Uluslararası Ham Petrol Fiyatlarındaki Volatilitenin İşsizlik Göstergeleri Üzerindeki Etkisi: Türkiye Örneği Üzerine Ampirik Bulgular

Abstract

Petrol fiyatları ekonomik aktiviteler üzerinde çeşitli kanallardan etkiye yol açmaktadır. Son dönemlerdeki birçok çalışma petrol fiyatlarının makro ekonomik değişkenler üzerindeki rolü üzerinde durmuştur. Bu çalışmanın amacı; Türkiye’de petrol fiyatlarıyla işsizlik arasındaki kısa/uzun dönemli ilişkiyi ortaya çıkarmaktır. 30 Yılı aşkın süredir petrol fiyatlarındaki artışın en yaygın sebebi olarak arzdaki azalmalar gösterilmektedir. 1970’lerin başında arzdaki azalmalar nedeniyle petrol fiyatları artmıştır. Bununla birlikte 1970’lerin sonunda ve 1980’lerin başında İran Şahı hükümetinin devrilmesi ve bunu izleyen İran-Irak savaşı sonucu arzdaki azalmalar da petrol fiyatlarının artmasında etken olmuştur. Çalışmamızda Türkiye’de 2005:01 ve 2009:12 döneminde petrol fiyatlarının işsizliği ne şekilde etkilediğini ortaya çıkarmak için Granger Nedensellik Modeli uygulanmıştır. Bununla beraber, sözü edilen değişkenler arasındaki ilişkinin saptanması, tahmini ve gecikme değerlerinin elde edilmesi amacıyla Vektör Otoregresif Modeli kullanılmıştır. Sonuç olarak; Türkiye’de petrol fiyatları ile işsizlik oranı arasında uzun dönemli ilişki mevcuttur. İşsizlik oranındaki değişmeler petrol fiyatlarını etkilememekte, petrol fiyatlarındaki değişiklikler işsizlik oranını etkilemektedir. Nitekim bu etki ters yönlüdür

Keywords

• Petrol fiyatları, İşsizlik, Volatilite, VAR, Granger, Türkiye

The Effect on the Indicators of Unemployment of International Crude Oil Price Volatility: Empirical Findings on the Case of Turkey

Abstract

Oil prices may have an impact on economic activity through various transmission channels. A number of recent studies have emphasized the role of oil prices and macro-economic variables. The aim of this paper is to study the short-term/longterm relationship between oil prices and unemployment in Turkey. The most common cause of increasing oil prices over the last thirty years has been a decrease in supply. Prices increased during the early 1970s as OPEC reduced supply. Again prices increased in the late 1970s and early 1980s as the collapse of the government of the Shah of Iran and subsequent war between Iran and Iraq threatened supply. We applied Granger causal modals to determine if oil prices “Granger Caused” unemployment for data between 2005:01 and 2009:12 in Turkey. However, we performed Vector Autoregressive Model (VAR) to determine the relationship between to variables in question, to estimate these relationships and to determine the delay values. As a result, long-term relationship between oil prices and unemployment rate are available in Turkey, and changes in the unemployment rate do not affect oil prices, oil prices changes affect the unemployment rate (this effect is the opposite direction)

Keywords

• Oil prices, Unemployment, Volatility, VAR, Granger, Turkey

References

1. Adrian,C.ve A.Darnell. 1990. Dictionary of Econometrics, England: Edward Elgar Pub.
2. Atukeren, Erdal. 2003. Oil Prices and the Swiss Economy. Swiss Institute for Business Cycle Research (KOF).
3. Bjornland, H.C. 2000. The Dynamic Effects of Aggregate Demand, Supply and Oil Price Shocks-A Comparative Study. The Manchester School. Vol.68(5).
4. Blanchard, J.O. ve Gali, J. 2007. The Macroeconomic Effects of Oil Price Shocks: Why are the 2000s so Different from the 1970s?
5. Bozkurt, H. 2007. Zaman Serileri Analizi. Ekin Kitabevi.
6. Brown, P.A.S., Yücel, M.K. ve Thompson, J. 2003. Business Cycles: The Role of Energy Prices. Federal Reserve Bank of Dollars. Research Department Working Paper 0304.
7. Brown, S.P.A. ve Yücel, M.K. 2002. Energy Prices and Aggregate Economic Activity: An Interpretative Survey. Federal Reserve Bank of Dallas. Forthcoming, Quarterly Review of Economics and Finance. Research Department. Working Paper 0102.
8. Charemza, W.W. ve D.F.Derek ,1992. New Directions in Econometric Practise General to Spesific Modelling,Cointegration and Vector Autoregressions, England: Edward Elgar Pub.

