Analysis of the Causality between Airline Price Index and Dollar and Oil Prices

Year 2025, Volume: 11 Issue: 1, 206 - 224, 31.05.2025

Kasım Kiracı , Mehmet Yaşar , Ahmet Zelka , Cemile Angay

https://doi.org/10.30613/curesosc.1581792

Abstract

The Airline Price Index is a stock market index that monitors the stock prices of companies within the airline industry, reflecting the overall value of these airline companies. This index is an important tool for assessing the financial health, economic status, and market performance of the airline industry. This study aims to explore the causal relationships between the Airline Price Index (AIR), the Dollar Index (DXY), and Oil Prices (OIL), thereby contributing to a deeper understanding of the dynamics influencing the airline industry. In this study, a number of different Granger causality tests are employed, including the Granger causality test, the Fourier Toda-Yamamoto causality test, the Fourier Standard Granger causality test, and the Fourier Toda & Yamamoto test, as well as the cumulative frequency test and the Hatemi-J (2012) causality analysis. These are used to examine the causality relationship between AIR, OIL and DXY. The results of the analysis indicate that the expected causality relationship from OIL to AIR is not supported by the entire analysis method. In contrast, the Granger causality test results indicate that there is a unidirectional causal relationship from AIR to OIL and DXY. Furthermore, the results of the Fourier-Toda-Yamamoto and Fourier standard Granger analyses are consistent with one another. Considering these findings, it can be concluded that there is bidirectional causality between DXY and AIR. The findings of the Fourier-Toda & Yamamoto (cumulative frequency) analysis indicate the presence of a causality relationship from AIR to OIL and DXY. These findings are consistent with the results of Granger causality tests.

Keywords

Airline Index, Oil Prices, Dollar Index, Causality, Asymmetric Causality.

Havayolu Fiyat Endeksi ile Dolar ve Petrol Fiyatları Arasındaki Nedensellik Analizi

Abstract

Havayolu Fiyat Endeksi, havayolu sektöründeki şirketlerin hisse senedi fiyatlarını izleyen ve bu havayolu şirketlerinin genel değerini yansıtan bir borsa endeksidir. Bu endeks, havayolu endüstrisinin mali sağlığını, ekonomik durumunu ve piyasa performansını değerlendirmek için önemli bir araçtır. Yakıt maliyetleri, havayolları için en önemli operasyonel giderlerden birini temsil eder ve yakıt fiyatları ile havayolu performansı arasında potansiyel bir ilişki olduğunu gösterir. Bu çalışma, Havayolu Fiyat Endeksi (AIR), Dolar Endeksi (DXY) ve Petrol Fiyatları (OIL) arasındaki nedensel ilişkileri araştırmayı ve böylece havayolu endüstrisini etkileyen dinamiklerin daha iyi anlaşılmasına katkıda bulunmayı amaçlamaktadır. Bu çalışmada, Granger nedensellik testi, Fourier Toda-Yamamoto nedensellik testi, Fourier Standart Granger nedensellik testi ve Fourier Toda & Yamamoto testinin yanı sıra kümülatif frekans testi ve Hatemi-J (2012) nedensellik analizi de dahil olmak üzere bir dizi farklı Granger nedensellik testi kullanılmıştır. Bunlar AIR, OIL ve DXY arasındaki nedensellik ilişkisini incelemek için kullanılmıştır. Analiz sonuçları, OIL'den AIR'e doğru beklenen nedensellik ilişkisinin tüm analiz yöntemi tarafından desteklenmediğini göstermektedir. Buna karşın, Granger nedensellik testi sonuçları AIR'den OIL ve DXY'ye doğru tek yönlü bir nedensellik ilişkisi olduğunu göstermektedir. Ayrıca, Fourier-Toda-Yamamoto ve Fourier standart Granger analizlerinin sonuçları birbiriyle tutarlıdır. Bu bulgular göz önünde bulundurulduğunda, DXY ile AIR arasında çift yönlü nedensellik olduğu sonucuna varılabilir. Fourier-Toda & Yamamoto (kümülatif frekans) analizinin bulguları AIR'den OIL ve DXY'ye doğru bir nedensellik ilişkisinin varlığına işaret etmektedir. Bu bulgular Granger nedensellik testlerinin sonuçları ile tutarlıdır.

Keywords

Havayolu Endeksi, Petrol Fiyatları, Dolar Endeksi, Nedensellik, Asimetrik Nedensellik

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