-

Abstract

The relationship between oil prices and economic growth is the subject of many studies because oil price creates long-term macroeconomic impacts for the World economies. In this paper, therefore, the relationship between oil prices and economic growth is investigated by using time series analysis over the period of 1980–2011 for the OPEC and oil-imported countries. The results of time series analysis show that a rise in oil price creates a positive and statistically significant impact on economic growth for some oil-imported countries and a negative statistically significant effect on economic growth in Kiribati; besides, this positive relation arises only for the UAE that is a member of the OPEC. In addition, it is observed for some countries that both cointegration and causal relationships occur between the mentioned variables.

Keywords

• Oil Prices, Economic Growth, Time Series Analysis

Petrol Fiyatları ile Ekonomik Büyüme Arasındaki İlişki: Opec ve Petrol İthalatçısı Ülkeler İçin Zaman Serisi Analizi / The Relationship Between Oil Prices and Economic Growth: Time Series Analysis for the Opec and Oil-Imported Countries

Abstract

Öz: Dünya ekonomileri için yarattığı uzun dönemli makroekonomik etkiler nedeniyle

petrol fiyatları ile ekonomik büyüme arasındaki ilişkiler çok sayıda araştırmaya konu

olmuştur. Dolayısıyla bu çalışmada, petrol fiyatları ile ekonomik büyüme arasındaki ilişkiler

1980–2011 döneminde OPEC ve petrol ithalatçısı ülkeler için zaman serisi analizleri

kullanılarak araştırılmıştır. Zaman serisi analizleri, bazı petrol ithalatçısı ülkeler

için petrol fiyatlarındaki artışın ekonomik büyüme üzerinde pozitif ve istatistiki bakımdan

anlamlı etkiler yarattığını ve Kiribati’de ise negatif ve anlamlı etkiler ortaya çıkardığını

göstermiş, ayrıca pozitif yönlü ilişkinin OPEC üyesi olan sadece BAE’de ortaya çıktığını

yansıtmıştır. İlaveten, bazı ülkeler için ifade edilen değişkenler arasında hem eşbütünleşik

ve hem de nedensel ilişkilerin varlığı da ortaya konmuştur.

Anahtar Kelimeler: Petrol Fiyatları, Ekonomik Büyüme, Zaman Serisi Analizi

Abstract: The relationship between oil prices and economic growth is the subject of

many studies because oil price creates long-term macroeconomic impacts for the World

economies. In this paper, therefore, the relationship between oil prices and economic

growth is investigated by using time series analysis over the period of 1980–2011 for the

OPEC and oil-imported countries. The results of time series analysis show that a rise in

oil price creates a positive and statistically significant impact on economic growth for

some oil-imported countries and a negative statistically significant effect on economic

growth in Kiribati; besides, this positive relation arises only for the UAE that is a member

of the OPEC. In addition, it is observed for some countries that both cointegration and

causal relationships occur between the mentioned variables.

Keywords: Oil Prices, Economic Growth, Time Series Analysis

Keywords

• Petrol Fiyatları, Ekonomik Büyüme, Zaman Serisi Analizi

References

1. Abeysinghe, T. (2001). “Estimation of Direct and Indirect Impact of Oil Price on Growth”. Economics Letters, 73(2), 147-153.
2. Asafu-Adjaye, J. (2000). “The Relationship Between Energy Consumption, Energy Prices and Economic Growth: Time Series Evidence from Asian Developing Countries”. Energy Economics, 22(6), 615-625.
3. Ayadi, O. F. (2005). “Oil Price Fluctuations and the Nigerian Economy”. OPEC Review, 29(3), 199-217.
4. Barsky, R. B. and Kilian, L. (2004). “Oil and the Macroeconomy Since the 1970s”. Journal of Economic Perspectives, 18(4), 115-134.
5. Bernanke, B. S. (1983). “Irreversibility, Uncertainty and Cyclical Investment”. The Quarterly Journal of Economics, 98(1), 85-106.
6. Berument, M. H., Basak, N. and Dogan, N. (2010). “The Impact of Oil Price Shocks on the Economic Growth of Selected MENA1 Countries”. Energy Journal, 31(1), 149-175.
7. Brown, S. P. A. and Yücel, M. K. (2002). “Energy Prices and Aggregate Economic Activity: An Interpretative Survey”. The Quarterly Review of Economics and Finance, 42(2), 193-208.
8. Burbidge, J. and Harrison, A. (1984). “Testing for the Effects of Oil-Price Rises Using Vector Autoregressions”. International Economic Review, 25(2), 459-484. Chang, Y. and Wong, J. F. (2003). “Oil Price Fluctuations and Singapore Economy”. Energy Policy, 31(11), 1151-1165.

