Petrol Fiyatları ve Döviz Kuru İlişkisi: Seçilmiş Petrol İhracatçısı Ülkeleri için Panel Veri Analizi

Year 2019, Volume: 4 Issue: 1, 1 - 11, 30.06.2019

Sabit Baimaganbetov Zhanture Zhetibayev Elvira Alimkulova Ulmeken Makhanbetova

https://doi.org/10.25229/beta.420438

Abstract

Petrol fiyatlarında meydana gelen değişimler hem petrol ihracatçısı hem petrol ithalatçısı ülkelerinin makroekonomik değişkenleri üzerinde etkili olabilmektedir. Petrol fiyatlarındaki artış (azalış) petrol ihracatçısı ülkeler için iyi (kötü) haber iken, petrol ithlatçısı ülkeler için kötü haberdir. Bu çalışmada gelişmekte olan petrol ihracatçısı ülkelerin arasından 10 ülke seçilmektedir. Bu ülkelerin 2003-2017 aylık verileri kullanılarak Brent tipi ham petrol fiyatlarının döviz kuru üzerindeki etkileri Westerlund (2007) panel eşbütünleşme testi yardımı ile araştırılmaktadır. Elde edilen ampirik bulgulara petrol fiyatlarındaki gelişmelerin gelişmekte olan petrol ihracatçısı ülkelerin reel döviz kuru üzerinde etkili olduğunu göstermektedir.

Keywords

Petrol Fiyatları, Yatay Kesit Bağımlılığı, Panel Eşbütünleşme, Panel Nedensellik

The impact of oil price on the exchange rates: A panel analysis for Selected Oil Exporter Countries

Abstract

Changes in oil prices can affect macroeconomic variables of both oil exporters and oil importing countries. While the rise in oil prices is Good news for Oil-exporting countries, it is bad news for oil-importing countries. The study selected 10 countries from oil-exporting developing countries. The impact of Brent crude oil prices on the exchange rate using the monthly data of these countries 2003-2017 is investigated using the panel Co-Integration test of the Westerlund (2007). Empirical findings that improvements in oil prices affect the real exchange rate of oil-exporting developing countries.

Keywords

Oil Prices, Cross-Section Dependence, Panel Co-Integration, Panel Causality Test

References

• BP (2015). BP Statistical Review of World Energy (64th ed.) June 2015. Alınan yer bp.com/statistical review. Buetzer, Sascha and Habib, Maurizio Michael and Stracca, Livio, Global Exchange Rate Configurations: Do Oil Shocks Matter? (May 25, 2012). ECB Working Paper No. 1442. Available at SSRN: https://ssrn.com/abstract=2066527
• Chaudhuri, K., & Daniel, B. C. (1998). Long-run equilibrium real exchange rates and oil prices. Economics letters, 58(2), 231-238.
• Chen, S., & Chen, H. C. (2007). Oil prices and real exchange rates. Energy Economics, 29(3), 390–404.
• Dumitrescu, E., & C. Hurlin, 2012, Testing for Granger non-causality in heterogeneous panels, Economic Modelling, 29(4), 1450-1460.
• Eberhardt, M., & Bond, S. (2009). Cross-section dependence in nonstationary panel models: a novel estimator. University Library of Munich, Germany.
• Ghosh, S. (2011). Examining crude oil price–Exchange rate nexus for India during the period of extreme oil price volatility. Applied Energy, 88(5), 1886-1889.
• Hamilton, J. D. (1996). This is what happened to the oil price-macroeconomy relationship. Journal of Monetary Economics, 38(2), 215-220.
• Kaplan, F., & Aktas, A. R. (2016). Petrol Bağımlısı Ülkelerde Reel Petrol Fiyatlarının Reel Döviz Kuruna Etkisi. Business and Economics Research Journal, 7(2), 103-113.
• Krugman, P. (1983). Oil Shocks and Exchange Rate Dynamics. In Frenkel, J. A. (Eds.), Exchange Rates and International Macroeconomics (pp. 259-284). Chicago: University of Chicago Press.
• Levin, A., Lin, C. F., & Chu, C. S. J. (2002). Unit root tests in panel data: asymptotic and finitesample properties. Journal of Econometrics, 108(1), 1-24.
• O’Connell, P. G. J. (1998), “The Overvaluation of Purchasing Power Parity”, Journal of International Economics, 44(1), 1-19.
• Pesaran, M. H. (2007). A simple panel unit root test in the presence of cross‐section dependence. Journal of applied econometrics, 22(2), 265-312.
• Pesaran, M. H. (2015). Testing weak cross-sectional dependence in large panels. Econometric Reviews, 34(6-10), 1089-1117.
• Rafiq, S., Salim, R., & Bloch, H. (2009). Impact of crude oil price volatility on economic activities: An empirical investigation in the Thai economy. Resources Policy, 34(3), 121-132.
• Rafiq, S., Salim, R., & Bloch, H. (2009). Impact of crude oil price volatility on economic activities: An empirical investigation in the Thai economy. Resources Policy, 34(3), 121-132.
• Solak, A. O. (2012). Petrol fiyatlarını belirleyici faktörler. Uluslararası Alanya İşletme Fakültesi Dergisi, 4(2), 117-124.
• Tsoskounoglou, M., Ayerides, G., & Tritopoulou, E. (2008). The end of cheap oil: Current status and prospects. Energy Policy, 36(10), 3797-3806.
• Turhan, M. İ., Hacıhasanoglu, E., & Soytas, U. (2013). Oil prices and emerging market exchange rates, Emerg. Markets Finance Trade, 49(1), 21–36.
• Westerlund, J. (2007). Testing for error correction in panel data. Oxford Bulletin of Economics and Statistics, 69(6), 709-748.
• Zhang, Y. J., Fan, Y., Tsai, H. T., & Wei, Y. M. (2008). Spillover effect of US dollar exchange rate on oil prices. Journal of Policy Modeling, 30(6), 973–991.