Relationship Between Oil Prices and Real-Exchange Rate in Turkey: An Investigation Using Asymmetric Fourier Causality Analysis

Year 2021, , 549 - 568, 31.12.2021

Fatma Kızılkaya

https://doi.org/10.26650/ISTJECON2021-1019608

Abstract

Oil-importing developing countries such as Turkey may be adversely affected by the increase in oil prices, which can raise production costs and the overall level of consumer prices. Increases in oil prices in international markets may also adversely affect the foreign trade balance of oil-importing countries. In this study, annual data for the period 1960–2019 in Turkey are used to investigate asymmetric causality relationships between oil prices and real exchange rate variables. Causality relationships between oil prices and real exchange-rate series, and between positive and negative shocks of these series, are examined using  the Fourier Toda–Yamamoto method. The results show no symmetric causality relationship between oil prices and real exchange rate variables. However, a one-way causality relationship is revealed from positive oil price shocks to positive real exchange rate shocks, indicating that an increase in oil prices causes an increase in the real exchange rate in Turkey. According to these results, asymmetric effects should be considered when examining the relationship between oil prices and exchange rates in Turkey.

Keywords

Real exchange rate, Oil prices, Asymmetric fourier Toda–Yamamoto causality test

Türkiye’de Petrol Fiyatları ve Reel Döviz Kuru İlişkisinin Asimetrik Fourier Nedensellik Analizi ile İncelenmesi

Abstract

Türkiye gibi petrol ithal eden gelişmekte olan ülkeler petrol fiyatlarındaki artıştan olumsuz etkilenebilmektedir. Petrol fiyatlarının artması petrol ithal eden ülkelerde üretim maliyetlerinin ve dolayısıyla fiyatlar genel düzeyinin yükselmesine neden olabilmektedir. Ayrıca, uluslararası piyasalarda petrol fiyatlarının artış göstermesi petrol ithal eden ülkelerin dış ticaret dengelerini de olumsuz etkileyebilmektedir. Bu çalışmada Türkiye için 1960-2019 dönemi yıllık veriler kullanılmış ve petrol fiyatları ile reel döviz kuru değişkenleri arasındaki asimetrik nedensellik ilişkileri araştırılmıştır. Bu doğrultuda hem petrol fiyatları ile reel döviz kuru serileri arasındaki hem de bu serilerin pozitif ve negatif şokları arasındaki nedensellik ilişkileri Fourier Toda-Yamamoto yöntemi kullanılarak incelenmiştir. Elde edilen sonuçlar petrol fiyatları ile reel döviz kuru değişkenleri arasında simetrik nedensellik ilişkisinin olmadığını, buna rağmen pozitif petrol fiyatı şoklarından pozitif reel döviz kuru şoklarına doğru tek yönlü nedensellik ilişkisinin olduğunu göstermektedir. Yani petrol fiyatlarının artması Türkiye’de reel döviz kurunun artmasına neden olmaktadır. Bu sonuçlara göre, Türkiye’de petrol fiyatları ile döviz kuru ilişkisi incelenirken asimetrik etkilerin göz önünde bulundurulması gerekmektedir

Keywords

Reel Döviz Kuru, Petrol Fiyatları, Asimetrik Fourier Nedensellik Testi

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