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PETROL FİYATLARINDAKİ DEĞİŞİMİN TÜKETİCİ VE ÜRETİCİ FİYATLARINA ASİMETRİK GEÇİŞKENLİĞİ

Year 2022, Volume: 18 Issue: 1, 59 - 77, 31.03.2022
https://doi.org/10.17130/ijmeb.809638

Abstract

Bu çalışmada Türkiye’de 1998:Q1-2019:Q4 dönemi için Brent tipi ham petrol fiyatlarındaki değişikliklerin tüketici ve üretici fiyatları üzerindeki asimetrik etkileri incelenmektedir. Genişletilmiş Phillips eğrisi temel alınarak hem ABD Doları hem de TL ile ifade edilen petrol fiyatlarındaki değişikliklerin tüketici fiyat endeksi (TÜFE) ve üretici fiyat endeksi (Yi-ÜFE) üzerindeki etkileri doğrusal olmayan gecikmeleri dağıtılmış otoregresif modellerle araştırılmaktadır. Çalışmanın bulguları petrol fiyatlarının yurt içi fiyat düzeyleri üzerindeki etkisinin asimetrik olduğu hipotezini desteklemektedir. Petrol fiyatları ve çıktı açığındaki artış her iki enflasyon oranında artışa neden olmaktadır. Bununla birlikte petrol fiyatlarındaki düşüş enflasyon oranlarını ya etkilememekte ya da görece düşük düzeyde etkilemektedir. Tahmin sonuçlarına göre Türk lirası cinsinden ifade edilen petrol fiyatındaki yüzde 1’lik artışın tüketici ve üretici enflasyon oranlarında sırası ile yüzde 0,27 ile yüzde 0,18 artışa neden olmaktadır. ABD Doları cinsinden ifade edilen ham petrol fiyatlarındaki yüzde 1’lik pozitif şok ise tüketici ve üretici fiyat endekslerinde sırası ile yüzde 0,21 ve yüzde 0,17 artışa sebep olmaktadır.

