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PETROL FİYATLARI İLE TÜKETİCİ FİYAT ENDEKSİ VE HARCAMA GRUPLARI ARASINDAKİ ASİMETRİK FİYAT AKTARIMI: EŞİK EŞBÜTÜNLEŞME ANALİZİ

Year 2020, Volume: 29 Issue: 4, 315 - 330, 30.12.2020
https://doi.org/10.35379/cusosbil.748249

Abstract

Günümüzde petrol taşımacılıktan hane halkı tüketimine kadar kullanılmak üzere girdi sağlayan ve bu yönüyle önemli bir enerji tüketim kaynağı olmaktadır. Türkiye bu önemli enerji kaynağının yaklaşık %90’ nını ithal etmektedir. Petrolde dışa bağımlılığı yüksek olan Türkiye, dünya petrol fiyat dalgalanmalarından etkilenmekte ve bunu yurtiçi fiyatlarına aktarmaktadır. Bu çalışmanın amacı, dünya petrol fiyatları ile Türkiye Tüketici Fiyat Endeksi (TÜFE) ve alt harcama grupları arasındaki asimetrik fiyat aktarımının 1994-2019 yılları arası, Enders ve Siklos (2001) önerdiği eşik eşbütünleşme testleri yardımı ile incelemektir. Elde edilen sonuçlara göre, Türk lirası bazlı petrol fiyatları ile TÜFE arasında uzun dönemli asimetrik ilişki vardır, fakat alt harcama grupları için bu durum farklılaşmaktadır. Sağlık; Mobilya Ev Aletleri ve Ev Bakım Hizmetleri dışındaki tüm harcama grupları için uzun dönemli asimetrik ilişki bulunmaktadır. Bununla birlikte, Gıda, İçki ve Tütün harcama grubu dışındaki tüm harcama grupları ve genel TÜFE için Petrol Fiyatlarında meydana gelebilecek artış yönlü pozitif bir şokun negatif şoka göre daha hızlı hata düzeltme ayarlaması yapacağı sonucuna varılmaktadır.

