Time varying exhange rate pass-throguh in Turkey: A DCC GARCH analysis

Many studies in the literature examine the pass-through effect of exchange rate on inflation both specifically for Turkey and varying countries. In the majority of studies, linear ERPT value was measured using mostly VAR analysis. But as countries' inflation experiences and inflation policies changed, the study of the time-dependent ERPT structure began to attract attention. However, studies that examine the time-varying structure of ERPT, which is also the basis of this study, are more limited, and existing studies have also been applied using only certain models. There are also some studies applied for the Turkish economy in the case of nonlinear or time-varying ERPT. The main objective of this study is to evaluate time varying ERPT in the Turkish economy with DCC-GARCH analysis.