9. Clifford, J.W. 2008. Peak Oil: Alternatives, Renewables, and Impacts. http://www.peakoilassociates.com/PeakOilAnalysisOctober6-2007.pdf.
10. Dadkhah, K.M. ve Stijns, J.P.C. 2006. The Effects of Political Instability in the Middle East and OPEC Production Policy on Oil Prices. Middle East Economic Association Meetings, Boston, Massachusetts, USA.
11. Doğrul, H.G. ve Soytaş, U. 2010. Relationship Between Oil Prices, Interest Rate, and Unemployment: Evidence From An Emerging Market. Energy Economics. Vol.32.
12. Donald, W.J., Paul N.L. ve Inja, K.P. 2004. Oil Price Shocks and the Macroeconomy: What Has Been Learned Since 1996. The Energy Journal. Vol.25(2).
13. Downes, P. 2007. ASEAN Fiscal and Monetary Policy Responses to Rising Oil Prices. Final Report. May 2007. REPSF Project No. 06/004.
14. Estrada F.S.ve Hernandez, W.S. 2009. Oil Prices and Their Effect on Potential Output. Banco De Espana. Documentos Ocasionales No:0902.
15. François, L. ve Valerie, M. 2008. On the Influence of Oil Prices on Economic Activity and Other Macroeconomic and Financial Variables. Working Papers 05.
16. Gil-Alana, L.A. 2003. Unemployment and Real Oil Prices in Australia: A Fractionally Cointegrated Approach. Applied Economics Letters. Vol:10(4).
17. Gogineni, S. 2008. The Stock Market Reaction to Oil Prices Changes. Division of Finance, Michael F. Price College of Business, University of Oklahoma, Norman.
18. Granger, C.W.J., 1969. Investigating Causal Relations By Econometric Models and Cross-Spectral Methods. Econometrica, (37)
19. Guo, H. ve Kliesen, K.L. 2005. Oil Price Volatility and U.S. Macroeconomic Activity. Federal Reserve Bank of St. Louis Review, November/December, 87(6).
20. Güloğlu, B. 2009. Doğrusal Zaman Serileri Analizi Yayınlanmamış Ders Notları. Pamukkale Üniversitesi. Ekonometri Yaz Seminerleri. International Energy Agency (IEA), 2004. Analysis of Impact of High Oil Prices on the Global Economy.
21. Keating, J.W. 1990. Identifying VAR Models Under Rational Expectations. Journal of Monetary Economics, 25.
22. Kooros, S.K., Sussan, A.P. ve Semetesy, M. 2006. The Impact of Oil Price on Employment. International Research Journal of Finance and Economics. Issue.5.
23. Kumar, V., Leona, R.P. ve J.N Gasking ,1995. Aggregate and Disaggregate Sector Forecasting Using Consumer Confidence Measures, International Journal of Forecasting.
24. Maria, G.C. ve Gil-Alana, L.A. 2002. Unemployment and Input Prices: A Fractional Cointegration Approach. Applied Economics Letters, Taylor and Francis Journals, Vol. 9(6).
25. Marion, N.P. ve Svensson, L.E.O. 1982. Adjustment to Expected and Unexpected Oil Price Increases. National Bureau of Economic Research. Working Paper No.997.
26. Masih, R. Peters, S. ve Mello, L.D. 2010. Oil Prices Volatility and Stock Price Fluctuations in an Emerging Market: Evidence from South Korea. http://www.iese.edu/en/files/Oil%20Price%20Volatility%20and%20Stock%20 Market%20Fluctuations_tcm4-46145.pdf
27. Meyer, B. 2007. Oil Price, GDP and International Trade. The Case of Germany. Gesellschaft für Wirtschaftliche Strukturforschung mbH.
28. Michael, K. P. ve Eswar, P.S. 1996. The Employment and Wage Effects of Oil Price Changes: A Sectoral Analysis. The Review of Economics and Statistics, MIT Press, Vol. 78(3).
29. Mussa, M. 2000. The Impact of Higher Oil Prices on the Global Economy. International Monetary Fund.
30. Lütkepohl, Helmut.1993. Introduction to Multiple Time Series Analysis, Berlin, Springer –Verlag.
31. Rodriguez, R. 2002. Oil Price Shock: A Nonlinear Approach, Instituto Valenciano de Investigaciones Economicas, S.A. IVIE Working Papers. WP-EC, Vol:32.
32. Rivlin, P., Fellow, S. 2006. Implications of the Fall in Oil Prices. Telaviv Notes An Update on Middle Eastern developments by the Moshe Dayan Center.
33. Robalo, P.B. ve Salvado, J.C. 2008. Oil Price Shocks and the Portuguese Economy since the 1970s. http://ideas.repec.org/p/unl/unlfep/wp529.html.
34. Samavati, H. ve Dilts, D.A. 2007. Petroleum Prices and Their Impact on Aggregate Economic Activity: Greasing the Skids ? Proceedings of the Academy of Business Economics.
35. Sorensen, 2009. http://ssrn.com/abstract=1341013 Erişim Tarihi:22.09.2010.
36. Suliman, M.O. ve Nabi, M.S. 2008. Unemployment and Labor Market Institutions: Theory and Evidence from the GCC. International Conference on “The Unemployment Crisis in the Arab Countries” (17-18 March 2008). Cairo, Egypt.
37. Temurlenk M.S. ve Oltulular S., 2007. Türkiye’nin Temel Makro Ekonomik Değişkenlerinin Bütünleşme Dereceleri Üzerine Bir Araştırma. Türkiye Ekonometri ve İstatistik Kongresi 24-25 Mayıs 2007 – İnönü Üniversitesi Malatya
38. Thai Ministry of Energy, 2005. Recent Oil Price Crisis and the Thai Economy. “Analytical Economic Model Data and Economic Indices Development for Monitoring and Policy on Energy” Project. Semi-Annual Report. Vol:1.
39. UNCTAD, United Nations Conference on Trade and Development. 2005. The Exposure of African Governments to the Volatility of International Oil Prices, and What to do about It. AU Extraordinary Conference of Ministers of Trade on African Commodities Arusha, Tanzania, (21-24 November 2005).
40. Uri, N.D. 1995.Crude Oil Price Volatility and Unemployment in the United States. Pergamon. Energy. Vol:21(1).
41. Wakeford, J. 2006. The Impact of Oil Price Shocks on the South African Macroeconomy: History and Prospects. Accelerated and Shared Growth in South Africa: Determinants, Constraints and Opportunities, (18 - 20 October 2006). The Birchwood Hotel and Conference Centre, Johannesburg, South Africa.
42. Yahia, A.F. ve Saleh, S.A. 2008. Economic Sanctions, Oil Price Fluctuations and Employment: New Empirical Evidence from Libya. American Journal of Applied Sciences. Vol.5(12).