References

  • Abdulai, A. (2002), “Using Threshold Cointegration to Estimate Asymmetric Price Transmission in The Swiss Pork Market”, Applied Economics, 34(6), 679-687.
  • Abdulkabir, N. A., Mohammed, M., Jibrin, M. T. and Jiddah, M. A. (2019), “How Distortionary Are Oil Price Shocks to Consumer Prices? Empirical Evidence from Nigeria Using Dynamic Co-Integration Models”, Journal of Economics, Management and Trade, 22(5), 1-13.
  • Akçelik, F. ve Öğünç, F. (2016), “Pass-Through of Crude Oil Prices at Different Stages in Turkey”, Central Bank Review, 16, 41-51.
  • Brown, S. P. A. and Yücel, M. K. (1999), “Oil Prices and U.S. Aggregate Economic Activity: A Question of Neutrality”, Federal Reserve Bank of Dallas Economic Review, Second Quarter, 16–23.
  • Berument, H. and Taşçı, H. (2002), “Inflationary Effect of Crude Oil Prices in Turkey”, Physica A: Statistical Mechanics and its Applications, 316, 568-580.
  • Chan, K. S. (1993, March), “Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model’’, The Annals of Statistics, 21(1), 520-533.
  • Chen, S. (2009), “Oil Price Pass-Through into Inflation”, Energy Economics, 31, 126-133.
  • Chou, K. and Tseng, Y. (2011), “Pass-Through of Oil Prices to CPI Inflation in Taiwan”, International Research Journal of Finance and Economics, 69, 73-83.
  • Cunado, J. and Perez de Gracia, F. (2005), “Oil Prices, Economic Activity and Inflation: Evidence for some Asian Countries”, The Quarterly Review of Economics and Finance, 45, 65-83.
  • Dickey, D. A. and Fuller, W. A. (1979, June), “Distribution of the Estimators for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, 74, 427-431.
  • Du, L., He, Y. and Wei, C. (2010), “The Relationship between Oil Price Shocks and China’s Macro-economy: An Empirical Analysis”, Energy Policy, 38(8), 4142-4151.
  • Enders, W. and Granger, C. W. J. (1998), “Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates”, Journal of Business & Economic Statistics, 16(3), 304-311.
  • Enders, W. and Siklos, P. L. (2001), ‘’Cointegration and Threshold Adjustment’’, Journal of Business & Economic Statistics, 19(2), 166–176.
  • Engle, R. F. and Granger, C. W. J. (1987), “"Co-integration and Error Correction: Representation, Estimation, and Testing”, Econometrica, 55(2), 251-276.
  • Erkuş, S. ve Karamelikli, H. (2016), “Türkiye’de Tüketici Fiyatları ile Ham Petrol Fiyatları Arasındaki İlişkinin Asimetrik Analizi”, Conference on Business and Economics IV (ECBE).
  • Gao, L., Kim, H. and Saba, R. (2014), “How Do Oil Price Shocks Affect Consumer Prices?”, Energy Economics, 45, 313-323.
  • Hamilton, J. D. (1983), “Oil and the Macroeconomy since World War II”, Journal of Political Economy, 91(2), 228-248.
  • Hooker, M. A. (2002), “Are Oil Shocks Inflationary? Asymmetric and Nonlinear Specifications versus Changes in Regime”, Journal of Money, Credit and Banking, 34(2), 540-561.
  • İbrahim, M. H. and Chancharoenchai, K. (2014), “How Inflationary Are Oil Price Hikes? A Disaggregated Look at Thailand Using Symmetric and Asymmetric Cointegration Model”, Journal of the Asia Pacific Economy, 19(3), 409-422.
  • Karacan, R. ve Yardım Kılıçkan, Z. (2018), “Türkiye’ de Enflasyonun, Petrol Fiyatları, Döviz Kuru Açısından Değerlendirilmesi”, Turkish Studies, 13(23), 185-194.
  • LeBlanc, M. and Chinn M. D. (2004, April), “Do High Oil Prices Presage Inflation? The Evidence from G-5 Countries”, Palgrave Macmillan Journals, 39(2), 38-48.
  • Long, S. and Liang, J. (2018), “Asymmetric and Nonlinear Pass-Through of Global Crude Oil Price to China’s PPI and CPI Inflation”, Economic Research-Ekonomska Istraživanja, 31(1), 240-251.
  • Mercan, M., Peker, O. ve Göçer, İ. (2015), “Ham Petrol Fiyat Artışlarının Enflasyonist Etkisi: Seçilmiş OECD Ülkeleri için Yapısal Kırılmalı Dinamik Panel Veri Analizi”, Doğuş Üniversitesi Dergisi, 16(2), 123-137.
  • Öksüzler, O. ve İpek, E. (2011), “Dünya Petrol Fiyatlarındaki Değişimin Büyüme ve Enflasyon Üzerindeki Etkisi: Türkiye Örneği”, Zonguldak Karaelmas Üniversitesi Sosyal Bilimler Dergisi, 7(14), 15–34.
  • Özata, E. (2019), “Türkiye’de Petrol Fiyatlarından Enflasyona Asimetrik ve Doğrusal Olmayan Geçişkenlik”, Optimum Ekonomi ve Yönetim Bilimleri Dergisi, 6(1), 17-32.
  • Petruccelli, J. D. and Woolford, S. W. (1984, June), “A Threshold AR (1) Model”, Journal of Applied Probability, 21(2), 270-286.
  • Phillips, P.C.B. and Perron, P. (1988), “Testing for a Unit Root in Time Series Regression”, Biometrika, 75(2), 335-346.
  • Rafee, B. M. and Hidhayathulla, A. (2015), “Relationship between International Crude Oil Price and the Inflation Rate (CPI) in India from 2011 to 2014”, International Journal of Advanced Research, 3, 242-250.
  • Sek, S. K. (2017), “Impact of Oil Price Changes on Domestic Price İnflation at Disaggregated Levels: Evidence from Linear and Nonlinear ARDL Modeling”, Energy, 130, 204-217.
  • Sichel, D. E. (1993), “Business Cycle Asymmetry: A Deeper Look”, Economic Inquiry, 31(2), 224-236.
  • Sun, C. (2011), ‘’ Price Dynamics in the Import Wooden Bed Market of the United States’’, Forest Policy and Economics, 13, 479–48.
  • Tang, W., Wu, L. and Zhang, Z. (2010), “Oil Price Shocks and Their Short- and Long-Term Effects on the Chinese Economy”, Energy Economics, 32, 3-14. Türkiye Cumhuriyeti Petrol İşleri Genel Müdürlüğü, (2017), Türkiye’ de Petrol Üretimi, Erişim Tarihi: 16.05.2020, https://www.petform.org.tr/arama-uretim-sektoru/turkiyede-petrol-uretimi.
  • Umar, G. and Abdulhakeem, K. A. (2010), “Oil Price Shocks and the Nigeria Economy: A Variance Autoregressive (VAR) Model”, International Journal of Business and Management, 5(8), 39-49.
  • Utkulu, U. ve Ekinci, R. (2015), “Uluslararası Emtia Fiyatlarından İç Fiyatlara Asimetrik ve Doğrusal Olmayan Fiyat Geçişkenliği: Türkiye için NARDL Modeli Bulguları”, Discussion Paper, 15.
  • Yoshizaki, Y. and Haomori, S. (2014), “The Effects of Oil Price Shocks on Expenditure Category CPI”, Applied Economics, 46(14), 1652-1664.
  • Zhou, D., Yu, H. and Li, Z. (2017), ” Effects of Fluctuations in İnternational Oil Prices on China’ s Price Level Based on VAR Model”, Journal of Discrete Mathematical Sciences and Cryptography, 20(1), 125-135.
Year 2020, Volume: 29 Issue: 4, 315 - 330, 30.12.2020
https://doi.org/10.35379/cusosbil.748249

