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Türkiye’de Gıda Fiyatları, Döviz Kuru ve Petrol Fiyatları Arasındaki Asimetrik Ilişki

Year 2022, Issue: 37, 149 - 169, 29.12.2022
https://doi.org/10.26650/ekoist.2022.37.1168678

Abstract

Bu çalışmada Türkiye’deki gıda fiyatları ile döviz kuru ve petrol fiyatları arasındaki kısa ve uzun dönem dinamikleri 2003M1 – 2021M12 dönemleri arasında Doğrusal Olmayan ARDL (NARDL) yöntemi aracılığıyla incelenmektedir. Ampirik sonuçlar pozitif ve negatif değişimlerin etkisinin ayrıştırılmasına olanak sağlayan NARDL yöntemine göre uzun dönemli eşbütünleşme ilişkisi olduğunu göstermektedir. Çalışmada kullanılan NARDL yönteminde petrol fiyatı ve döviz kurundaki pozitif ve negatif bileşenler farklı bir biçimde ayrıştırılmaktadır. Bağımsız değişkenlerin (petrol fiyatı ve döviz kuru) pozitif negatif bileşenlerine ayrıştırılmasında Hodrick–Prescott (HP) (1997) filtresi kullanılmıştır. Değişkenlerin öncelikle HP filtresi ile trend bileşeni oluşturulmuş, daha sonra bu trend etrafındaki pozitif negatif bileşenlerine ayrıştırılmıştır. Böylelikle uzun dönemli trend etrafında pozitif ve negatif değişimlerin aynı etkiye sahip olup olmadığı ve gıda fiyatlarındaki asimetrik etkilerin varlığının incelenmesi amaçlanmaktadır. Analiz sonucunda gıda fiyatları üzerinde, petrol fiyatı ve döviz kurundaki uzun dönem trend etrafında pozitif değişmelerin negatif değişmelere nazaran daha büyük bir etkisinin olduğu sonucuna ulaşılmıştır. Petrol fiyatlarındaki pozitif değişimlerin negatif değişimlerden daha baskın olması, Türkiye gibi petrolde dışa bağımlı ülkelerde görülmesi beklenen bir durumdur. Bu durum gıda üretim süreçlerinde kullanılan (petrol de dahil olmak üzere) girdilerin ithalat yoluyla elde edilmesi, döviz gelirlerinin yüksek teknoloji ürün ihracatından ziyade turizm gelirlerine ve kısa vadeli doğrudan yabancı sermayeye bağlı olması da döviz kurundaki pozitif şokların negatif şoklara göre yüksek olmasını açıklamaktadır. Genel olarak analizde kullanılan açıklayıcı değişkenlerdeki pozitif şoklardan kaynaklanan etkinin Türkiye'deki gıda fiyatları üzerindeki negatif şoklardan daha derin bir etkiye sahip olduğu söylenebilmektedir.

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The Asymmetric Relationship Among Food Prices, the Exchange Rate, and Oil Prices in Turkey

Year 2022, Issue: 37, 149 - 169, 29.12.2022
https://doi.org/10.26650/ekoist.2022.37.1168678

Abstract

This study examines the short and long-term dynamics among food prices, the exchange rate, and oil prices in Turkey between January 2003-December 2021 using the non-linear autoregressive distributed lag (NARDL) method. The empirical results from the NARDL method, which allows positive and negative decompositions of the effects, reveal the presence of a long-term cointegration relationship. While using the NARDL method in the study, the positive and negative components of oil prices and the exchange rate were seen to decompose in different way. The Hodrick–Prescott (HP; 1997) filter was used with this method to decompose the independent variables (i.e., oil prices and the exchange rate) into their positive and negative components. The study first extracted the trend component of the variables with the HP filter, then constructed the variables according to the positive and negative components regarding this trend. Thus, the NARDL model revealed the estimated food prices to be sensitive to changes in the exchange rate and oil prices and the positive and negative changes around the long-term trend to have different effects, thus revealing the presence of asymmetric effects regarding food prices. In addition, the study has concluded the positive changes regarding the long-term trend in oil prices and the exchange rate to have a greater effect on food prices compared to the negative changes. The positive changes regarding oil prices being more dominant than the negative changes is an expected situation in oil-dependent countries such as Turkey. Other additional reasons why the positive shocks in the exchange rate are higher than the negative shocks result from the inputs used in food production processes (including oil) being obtained through imports and from foreign exchange income being dependent on tourism revenues and short-term foreign direct capital rather than high technology product exports . In general, the effects from positive shocks on the explanatory variables used in the analysis can be said to have deeper impacts on food prices in Turkey compared to the negative shocks.