9. Charemza, W. W. and Deadman, D. F. (1993). New Directions in Econometric Practice. UK: Edward Elgar Publishing.
10. Cunado, J. and Gracia, F. P. (2003). “Do Oil Price Shocks Matter? Evidence for Some European Countries”. Energy Economics, 25(2), 137-154.
11. Darby, M. R. (1982). “The Price of Oil and World Inflation and Recession”. The American Economic Review, 72(4), 738-751.
12. Dickey, D. A. and Fuller, W. A. (1979). “Distribution of the Estimators for Autoregressive Series with a Unit Root”. Journal of the American Statistical Association, 74(366), 427-431.
13. Dickey, D. A. and Fuller, W. A. (1981). “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”. Econometrica, 49(4), 1057-1072.
14. Doroodian, K. and Boyd, R. (2003). “The Linkage Between Oil Price Shocks and Economic Growth with Inflation in the Presence of Technological Advances: A CGE Model”. Energy Policy, 31(10), 989-1006.
15. Du, L., Yanan, H. and Wei, C. (2010). “The Relationship Between Oil Price Shocks and China’s Macroeconomy: An Empirical Analysis”. Energy Policy, 38(8), 4142-4151.
16. Elder, J. and Serletis, A. (2010). “Oil Price Uncertainty”. Journal of Money, Credit and Banking, 42(6), 1137-1159.
17. Enders, W. (1995). Applied Econometric Time Series. New York: John Wiley & Sons.
18. Farzanegan, M. R. and Markwardt, G. (2009). “The Effects of Oil Price Shocks on the Iranian Economy”. Energy Economics, 31(1), 134-151.
19. Ferderer, J. P. (1996). “Oil Price Volatility and the Macroeconomy”. Journal of Macroeconomics, 18(1), 1-26.
20. Finn, M. G. (1995). “Variance Properties of Solow’s Productivity Residual and Their Cyclical Implications”. Journal of Economic Dynamics and Control, 19(57), 1249-1281.
21. Gisser, M. and Goodwin, T. H. (1986). “Crude Oil and the Macroeconomy: Tests of Some Popular Notions”. Journal of Money, Credit and Banking, 18(1), 95-103.
22. Granger, C. W. J. and Newbold, P. (1974). “Spurious Regressions in Econometrics”. Journal of Econometrics, 2(2), 111-120.
23. Guo, H. and Kliesen, K. L. (2005). “Oil Price Volatility and U.S. Macroeconomic Activity”. Federal Reserve Bank of St. Louis Review, 87(6), 669-683.
24. Hamilton, J. D. (1983). “Oil and the Macroeconomy Since World War II”. Journal of Political Economy, 91(2), 228-248.
25. Hamilton, J. D. (1988). “A Neoclassical Model of Unemployment and the Business Cycle”. Journal of Political Economy, 96(3), 593-617.
26. Hamilton, J. D. (1996). “This is What Happened to the Oil Price-Macroeconomy Relationship”. Journal of Monetary Economics, 38(2), 215-220.
27. Hamilton, J. D. (2003). “What is an Oil Shock?”. Journal of Econometrics, 113(2), 3633
28. Hamilton, J. D. (2009). “Causes and Consequences of the Oil Shock of 2007-08”. NBER Working Paper, No: 15002, 1-69.
29. Hanabusa, K. (2009). “Causality Relationship Between the Price of Oil and Economic Growth in Japan”. Energy Policy, 37(5), 1953-1957.
30. Hooker, M. A. (1996). “What Happened to the Oil Price-Macroeconomy Relationship?”. Journal of Monetary Economics, 38(2), 195-213.
31. Huntington, H. G. (1998). “Crude Oil Prices and U.S. Economic Performance: Where Does the Asymmetry Reside?”. Energy Journal, 19(4), 107-132.
32. Jayaraman, T. K. and Choong, C. K. (2009). “Growth and Oil Price: A Study of Causal Relationships in Small Pacific Island Countries”. Energy Policy, 37(6), 2182-2189.