Abstract

References

  • Abdulai, A. (2002), “Using Threshold Cointegration to Estimate Asymmetric Price Transmission in The Swiss Pork Market”, Applied Economics, 34(6), 679-687.
  • Abdulkabir, N. A., Mohammed, M., Jibrin, M. T. and Jiddah, M. A. (2019), “How Distortionary Are Oil Price Shocks to Consumer Prices? Empirical Evidence from Nigeria Using Dynamic Co-Integration Models”, Journal of Economics, Management and Trade, 22(5), 1-13.
  • Akçelik, F. ve Öğünç, F. (2016), “Pass-Through of Crude Oil Prices at Different Stages in Turkey”, Central Bank Review, 16, 41-51.
  • Brown, S. P. A. and Yücel, M. K. (1999), “Oil Prices and U.S. Aggregate Economic Activity: A Question of Neutrality”, Federal Reserve Bank of Dallas Economic Review, Second Quarter, 16–23.
  • Berument, H. and Taşçı, H. (2002), “Inflationary Effect of Crude Oil Prices in Turkey”, Physica A: Statistical Mechanics and its Applications, 316, 568-580.
  • Chan, K. S. (1993, March), “Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model’’, The Annals of Statistics, 21(1), 520-533.
  • Chen, S. (2009), “Oil Price Pass-Through into Inflation”, Energy Economics, 31, 126-133.
  • Chou, K. and Tseng, Y. (2011), “Pass-Through of Oil Prices to CPI Inflation in Taiwan”, International Research Journal of Finance and Economics, 69, 73-83.
  • Cunado, J. and Perez de Gracia, F. (2005), “Oil Prices, Economic Activity and Inflation: Evidence for some Asian Countries”, The Quarterly Review of Economics and Finance, 45, 65-83.
  • Dickey, D. A. and Fuller, W. A. (1979, June), “Distribution of the Estimators for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, 74, 427-431.
  • Du, L., He, Y. and Wei, C. (2010), “The Relationship between Oil Price Shocks and China’s Macro-economy: An Empirical Analysis”, Energy Policy, 38(8), 4142-4151.
  • Enders, W. and Granger, C. W. J. (1998), “Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates”, Journal of Business & Economic Statistics, 16(3), 304-311.
  • Enders, W. and Siklos, P. L. (2001), ‘’Cointegration and Threshold Adjustment’’, Journal of Business & Economic Statistics, 19(2), 166–176.
  • Engle, R. F. and Granger, C. W. J. (1987), “"Co-integration and Error Correction: Representation, Estimation, and Testing”, Econometrica, 55(2), 251-276.
  • Erkuş, S. ve Karamelikli, H. (2016), “Türkiye’de Tüketici Fiyatları ile Ham Petrol Fiyatları Arasındaki İlişkinin Asimetrik Analizi”, Conference on Business and Economics IV (ECBE).
  • Gao, L., Kim, H. and Saba, R. (2014), “How Do Oil Price Shocks Affect Consumer Prices?”, Energy Economics, 45, 313-323.
  • Hamilton, J. D. (1983), “Oil and the Macroeconomy since World War II”, Journal of Political Economy, 91(2), 228-248.
  • Hooker, M. A. (2002), “Are Oil Shocks Inflationary? Asymmetric and Nonlinear Specifications versus Changes in Regime”, Journal of Money, Credit and Banking, 34(2), 540-561.
  • İbrahim, M. H. and Chancharoenchai, K. (2014), “How Inflationary Are Oil Price Hikes? A Disaggregated Look at Thailand Using Symmetric and Asymmetric Cointegration Model”, Journal of the Asia Pacific Economy, 19(3), 409-422.
  • Karacan, R. ve Yardım Kılıçkan, Z. (2018), “Türkiye’ de Enflasyonun, Petrol Fiyatları, Döviz Kuru Açısından Değerlendirilmesi”, Turkish Studies, 13(23), 185-194.
  • LeBlanc, M. and Chinn M. D. (2004, April), “Do High Oil Prices Presage Inflation? The Evidence from G-5 Countries”, Palgrave Macmillan Journals, 39(2), 38-48.
