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

Year 2021, Volume: 71 Issue: 2, 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

References

• Adıgüzel, U., Bayat, T., Kayhan, S., & Nazlıoğlu, Ş. (2013). Oil prices and exchange rates in Brazil, India and Turkey: Time and frequency domain causality analysis. Siyaset, Ekonomi ve Yönetim Araştırmaları Dergisi, 1(1), 49-73. google scholar
• Adıgüzel, U., Kayhan, S. ve Bayat, T. (2016). Petrol fiyatları ve döviz kuru arasındaki ilişkinin ampirik analizi: Asimetrik nedensellik analizi. Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi, 17(2), 241-252. google scholar
• Ağazade, S. (2018). Reel döviz kuru ve petrol fiyatları ilişkisinde asimetri: Azerbaycan örneğinde bir inceleme. Uluslararası İktisadi ve İdari İncelemeler Dergisi, 2018 (Prof. Dr. Harun Terzi Özel Sayısı), 113-126. google scholar
• Amano, R. A. & Van Norden, S. (1998). Oil prices and the rise and fall of the US real exchange rate. Journal of International Money and Finance, 17, 299-316. google scholar
• Baek, J. & Kim, H. Y. (2020). On the relation between crude oil prices and exchange rates in Sub-Saharan African countries: A nonlinear ARDL approach. The Journal of International Trade & Economic Development, 29(1), 119-130. google scholar
• Basher, S. A., Haug, A. A. & Sadorsky, P. (2012). Oil prices, exchange rates and emerging stock markets. Energy Economics, 34(1), 227-240. google scholar
• Bp (2021). Statistical Review of World Energy 2021 | 70th edition. Retrieved from https://www.bp. com/content/dam/bp/business-sites/en/global/corporate/pdfs/energy-economics/statistical-review/bp-stats-review-2021-full-report.pdf google scholar
• Camarero, M. & Tamarit C. (2002). Oil prices and Spanish competitiveness: A cointegrated panel analysis. Journal of Policy Modeling, 24(6), 591-605. google scholar
• Chen, S. S. & Chen H. C. (2007). Oil prices and real exchange rates. Energy Economics, 29(3), 390404. google scholar
• Christopoulos, D. K., & Leon-Ledesma, M. A. (2010). Smooth breaks and non-linear mean reversion: Post-Bretton Woods real exchange rates. Journal of International Money and Finance, 29(6), 1076-1093. google scholar
• Cifarelli, G., & Paladino, G. (2010). Oil price dynamics and speculation: A multivariate financial approach. Energy economics, 32(2), 363-372. google scholar
• Golub, S. S. (1983). Oil prices and exchange rates. The Economic Journal, 93(371), 576-593. google scholar
• Güneş, S., & Yıldırım, C. (2013). The relationship between crude oil prices, real effective exchange rate and terms of trade: A causality analysis for Turkey. BİLTÜRK Ekonomi ve İlişkili Çalışmalar Dergisi, 1(2), 112-130. google scholar
• Hatemi-J, A. (2012). Asymmetric causality tests with an application. Empirical Economics, 43(1), 447456. google scholar
• Hatemi-J, A., & Roca, E. (2014). BRICs and PIGS in the presence of Uncle Sam and big brothers: Who drive who? Evidence based on asymmetric causality tests. Griffith Business School Discussion Papers Finance, ISSSN:1836-8123. google scholar
• Huang, Y., & Guo, F. (2007). The role of oil price shocks on China’s real exchange rate. China Economic Review, 18(4), 403-416. google scholar
• Lizardo, R. A., & Mollick, A. V. (2010). Oil price fluctuations and US dollar exchange rates. Energy Economics, 32(2), 399-408. google scholar
• Nazlioglu, S., Gormus, N. A., & Soytas, U. (2016). Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis. Energy Economics, 60, 168-175. google scholar
• OPEC Annual Statistical Bulletin (2013). OPEC share of world crude oil reserves. (http://www.opec. org/opec_web/en/d ata_graph s/330.htm). google scholar
• Pata, U. K. (2020). How is COVID-19 affecting environmental pollution in US cities? Evidence from asymmetric Fourier causality test. Air Quality, Atmosphere & Health, 13(10), 1149-1155. google scholar
• Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica: Journal of the Econometric Society, 57(6 ), 1361-1401. google scholar
• Reboredo, J. C. (2012). Modelling oil price and exchange rate co-movements. Journal of Policy Modeling, 34(3), 419-440. google scholar
• Sadorsky, P. (2000). The empirical relationship between energy futures prices and exchange rates. Energy Economics, 22, 253-266. google scholar
• Saidu, M. T., Naseem, N. A. M., Law, S. H., & Yasmin, B. (2021). Exploring the asymmetric effect of oil price on exchange rate: Evidence from the top six African net oil importers. Energy Reports. google scholar
• Şit, M. ve Alancıoğlu, E. (2019). Türkiye ekonomisinde dünya petrol fiyatları ve döviz kuru ilişkisi: Ampirik analiz. Econharran, 3(3), 22-35. google scholar
• Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250. google scholar
• World Bank (2021). World Bank Open Data. Retrieved from https://data.worldbank.org/ google scholar
• Yılancı, V., Özgür, O., & Görüş, M. S. (2019). The asymmetric effects of foreign direct investment on clean energy consumption in BRICS countries: A recently introduced hidden cointegration test. Journal of Cleaner Production, 237, 117786. google scholar
• Zhang, Y. J., Fan, Y., Tsai, H. T., & Wei, Y. M. (2008). Spillover effect of US dollar exchange rate on oil prices. Journal of Policy modeling, 30(6), 973-991. google scholar