The Effects of Crude Oil Prices and Domestic Gasoline Prices on Industrial Production : MS-VAR Analysis

Abstract

The purpose of this study is contribute to literature by studying the effects of sudden changes both on crude oil import prices and domestic gasoline prices on industrial production for Turkey. Analyses have been done in the period of 2005:10-2014:02 by Markov-switching vector autoregressive (MS-VAR) models which are successful to capture the nonlinear properties of variables. By using of LR test, it has been found that there are 2 regimes in the analysis period and it has been found that the effect of the changes of crude oil and domestic gasoline prices on industrial production differs according to these regimes. It has also been demonstrated that there is a passthrough effect from of oil and gas prices to industrial production

Keywords

• Crude oil prices, Gasoline prices, Industrial production index, MS-VAR Model, MS-ADF Unitroot test

Ham Petrol ve Benzin Fiyatlarının Sanayi Üretimine Etkisi: MS-VAR Modelleri ile Analizi

Abstract

Bu makalenin amacı, Türkiye için ham petrol fiyatları ve benzin fiyatlarındaki ani değişimlerin sanayi üretimine etkisinin incelenerek literatüre katkı yapmaktır. Analizler 2005:10-2014:02 dönemi için değişkenlerin doğrusal olmayan özelliklerini yakalamakta başarılı olan Markov Değişim Vektör Otoregresif (MS-VAR) modelleri ile yapılmıştır. LR testi ile analiz döneminde iki rejim olduğu, ham petrol ve benzin fiyatlarındaki değişimin sanayi üretimine etkisinin bu rejimlere bağlı olarak değiştiği bulunmuştur. Ayrıca petrol ve benzin fiyatlarının sanayi üretimine geçiş etkisi olduğu ortaya konulmuştur

Keywords

• Ham petrol fiyatları, Benzin fiyatları, Sanayi üretim endeksi, MS-VAR Modeli, MS-ADF birim kök testi

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