References

  • Altınay, G. (2007). Short-run &long-run elasticities of import demand for crude oil in Turkey. Energy Policy, 35(11), 5829- 5835.
  • Álvarez, L. J., Hurtado, S., Sánchez, I. & Thomas, C. (2011). The impact of oil price changes on Spanish and euro area consumer price inflation. Economic modelling, 28(1-2), 422-431.
  • Bacon, R. W. (1991). Rockets and feathers: The asymmetric speed of adjustment of U.K. retail gasoline prices to cost changes. Energy Economics, 13(3), 211–218.
  • Berument, H. & Taşçı, H. (2002). Inflationary effect of crude oil prices in Turkey. Physica A: Statistical Mechanics and its Applications, 316(1-4), 568-580.
  • Blanchard, O. & Gali, J. (2007). The macroeconomic effects of oil shocks: Why are the 2000s so different from the 197Os?. NBER Working Paper Series, No.13368.
  • Castro, C. & Jiménez-Rodríguez, R. (2017). Oil price pass-through along the price chain in the euro area. Energy Economics, 64, 24-30.
  • Chen, S. S. (2009). Oil price pass-through into inflation. Energy Economics, 31(1), 126-133.
  • Chou, K. W. & Tseng, Y. H. (2011). Pass-through of oil prices to CPI inflation in Taiwan. International Research Journal of Finance and Economics, 69, 73-83.
  • Cunado, J., & De Gracia, F. P. (2005). Oil prices, economic activity and inflation: evidence for some Asian countries. The Quarterly Review of Economics and Finance, 45(1), 65-83.
  • Çatik, A. N. & Önder, A. Ö. (2011). Inflationary effects of oil prices in Turkey: a regime-switching approach. Emerging Markets Finance and Trade, 47(5), 125-140.
  • Çatık, A. N. & Delikbaş, E. (2016). Türkiye’de petrol, kömür ve doğal gaz talebinin fiyat ve gelir esnekliklerinin tahmin edilmesi. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 25(1), 1-20.
  • Çatık, A. N. & Karaçuka, M. (2012). Oil pass-through to domestic prices in turkey: does the change in inflation regime matter?. Economic Research-Ekonomska Istraživanja, 25(2), 277-296.
  • Dedeoğlu, D. & Kaya, H. (2014). Pass-through of oil prices to domestic prices: Evidence from an oil-hungry but oil-poor emerging market. Economic Modelling, 43(2014), 67–74.
  • Dibooglu, S. & Kibritcioglu, A. (2004). Inflation, output growth, and stabilization in Turkey, 1980–2002. Journal of Economics and Business, 56(1), 43-61.
  • Enerji İşleri Genel Müdürlüğü (2018). 20 Eylül 2020 tarihinde https://www.eigm.gov.tr/tr-TR/Denge-Tablolari/Denge-Tablolari adresinden erişildi.
  • Engle, R. F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.
  • Engle, R. F. & Granger, C. W. J. (1987). Cointegration and error correction: Representation, estimation and testing. Econometrica, 55 (2), 251–276.
  • Erkuş, S. & Karamelikli, H. (2016). Türkiye’de tüketici fiyatları ile ham petrol fiyatları arasındaki ilişkinin asimetrik analizi. In Conference On Business And Economics IV (ECBE).
  • Görüş, M. Ş. & Türköz, K. (2016). Türkiye'de petrol talebinin fiyat ve gelir esneklikleri: Ardl sınır testi ve nedensellik analizi.
  • Hamilton, J. (1983). Oil & the macroeconomy since World War II. Journal of Political Economy, 91, 593–617.
  • İbrahim, M. H. (2015). Oil and food prices in Malaysia: A nonlinear ardl analysis. Agricultural and Food Economics, 3(1), 1-12.
  • Kibritcioğlu, A. & Kibritcioğlu, B. (1999). Ham petrol ve akaryakıt ürünü fiyat artışlarının Turkiye’deki enflasyonist etkileri. Hazine Müsteşarlığı, Çalışma Tebliği Serisi, No. 21. LeBlanc, M. & Chinn, M. D. (2004). Do high oil prices presage inflation?. Business Economics. 39(2), 38–48.
  • Long, S. & 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.
  • Mork, K. A. (1989). Oil and the macroeconomy when prices go up and down: an extension of Hamilton's results. Journal of political Economy, 97(3), 740-744.
  • Meyer, J. & Von Cramon-Taubadel, S. (2002). Asymmetric price transmission: a survey (No. 723 2016-48812).
  • Nusair, S. A. (2019). Oil price and inflation dynamics in the Gulf Cooperation Council countries. Energy, 181, 997-1011.
  • Özata, E. (2019). Türkiye'de petrol fiyatlarından enflasyona asimetrik ve doğrusal olmayan geçişkenlik. optimum: Journal of Economics & Management Sciences/Ekonomi ve Yönetim Bilimleri Dergisi, 6(1), 17-32.
  • Pesaran, M.H. & Shin, Y., (1999). An autoregressive distributed lag modelling approach to cointegration analysis. In: Strom, S. (Ed.), Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium. Cambridge University Press, Cambridge.
  • Pesaran, M. H., Shin, Y. & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289-326.
  • Salisu, A. A., Isah, K. O., Oyewole, O. J. & Akanni, L. O. (2017). Modelling oil price-inflation nexus: The role of asymmetries. Energy, 125, 97-106.
  • Sek, S. K. (2017). Impact of oil price changes on domestic price inflation at disaggregated levels: Evidence from linear and nonlinear ARDL modeling. Energy, 130, 204-217.
  • Shin, Y., Yu, B. & Grrenwood-Nimmo, M. (2013). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ardl framework. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1807745 Erişim Tarihi 15.08.2020.
  • Shitile, T. S. & Usman, N.(2020) Disaggregated ınflation and asymmetric oil price pass-through in Nigeria. International Journal of Energy Economics and Policy, 10(1), 255-264.
  • Solak O. & Beşkaya A. (2013). Türkiye’nin net petrol ithalatının fiyat ve gelir esneklikleri: ARDL modelleme yaklaşımı ile eşbütünleşme analizi. Uluslararası Yönetim İktisat ve İşletme Dergisi, 9(18), 19-30.
  • Widarjono, A. & Hakim, A. (2019). Asymmetric oil price pass-through to disaggregate consumer prices in emerging market: Evidence from Indonesia. International Journal of Energy Economics and Policy. 9(6), 310-317.

