THE RELATIONSHIP BETWEEN OIL PRICES, GEOPOLITICAL RISK, EXCHANGE RATE AND ECONOMIC POLICY UNCERTAINTY: THE CASE OF TURKEY

Year 2023, Volume: 3 Issue: 2, 87 - 104

Bekir Çelik

Abstract

Economic policy uncertainty, exchange rate, oil prices and geopolitical risk are among the most important issues in Turkey. Therefore, this study aims to analyse the causality relationship regarding the related parameters. Causality analysis results vary for various reasons. Considering this problem, Hacker and Hatemi-J (HH) (2012) bootstrap causality test and time-varying causality test analyses are used in this study. Using quarterly data for the period 1990Q1-2021Q3, the causality relationship of Turkey's relevant variables is investigated. The Bootstrap causality test reveals that there is a bidirectional causality relationship between economic policy uncertainty and geopolitical risk, a unidirectional causality relationship between economic policy uncertainty and real exchange rate, and a unidirectional causality relationship between economic policy uncertainty and real oil prices. In addition to this result, the results of the time-varying causality test confirmed the hypothesis that the causality relationship between the variables involves periodic differences.

Keywords

Economic policy uncertainty, oil prices, exchange rate, geopolitical risk, time-varying causality test

PETROL FİYATLARI, JEOPOLİTİK RİSK, DÖVİZ KURU İLE EKONOMİK POLİTİKA BELİRSİZLİĞİ İLİŞKİSİ: TÜRKİYE ÖRNEĞİ

Abstract

Türkiye’de ekonomik politika belirsizliği, döviz kuru, petrol fiyatları ve jeopolitik risk literatür incelendiğinde önemli konular arasında ilk sıralarda yer almaktadır. O nedenle ele alınan çalışmada ilgili parametrelere ilişkin nedensellik ilişkisinin analiz edilmesi amaçlanmaktadır. Çeşitli sebeplerle nedensellik analizi sonuçları değişkenlik göstermektedir. Bu sorunu göz önünde bulundurarak bu çalışmada Hacker & Hatemi-J (HH) (2012) bootstrap nedensellik testi ve zamana göre değişen nedensellik testi analizlerinden yararlanılmıştır. 1990Q1-2021Q3 dönemine ait çeyreklik verilerden yararlanılarak Türkiye’nin ilgili değişkenlerinin nedensellik ilişkisi araştırılmıştır. Bootstrap nedensellik testi sonucunda, ekonomik politika belirsizliği ile jeopolitik risk arasında çift yönlü nedensellik ilişkisi, ekonomik politika belirsizliği ile reel döviz kuru arasında tek yönlü nedensellik ilişkisi ve ekonomik politika belirsizliği ile reel petrol fiyatları arasında tek yönlü nedensellik ilişkisi olduğu tespit edilmiştir. Bu sonuca ek olarak zamana göre değişen nedensellik testi sonuçları, değişkenler arasındaki nedensellik ilişkisinin dönemsel farklılıklar içerdiği hipotezini doğrulamıştır.

Keywords

Ekonomik politika belirsizliği, petrol fiyatları, döviz kuru, jeopolitik risk, zamanla değişen nedensellik testi

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