  • Long, S. and Liang, J. (2018), “Asymmetric and Nonlinear Pass-Through of Global Crude Oil Price to China’s PPI and CPI Inflation”, Economic Research-Ekonomska Istraživanja, 31(1), 240-251.
  • Mercan, M., Peker, O. ve Göçer, İ. (2015), “Ham Petrol Fiyat Artışlarının Enflasyonist Etkisi: Seçilmiş OECD Ülkeleri için Yapısal Kırılmalı Dinamik Panel Veri Analizi”, Doğuş Üniversitesi Dergisi, 16(2), 123-137.
  • Öksüzler, O. ve İpek, E. (2011), “Dünya Petrol Fiyatlarındaki Değişimin Büyüme ve Enflasyon Üzerindeki Etkisi: Türkiye Örneği”, Zonguldak Karaelmas Üniversitesi Sosyal Bilimler Dergisi, 7(14), 15–34.
  • Özata, E. (2019), “Türkiye’de Petrol Fiyatlarından Enflasyona Asimetrik ve Doğrusal Olmayan Geçişkenlik”, Optimum Ekonomi ve Yönetim Bilimleri Dergisi, 6(1), 17-32.
  • Petruccelli, J. D. and Woolford, S. W. (1984, June), “A Threshold AR (1) Model”, Journal of Applied Probability, 21(2), 270-286.
  • Phillips, P.C.B. and Perron, P. (1988), “Testing for a Unit Root in Time Series Regression”, Biometrika, 75(2), 335-346.
  • Rafee, B. M. and Hidhayathulla, A. (2015), “Relationship between International Crude Oil Price and the Inflation Rate (CPI) in India from 2011 to 2014”, International Journal of Advanced Research, 3, 242-250.
  • Sek, S. K. (2017), “Impact of Oil Price Changes on Domestic Price İnflation at Disaggregated Levels: Evidence from Linear and Nonlinear ARDL Modeling”, Energy, 130, 204-217.
  • Sichel, D. E. (1993), “Business Cycle Asymmetry: A Deeper Look”, Economic Inquiry, 31(2), 224-236.
  • Sun, C. (2011), ‘’ Price Dynamics in the Import Wooden Bed Market of the United States’’, Forest Policy and Economics, 13, 479–48.
  • Tang, W., Wu, L. and Zhang, Z. (2010), “Oil Price Shocks and Their Short- and Long-Term Effects on the Chinese Economy”, Energy Economics, 32, 3-14. Türkiye Cumhuriyeti Petrol İşleri Genel Müdürlüğü, (2017), Türkiye’ de Petrol Üretimi, Erişim Tarihi: 16.05.2020, https://www.petform.org.tr/arama-uretim-sektoru/turkiyede-petrol-uretimi.
  • Umar, G. and Abdulhakeem, K. A. (2010), “Oil Price Shocks and the Nigeria Economy: A Variance Autoregressive (VAR) Model”, International Journal of Business and Management, 5(8), 39-49.
  • Utkulu, U. ve Ekinci, R. (2015), “Uluslararası Emtia Fiyatlarından İç Fiyatlara Asimetrik ve Doğrusal Olmayan Fiyat Geçişkenliği: Türkiye için NARDL Modeli Bulguları”, Discussion Paper, 15.
  • Yoshizaki, Y. and Haomori, S. (2014), “The Effects of Oil Price Shocks on Expenditure Category CPI”, Applied Economics, 46(14), 1652-1664.
  • Zhou, D., Yu, H. and Li, Z. (2017), ” Effects of Fluctuations in İnternational Oil Prices on China’ s Price Level Based on VAR Model”, Journal of Discrete Mathematical Sciences and Cryptography, 20(1), 125-135.
There are 36 citations in total.

Details

Primary Language Turkish
Journal Section Makaleler
Authors

Elif Tiryak 0000-0002-7723-1718

Nükhet Doğan 0000-0002-2115-1807

Hakan Berument 0000-0003-2276-4741

Publication Date December 30, 2020
Submission Date June 4, 2020
Published in Issue Year 2020 Volume: 29 Issue: 4

Cite

APA Tiryak, E., Doğan, N., & Berument, H. (2020). PETROL FİYATLARI İLE TÜKETİCİ FİYAT ENDEKSİ VE HARCAMA GRUPLARI ARASINDAKİ ASİMETRİK FİYAT AKTARIMI: EŞİK EŞBÜTÜNLEŞME ANALİZİ. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 29(4), 315-330. https://doi.org/10.35379/cusosbil.748249