Do Oil Prices Still Matter for Macroeconomic Performance? An ARDL Model for Turkey

Abstract

Understanding the effect of oil price swings on macroeconomic performance is decisive in the analysis for policy makers. This need has made it necessary to conduct sophisticated investigations for researchers since the first OPEC embargo. Analyses that focused on the traditional linear relationship between oil price changes and macroeconomic performance were followed by nonlinear and asymmetrical analyses, as well as ARDL methods, both in developed and developing countries in recent years. To that end, this study aims to investigate the existence of a long-run and short-run relationship between oil prices and economic growth, proxied by industrial production index, consumer price index, and real exchange rates applying ARDL cointegration analysis to monthly data for the 2001:07 and 2023:05 period in Turkey. Results of our empirical model show that industrial production is positively related to oil prices between 2001:07 and 2017:08. However, the relationship between real oil prices and the industraial production index shifts a negative correlation from 2017:09 to 2023:05.

Keywords

• Oil price
• ARDL bounding test
• real exchange rate
• industrial production
• Turkey

Abstract

Petrol fiyatlarındaki değişimin makroekonomik performans üzerindeki etkisinin anlaşılması politikacıların analizleri için oldukça hayatidir. Birinci OPEC ambargosundan bu yana, söz konusu ihtiyaç araştırmacıları detaylı analizleri gerçekleştirmeye sevk etmiştir. Son yıllarda gelişmiş ve gelişmekte olan ülkelerde petrol fiyatları ile makroekonomik performans arasındaki klasik doğrusal ilişki analizleri, doğrusal olmayan, asimetrik ve ARDL yöntemlerince de sürdürülmüştür. Bu çalışma aylık veriler kullanarak 2001:07- 2023:05 dönemi için reel petrol fiyatları, sanayi üretim endeksi, tüketici fiyat endeksi ve reel döviz kuru arasındaki kısa ve uzun dönem ilişkiyi ARDL eş bütünleşme modeli yardımıyla araştırmayı amaçlamaktadır. Elde edilen sonuçlara göre Türkiye’de, 2001:07 ila 2017:08 dönemi arasında reel petrol fiyatları ile sanayi üretimi indeksi arasında hem kısa dönemde hem de uzun dönemde pozitif bir ilişki görülmektedir. Ancak 2017:09 ila 2023:05 arasında bu ilişki hem kısa hem de uzun dönemde negatife dönmektedir.

Keywords

• Petrol fiyatı
• ARDL sınır testi
• Reel döviz kuru
• Sanayi üretimi
• Türkiye

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