References

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  • Adeosun, O. A., Olayeni, O. R., & Ayodele, O. S. (2021). Oil-food price dynamics in an oil- dependent emerging economy. International Journal of Energy Sector Management, 15(1), 36–57.
  • Adil, S., Bhatti, A. A., Waqar, S., & Amin, S. (2020). Unleashing the indirect influence of oil prices on food prices via exchange rate: New evidence from Pakistan. Journal of Public Affairs, 1–8.
  • Akçağlayan, A. (2021). Ham Petrol Fiyatlarından Gıda Fiyatlarına Asimetrik Geçişkenlik: Türkiye Örneği. Bankacılar Dergisi, 118, 18–30.
  • Algan, N., İşcan, E., & Serin, D. (2016). Enerji Fiyatlarının Dünya Gıda Fiyatları Üzerine Etkisi : Bir Sınır Testi Yaklaşımı. International Conference on Eurasian Economies, 794–800.
  • Algan, N., İşcan, E., & Serin, D. (2021). Petrol Fiyatının Gıda Fiyatları Üzerine Asimetrik Etkisi: Türkiye Örneği. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 30(1), 11–21.
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  • Baek, J., & Koo, W. W. (2010). Analyzing factors affecting U.S. food price inflation. Canadian Journal of Agricultural Economics, 58(3), 303–320.
  • Bala, U., Abdullahi, M. M., Sciences, M., Campus, Y., & State, B. (2019). The Impacts of Oil Price and Exchange Rate on Food Prices in Nigeria. Journal of Economics and Sustainable Development, 10(8), 51–56.
  • Baumeister, C., & Kilian, L. (2014). Do oil price increases cause higher food prices?. Economic Policy, 29(80), 691-747.
  • Bayramoğlu, A. T., Çetin, M., & Karabulut, G. (2016). The Impact of Biofuels Demand on Agricultural Commodity Prices: Evidence from US Corn Market. Journal of Economics, 4(2), 189-206.
  • Cao, Y., & Cheng, S. (2021). Impact of COVID-19 outbreak on multi-scale asymmetric spillovers between food and oil prices. Resources Policy, 74, 102364.
  • Chen, D., Gummi, U. M., Lu, S. B., & Mu’azu, A. (2020). Modelling the impact of oil price fluctuations on food price in high and low-income oil exporting countries. Agricultural Economics, 66(10), 458–468.
  • Chen, S. S. (2009). Oil price pass-through into inflation. Energy Economics, 31(1), 126-133.
  • Chen, S. T., Kuo, H. I., & Chen, C. C. (2010). Modeling the relationship between the oil price and global food prices. Applied Energy, 87(8), 2517–2525.
  • Cheng, S., & Cao, Y. (2019). On the relation between global food and crude oil prices: An empirical investigation in a nonlinear framework. Energy Economics, 81, 422–432.
  • Cherif, H. H., Chen, Z., & Ni, G. (2021). Modelling the symmetrical and asymmetrical effects of global oil prices on local food prices: A MENA region application. Environmental Science and Pollution Research, 28, 65499–65512.
  • Chowdhury, M. A. F., Meo, M. S., Uddin, A., & Haque, M. M. (2021). Asymmetric effect of energy price on commodity price: New evidence from NARDL and time frequency wavelet approaches. Energy, 231(120934), 1–14.
  • Çınar, G., & Hushmat, A. (2016). Impact of Volatility of World Oil Prices on Turkey’s Food Prices: GARCH Approach. Küresel İktisat ve İşletme Çalışmaları Dergisi, 5(9), 1–8.
  • Damba, O. T., Birinci, A., & Bilgiç, A. (2019). Gana’da Seçilmiş Gıda Fiyatları İle Makroekonomik Değişkenler Arasındaki Kısa ve Uzun Dönem İlişkinin Tahmini. Atatürk Üniversitesi Ziraat Fakültesi Dergisi, 50(1), 92–105.
  • Demir, Y. (2022). Küresel Enerji ve Gıda Fiyatlarının Türkiye’de Enflasyona Etkisinin Zamanla Değişen Nedensellik Analiziyle İncelenmesi. Süleyman Demirel Üniversitesi Vizyoner Dergisi, 13(33), 189–203.
  • Dickey, D. ve Fuller, W. A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root, Econometrica, 49, 1057-1072.
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There are 81 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Hüseyin İçen 0000-0002-8982-8386

Nimet Melis Esenyel İçen 0000-0003-1150-2535

Buğra Polat 0000-0002-2291-7720

Publication Date December 29, 2022
Submission Date August 31, 2022
Published in Issue Year 2022 Issue: 37

Cite

APA İçen, H., Esenyel İçen, N. M., & Polat, B. (2022). Türkiye’de Gıda Fiyatları, Döviz Kuru ve Petrol Fiyatları Arasındaki Asimetrik Ilişki. EKOIST Journal of Econometrics and Statistics(37), 149-169. https://doi.org/10.26650/ekoist.2022.37.1168678