33. Jimenez-Rodriguez, R. and Sanchez, M. (2005). “Oil Price Shocks and Real GDP Growth: Empirical Evidence for Some OECD Countries”. Applied Economics, 37(2), 201-228.
34. Jorgenson, D. W. and Wilcoxen, P. J. (1992). “Global Change, Energy Prices and US Economic Growth”. Structural Change and Economic Dynamics, 3(1), 135-1
35. Kennedy, P. (2006). Ekonometri Kılavuzu. (Çev: Muzaffer Sarımeşeli ve Şenay Açıkgöz). Baskı. Ankara: Gazi Kitabevi.
36. Kilian, L. (2008). “Exogenous Oil Supply Shocks: How Big are They and How Much do They Matter for the U.S. Economy?”. The Review of Economics and Statistics, 90(2), 216-240.
37. Kim, I. M. and Loungani, P. (1992). “The Role of Energy in Real Business Cycle Models”. Journal of Monetary Economics, 29(2), 173-189.
38. Kutlar, A. (2007). Ekonometriye Giriş. 1. Baskı. Ankara: Nobel Yayınları.
39. Lardic, S. and Mignon, V. (2008). “Oil Prices and Economic Activity: An Asymmetric Cointegration Approach”. Energy Economics, 30(3), 847-856.
40. Leduc, S. and Sill, K. (2004). “A Quantitative Analysis of Oil-Price Shocks, Systematic Monetary Policy and Economic Downturns”. Journal of Monetary Economics, 51(4), 781-808.
41. Lee, K. and Ni, S. (2002). “On the Dynamic Effects of Oil Price Shocks: A Study Using Industry Level Data”. Journal of Monetary Economics, 49(4), 823-852.
42. Lee, K., Ni, S. and Ratti, R. A. (1995). “Oil Shocks and the Macroeconomy: The Role of Price Variability”. Energy Journal, 16(4), 39-56.
43. Lorde, T., Jackman, M. and Thomas, C. (2009). “The Macroeconomic Effects of Oil Price Fluctuations on a Small Open Oil-Producing Country: The Case of Trinidad and Tobago”. Energy Policy, 37(7), 2708-2716.
44. MacKinnon, J. (1991). “Critical Values for Cointegration Tests”, R.F. Engle and C.W.J. Granger (Ed.). Long-Run Economic Relationship: Readings in Cointegration., (ss. 267-276). New York: Oxford University Press.
45. Mork, K. A. (1989). “Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton’s Results”. Journal of Political Economy, 97(3), 740-7
46. Mork, K. A., Olsen, O. and Mysen, H. T. (1994). “Macroeconomic Responses to Oil Price Increases and Decreases in Seven OECD Countries”. Energy Journal, 15(4), 19-36.
47. Mory, J. F. (1993). “Oil Prices and Economic Activity: Is the Relationship Symmetric?”. Energy Journal, 14(4), 151-162.
48. Papapetrou, E. (2001). “Oil Price Shocks, Stock Market, Economic Activity and Employment in Greece”. Energy Economics, 23(5), 511-532.
49. Prasad, A., Narayan, P. K. and Narayan, J. (2007). “Exploring the Oil Price and Real GDP Nexus for a Small Island Economy, the Fiji Islands”. Energy Policy, 35(12), 6506-6513.
50. Rotemberg, J. J. and Woodford, M. (1996). “Imperfect Competition and the Effects of Energy Price Increases on Economic Activity”. Journal of Money, Credit and Banking, 28(4), 549-577.
51. Tabata, S. (2006). “Observations on the Influence of High Oil Prices on Russia’s GDP Growth”. Eurasian Geography and Economics, 47(1), 95-111.
52. Tarı, R. (2005). Ekonometri. 3. Baskı. İstanbul: Kocaeli Üniversitesi Yayınları.
53. Turner, P. (2009). “Testing for Cointegration Using the Johansen Approach: Are We Using the Correct Critical Values?”. Journal of Applied Econometrics, 24(5), 8258
54. Yamak, N. ve Küçükkale, Y. (1997). “Türkiye’de Kamu Harcamalarının Ekonomik Büyüme İlişkisi”. İktisat İşletme Finans, 12(131), 5-15.