ASYMMETRIC PASS-THROUGH OF CHANGE IN OIL PRICES TO CONSUMER AND PRODUCER PRICES

Year 2022, Volume: 18 Issue: 1, 59 - 77, 31.03.2022
https://doi.org/10.17130/ijmeb.809638

Abstract

In this study, we examine the asymmetric pass-through effect of Brent crude oil price changes on producer and consumer price index in Turkey for the period between 1998:Q1-2019:Q4. Based on an augmented Phillips curve framework, the asymmetric effects of changes in oil prices expressed in both US Dollars and TL on the consumer price (CPI) and producer price index (PPI) are investigated with NARDL. The bound test for cointegration expresses the evidence between the oil price and the output gap. Our results show that the existence of asymmetric effects of oil prices on both inflation rates in the long run. Our estimations support a significant positive relation between crude oil price increases and inflation rates. However, the decline in oil prices either does not affect the inflation rate or effects them relatively low. According to the estimation results, a 1 percent increase in the oil price expressed in Turkish lira causes an increase of 0,27 percent and 0,18 percent in the consumer and producer inflation rates respectively. The positive shock of 1 percent in crude oil prices expressed in US dollars causes an increase of 0,21 percent and 0,17 percent in consumer and producer price indices, respectively.

References

  • Altınay, G. (2007). Short-run &long-run elasticities of import demand for crude oil in Turkey. Energy Policy, 35(11), 5829- 5835.
  • Álvarez, L. J., Hurtado, S., Sánchez, I. & Thomas, C. (2011). The impact of oil price changes on Spanish and euro area consumer price inflation. Economic modelling, 28(1-2), 422-431.
  • Bacon, R. W. (1991). Rockets and feathers: The asymmetric speed of adjustment of U.K. retail gasoline prices to cost changes. Energy Economics, 13(3), 211–218.
  • Berument, H. & Taşçı, H. (2002). Inflationary effect of crude oil prices in Turkey. Physica A: Statistical Mechanics and its Applications, 316(1-4), 568-580.
  • Blanchard, O. & Gali, J. (2007). The macroeconomic effects of oil shocks: Why are the 2000s so different from the 197Os?. NBER Working Paper Series, No.13368.
  • Castro, C. & Jiménez-Rodríguez, R. (2017). Oil price pass-through along the price chain in the euro area. Energy Economics, 64, 24-30.
  • Chen, S. S. (2009). Oil price pass-through into inflation. Energy Economics, 31(1), 126-133.
  • Chou, K. W. & Tseng, Y. H. (2011). Pass-through of oil prices to CPI inflation in Taiwan. International Research Journal of Finance and Economics, 69, 73-83.
  • Cunado, J., & De Gracia, F. P. (2005). Oil prices, economic activity and inflation: evidence for some Asian countries. The Quarterly Review of Economics and Finance, 45(1), 65-83.
  • Çatik, A. N. & Önder, A. Ö. (2011). Inflationary effects of oil prices in Turkey: a regime-switching approach. Emerging Markets Finance and Trade, 47(5), 125-140.
  • Çatık, A. N. & Delikbaş, E. (2016). Türkiye’de petrol, kömür ve doğal gaz talebinin fiyat ve gelir esnekliklerinin tahmin edilmesi. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 25(1), 1-20.
  • Çatık, A. N. & Karaçuka, M. (2012). Oil pass-through to domestic prices in turkey: does the change in inflation regime matter?. Economic Research-Ekonomska Istraživanja, 25(2), 277-296.
  • Dedeoğlu, D. & Kaya, H. (2014). Pass-through of oil prices to domestic prices: Evidence from an oil-hungry but oil-poor emerging market. Economic Modelling, 43(2014), 67–74.
  • Dibooglu, S. & Kibritcioglu, A. (2004). Inflation, output growth, and stabilization in Turkey, 1980–2002. Journal of Economics and Business, 56(1), 43-61.
  • Enerji İşleri Genel Müdürlüğü (2018). 20 Eylül 2020 tarihinde https://www.eigm.gov.tr/tr-TR/Denge-Tablolari/Denge-Tablolari adresinden erişildi.
