调查了土耳其的 ERPT 在过去十年中是否有所增加，土耳其共和国中央银行 (CBRT) 的可信度已经恶化，并且由于对通货膨胀的承诺减弱，汇率的不确定性增加了。尽管 IT 制度一直在实施，但仍面临政治压力。采用菲利普斯曲线模型，然后应用窄窗分析，我们发现随着样本开始接近最后一次观察，ERPT 系数增加，特别是自 2011 年以来。为了寻找这种增加背后的原因，我们在 Murase (2013) 的工作之后额外采用了阈值回归方法，它允许ERPT 关系中非线性的可能性和将阈值变量外生地添加到模型中。当通胀预期与通胀预测之间的差距扩大时，则认为可信度降低，我们发现如果差距超过某个阈值，ERPT 会变高。同样，我们发现有证据支持当汇率不确定性超过某个阈值时，ERPT 系数更高。为了寻找这种增加背后的原因，我们在 Murase (2013) 的工作之后另外采用了阈值回归方法，该方法允许 ERPT 关系中的非线性可能性以及将阈值变量外生地添加到模型中。当通胀预期与通胀预测之间的差距扩大时，则认为可信度降低，我们发现如果差距超过某个阈值，ERPT 会变高。同样，我们发现有证据支持当汇率不确定性超过某个阈值时，ERPT 系数更高。为了寻找这种增加背后的原因，我们在 Murase (2013) 的工作之后另外采用了阈值回归方法，该方法允许 ERPT 关系中的非线性可能性以及将阈值变量外生地添加到模型中。当通胀预期与通胀预测之间的差距扩大时，则认为可信度降低，我们发现如果差距超过某个阈值，ERPT 会变高。同样，我们发现有证据支持当汇率不确定性超过某个阈值时，ERPT 系数更高。当通胀预期与通胀预测之间的差距扩大时，则认为可信度降低，我们发现如果差距超过某个阈值，ERPT 会变高。同样，我们发现有证据支持当汇率不确定性超过某个阈值时，ERPT 系数更高。当通胀预期与通胀预测之间的差距扩大时，则认为可信度降低，我们发现如果差距超过某个阈值，ERPT 会变高。同样，我们发现有证据支持当汇率不确定性超过某个阈值时，ERPT 系数更高。