The Empirical Role of Real Crude Oil Price and Real Exchange Rate on Economic Growth: The Case of Turkey

Year 2016, Volume: 16 Issue: 4, 627 - 639, 01.09.2016

Emrah Gülay Mehmet Vedat Pazarlıoğlu

Abstract

Mostly national economies need petroleum which is the basic weighted input of the energy day by day. The general price level and production are influenced as a result of the fact that changes in petroleum prices have an impact on input prices. At the same time, fluctuations in the real exchange rate have an important effect on national economies. The aim of this study is to analyze the relationships between economic growth and real crude oil prices and economic growth and real exchange rate and to compare out-of sample forecasting performances of several models. In this context, we use the Gregory and Hansen cointegration method which allows a structural break in the relationship during the period between 1984:1 and 2010:4. Consequently, we find a negative relationship between the real crude oil price and economic growth also negative relationship between the real exchange rate and economic growth in Turkey. We use cointegration equations to establish error correction models, and we obtain forecasts to find which model can characterize of the data better. It is seen that there is a difference between models in terms of out-of sample forecasting performances

Keywords

Real Crude Oil Price, Real Exchange Rate, Economic Growth, Cointegration Analysis.

Reel Petrol Fiyatları ve Reel Döviz Kurunun Ekonomik Büyüme Üzerindeki Rolü: Türkiye Örneği

Abstract

Ulusal ekonomiler gün geçtikçe enerjinin temel girdisi olan petrole ihtiyaç duymaktadırlar. Genel fiyat düzeyi ve üretim, girdi fiyatları üzerinde bir etkiye sahip olan petrol fiyatlarındaki değişimlerin bir sonucu olarak etkilenmektedir. Aynı zamanda, reel döviz kurunda meydana gelen dalgalanmalar ulusal ekonomiler üzerinde önemli bir etkiye sahiptir. Bu çalışmanın amacı, ekonomik büyüme ile reel ham petrol fiyatları ve ekonomik büyüme ile reel döviz kuru arasındaki ilişkiyi analiz etmek ve elde edilen modellerin örneklem dışı öngörümleme performansını karşılaştırmaktır. Bu kapsamda, 1984:1 – 2010:4 dönemleri arasında yapısal kırılmaya izin veren Gregory ve Hansen Eşbütünleşme testi kullanılmıştır. Sonuç olarak, ekonomik büyüme ve reel ham petrol fiyatları, ekonomik büyüme ve reel döviz kuru arasında negatif yönlü bir ilişki bulunmuştur. Hata düzeltme modellerini elde etmede eşbütünleşik denklemler kullanılmış ve veri setini hangi modelin daha iyi karakterize ettiğini belirlemek için öngörüler elde edilmiştir. Örneklem dışı öngörümleme performansları açısından modeller arasında bir farkın olduğu görülmektedir

Keywords

Reel Ham Petrol Fiyatları, eel Döviz Kuru, Ekonomik Büyüme, Eşbütünleşme Analizi.