  • Engle, R. F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.
  • Engle, R. F. & Granger, C. W. J. (1987). Cointegration and error correction: Representation, estimation and testing. Econometrica, 55 (2), 251–276.
  • Erkuş, S. & Karamelikli, H. (2016). Türkiye’de tüketici fiyatları ile ham petrol fiyatları arasındaki ilişkinin asimetrik analizi. In Conference On Business And Economics IV (ECBE).
  • Görüş, M. Ş. & Türköz, K. (2016). Türkiye'de petrol talebinin fiyat ve gelir esneklikleri: Ardl sınır testi ve nedensellik analizi.
  • Hamilton, J. (1983). Oil & the macroeconomy since World War II. Journal of Political Economy, 91, 593–617.
  • İbrahim, M. H. (2015). Oil and food prices in Malaysia: A nonlinear ardl analysis. Agricultural and Food Economics, 3(1), 1-12.
  • Kibritcioğlu, A. & Kibritcioğlu, B. (1999). Ham petrol ve akaryakıt ürünü fiyat artışlarının Turkiye’deki enflasyonist etkileri. Hazine Müsteşarlığı, Çalışma Tebliği Serisi, No. 21. LeBlanc, M. & Chinn, M. D. (2004). Do high oil prices presage inflation?. Business Economics. 39(2), 38–48.
  • Long, S. & 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.
  • Mork, K. A. (1989). Oil and the macroeconomy when prices go up and down: an extension of Hamilton's results. Journal of political Economy, 97(3), 740-744.
  • Meyer, J. & Von Cramon-Taubadel, S. (2002). Asymmetric price transmission: a survey (No. 723 2016-48812).
  • Nusair, S. A. (2019). Oil price and inflation dynamics in the Gulf Cooperation Council countries. Energy, 181, 997-1011.
  • Özata, E. (2019). Türkiye'de petrol fiyatlarından enflasyona asimetrik ve doğrusal olmayan geçişkenlik. optimum: Journal of Economics & Management Sciences/Ekonomi ve Yönetim Bilimleri Dergisi, 6(1), 17-32.
  • Pesaran, M.H. & Shin, Y., (1999). An autoregressive distributed lag modelling approach to cointegration analysis. In: Strom, S. (Ed.), Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium. Cambridge University Press, Cambridge.
  • Pesaran, M. H., Shin, Y. & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289-326.
  • Salisu, A. A., Isah, K. O., Oyewole, O. J. & Akanni, L. O. (2017). Modelling oil price-inflation nexus: The role of asymmetries. Energy, 125, 97-106.
  • Sek, S. K. (2017). Impact of oil price changes on domestic price inflation at disaggregated levels: Evidence from linear and nonlinear ARDL modeling. Energy, 130, 204-217.
  • Shin, Y., Yu, B. & Grrenwood-Nimmo, M. (2013). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ardl framework. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1807745 Erişim Tarihi 15.08.2020.
  • Shitile, T. S. & Usman, N.(2020) Disaggregated ınflation and asymmetric oil price pass-through in Nigeria. International Journal of Energy Economics and Policy, 10(1), 255-264.
  • Solak O. & Beşkaya A. (2013). Türkiye’nin net petrol ithalatının fiyat ve gelir esneklikleri: ARDL modelleme yaklaşımı ile eşbütünleşme analizi. Uluslararası Yönetim İktisat ve İşletme Dergisi, 9(18), 19-30.
  • Widarjono, A. & Hakim, A. (2019). Asymmetric oil price pass-through to disaggregate consumer prices in emerging market: Evidence from Indonesia. International Journal of Energy Economics and Policy. 9(6), 310-317.
There are 35 citations in total.

Details

Primary Language Turkish
Journal Section Research Articles
Authors

Anıl Akçağlayan 0000-0002-4827-3636

Selçuk Gemicioğlu 0000-0001-7952-5456

Early Pub Date March 25, 2022
Publication Date March 31, 2022
Submission Date October 13, 2020
Acceptance Date October 21, 2021
Published in Issue Year 2022 Volume: 18 Issue: 1

Cite

APA Akçağlayan, A., & Gemicioğlu, S. (2022). PETROL FİYATLARINDAKİ DEĞİŞİMİN TÜKETİCİ VE ÜRETİCİ FİYATLARINA ASİMETRİK GEÇİŞKENLİĞİ. Uluslararası Yönetim İktisat Ve İşletme Dergisi, 18(1), 59-77. https://doi.org/10.17130/ijmeb.809638