References

• Aliyu, S.U.R. (2009) “Impact of Oil Price Shock and Exchange Rate Volatility On Economic Growth in
• Nigeria: An Empirical Investigation”, Research Journal of International Studies, 11: 4-15. Aydın, L. and Acar, M. (2011) “Economic Impact of
• Oil Price Shocks on Turkish Economy in the coming decades: A Dynamic CGE Analysis”, Energy Policy, 39: 1731.
• Berument, H. and Dincer, N.N. (2004) “The effects of exchange rate risk on economic performance: The Turkish experience”, Applied Economics, 36: 2429
• Berument, H. and Taşçı, H. (2002) “Inflationary effect of crude oil prices in Turkey”, Physica A, 316: 568-580.
• Cook, S. (2006) “Are stock prices and economic activity cointegrated?: Evidence from the United States, 1950
• ”, Annals of Financial Economics, 2: 42-56. Çatık, A.N. and Önder, A.O. (2013) “An asymmetric analysis of the relationship between oil prices and output: The case of Turkey”, Economic Modelling, 33: 892.
• Dickey, D.A. and Fuller, W.A. (1979) “Distribution of the estimator for autoregressive time series with a unit root”, Journal of the American Statistical Association, : 427-431.
• Doğan, S., Ustaoğlu, M. and Demez, S. (2012)
• “Relationship between Real Oil Price and Real Exchange Rate: the case of Turkey”, Procedia Social and Behavioral Sciences, 58: 1293-1300.
• Domaç, I. and Shabsigh, G. (1999) “Real Exchange
• Rate Behavior and Economic Growth: Evidence From Egypt, Jordan, Morocco and Tunisia”, IMF Working Paper, WP/99/40. Edirnegil, A. and Mucuk, M. (2014) “The Effects of Oil
• Price on Turkish Economic Growth”, 12th International Academic Conference, Prague. Eichengreen, B. and Leblang, D. (2003) “Exchange
• Rates and Cohesion: Historical Perspectives and Political-Economy Considerations”, Journal of Common Market Studies, 41: 797-822. Eryiğit, M. (2009) “Effects of Oil Price Changes On the Sector Indices of İstanbul Stock Exchange”,
• International Research Journal of Finance and Economics, 25: 209-216. Eryiğit, M. (2012) “The Dynamic Relationship between
• Oil Price Shocks and Selected Macroeconomic Variables in Turkey”, Economic Research-Ekonomska Istraživanja, 25: 263-276. Ghosh, A.R., Gulde, A.M., Ostry, J.D. and Wolf, H.C. (1997) “Does The Nominal Exchange Rate Regime
• Matter?”, NBER Working Paper, No:5874.
• Ghosh, S. (2009) “Import Demand Of Crude Oil and Economic Growth: Evidence From India”, Energy Policy, 37: 699-702.
• Gregory, A.W. and Hansen, B.E. (1996) “Residual-based
• Tests for Cointegration in Models with Regime Shifts”, Journal of Economics, 70: 99-126. Gökçe, A. (2013) “The Dynamic Impacts of Oil Price
• Shocks on Turkey’s Economic Growth”, Journal of Economics and Sustainable Development , 4: 181-192. Gökmenoğlu, K., Azin, V. and Taspinar, N. (2015) “The
• Relationship between Industrial Production, GDP, Inflation and Oil Price: The Case of Turkey”, Procedia Economics and Finance, 25: 497-503. Güney, P.Ö. and Hasanov, M. (2013) “The Effects of
• Oil Prices Changes on Output Growth and Inflation: Evidence from Turkey”, Journal of Economics and Behavioral Studies, 5: 730-739. Hamilton, J.D. (1996) “This is What Happened to the Oil Price-Macroeconomy Relationship”, Journal of
• Monetary Economics, 38: 215-220. Hooker, M.A. (1994) “What Happened to the Oil Price
• Macroeconomy”, Journal of Econometrics, 31: 307-327. Jin, G. (2008) “The Impact of Oil Price Shock and Exchange rate Volatility On Economic Grwoth: A
• Comparative Analysis for Russia, Japan and China”, Research Journal of International Studies, 8: 98-111. Kandil, M., Berument, H. and Dincer, N.N. (2007) “The effects of Exchange rate fluctuations on economic activity in Turkey”, Journal of Asian Economics, 18: 466
• Koopmann, G. (1989) “Oil and The International
• Economy: Lessons From Two Price Shocks”. Transaction Publishers, New Brunswick, NJ. Lardic, S. and Mignon, V. (2006) “The impact of oil prices on GDP in European countries: an empirical investigation based on asymmetric cointegration”, Energy Policy, 34: 3910-3915.
• Lee, K., Ni, S. and Ratti, R.A. (1995) “Oil Shocks and the Macroeconomy: The role of price variability”, The Energy Journal, 16: 39-56.
• Merza, E. (2007) “Oil Exports, Non-Oil Exports And Economic Growth: Time Series Analysis For Kuwait
• (1970–2004)”, Kansas State University, Department Of Economics.
• Miguel, C., Manzano, B. and Martin-Moreno, J.M. (2003) “Oil Price Shocks and Aggregate Fluctuations”,
• The Energy Journal, 24: 47-61. Mork, K.A. (1989) “Oil and the Macroeconomy When price go up and down: An extension of Hamilton’s results”, Journal of Political Economy, 91: 740-744.
• Mork, K.A., Olsen, O. and Mysen, H.T. (1994)
• “Macroeconomic responses to oil price increases and decreases in seven OECD countries”, Energy Journal, : 19-35. Oztürk, F. (2015) “Oil Price Shocks-Macroeconomy
• Relationship in Turkey”, Asian Economic and Financial Review, 5: 846-857. Özbilgin, H.M. (2015) “A Review of the Relationship between Real Exchange Rate, Productivity, and Growth”, Central Bank Review, 15: 61-77.
• Papapetrou, E. (2001) “Oil price shocks, stock market, economic activity and employment in Greece”, Energy Economics, 23: 511-532.
• Razin, O. and Collins, S.M. (1999) “Real exchange rate misalignments and growth”, in Assaf Razin and Efraim Sadka (eds.) The Economics of Globalization:
• Policy Perspectives from Public Economics, Cambridge University Press. Rodriguez, R.J. and Sanches, M. (2004) “Oil Price
• Shocks And Real GDP Growth: An Empirical Evidence For Some OECD Countries”, European Central Bank, Working Paper Series, No:362. Republic of Turkey Energy Market Regulatory Authority. Petroleum Market Sector Report 2010, 95.
• Uğurlu, E. (2006) “Real Exchange Rate and Economic
• Growth: Turkey”, Manas Journal of Social Sciences, 22: 212. Ünlü, H. (2016) “Exchange Rate Volatility and Economic
• Growth: The Case of Turkey”, Sosyoekonomi, 24: 11-24. Yıldız, E. and Ulusoy, M.K. (2013) “The Fragility of Turkish Economy from the Perspective of Oil
• Dependency”, Managing Global Transitions, 13: 253