Econometric Analysis of the Effect of Oil Price Volatility on Country Economic Indicators: The Case of Turkey
Abstract
Developments in crude oil prices are closely followed in world markets and have a significant impact on the conjuncture of world economics. This study aims to investigate the effects of fluctuations in oil prices on the Turkish economy. The data used in this study cover the years 2008-2020. The macroeconomic variables used in the study are GNP, inflation, unemployment, and the current account deficit/GNP ratio. The vector autoregression (VAR) model is used to estimate the effect of volatility observed in oil prices on macroeconomic factors. According to the analysis results, the lagged values of the volatility observed in oil prices were observed to have an effect on Turkey’s inflation level. In addition, the lagged values of Turkey’s unemployment rates were determined to have an effect on its current account deficit and economic growth rates.
References
- Barsky, R. B. & Kilian, L. (2004). Oil and the macroeconomy since the 1970s, Journal of Economic Perspectives, American Economic Association, vol. 18(4), pages 115-134. google scholar
- Burbidge, J., & Harrison, A. (1984). Testing for the effects of oil-price rises using vector autoregressions International Economic Review, 25(2), 459-484. google scholar
- Darby, M. R. (1981). The Real Price of Oil and the 1970’s World Inflation, NBER Working Paper Series, 232-272. google scholar
- Ewing, B. T. & Mark A. T. (2007). Dynamic cyclical comovements of oil prices with ındustrial production, consumer prices, Unemployment and Stock Prices, Energy Policy, 5535-5540. google scholar
- Faria, J. R., Mollick, A. V., Albuquerque, P. H. & Ledesma M. A. (2009). The effect of oil price on china’s exports, China Economic Review, 793-805. google scholar
- Farzanegan, M. R. and Markwardt, G. (2009). The effect of oil price shocks on the ıranian economy, Energy Economics, 134-151. google scholar
- Gujarati, D.N. (1995). Basic econometrics, Third Edition, Singapore: McGraw-Hill Inc. google scholar
- Hamilton, J. D. (2003). Oil and the macroeconomy since world war II., Journal of Political Economy, 228-248. google scholar
- Hamilton, J. D. (2003). What is an oil shock?, Journal of Econometrics, 363-398. google scholar
- Hoel, M. (1981). Employment effects of ıncreased oil price in an economy with shortrun labor ımmobility, The Scandinavian Journal of Economics, Vol. 83, No. 2, The Impact of Rising Oil Prices on the World Economy, pp. 269-276. google scholar
- Jayaraman, T.K., Chee-Keong C. (2009). Growth and oil price: a study of causal relationship in small pasific ısland countries, Energy Policy, 2182-2189. google scholar
- Jimenez-Rodriguez, R., (2008). The ımpact of oil price shocks: evidence from the ındustries of six oecd countries, Energy Economics, 3095-3108. google scholar
- Kilian, L., (1998). Small sample confidence ıntervals for ımpulse response functions, Review of Economics and Statistics, 213-230. google scholar
- Kumar, S., (2009). The macroeconomic effects of oil price shocks: emprical evidence for ındia, Economics Bulletin, 29.1: 14-37. google scholar
- Mahalia, J., Chrystol, T., (2009). The macroeconomic effects of oil price fluctuations on a small open oil-producing country: the case of trinidad and tobago, Energy Policy, 2708- 2716. google scholar
- Pagan, A.R., (1987). Three econometric metedologies: a critical appraisal, Journal of Economic Survey, 3-23. google scholar
- Sims, C.A., (1980). Macroeconomics and reality, Econometrica, No.1: 1-48. google scholar
- Uğurlu, E. & Ünsal, A., (2009). Ham petrol ithalatı ve ekonomik büyüme: türkiye, ABMYO Dergisi, 3-14. google scholar
- Zhang, D., (2008). Oil shock and economic growth in japan: a nonlinear approach, Energy Economics, 2374-2390 google scholar
Petrol Fiyat Volatilitesinin Ülke Ekonomik Göstergelerine Etkisinin Ekonometrik Analizi: Türkiye Örneği
Abstract
Ham petrol fiyatlarındaki gelişmeler dünya piyasalarında yakından izlenmekte ve dünya ekonomik konjonktürünü önemli ölçüde etkilemektedir. En temel enerji kaynağı olan petrol, diğer sektörlere girdi sağlamadaki rolü nedeniyle büyük önem taşımaktadır. Dolayısıyla petrol fiyatlarındaki dalgalanmaların girdi fiyatlarına yansıması yoluyla girdi fiyatları ve üretim genel düzeyini etkileme potansiyeline sahip olduğu söylenebilir. Bu çalışma ile petrol fiyatlarında oluşan dalgalanmaların Türkiye ekonomisi üzerindeki etkilerinin araştırılması hedeflenmektedir. Bu çalışmada kullanılan veriler 2008-2019 yıllarını kapsamaktadır. Çalışmada kullanılan makroekonomik değişkenler GSYIH, enflasyon, işsizlik ve Cari Açık/GSYIH oranlarıdır. Petrol fiyatlarında gözlemlenen volatilitenin, makroekonomik faktörler üzerindeki etkisinin tahmininde VAR modeli kullanılmaktadır. Analiz sonuçlarına göre petrol fiyatlarında gözlemlenen volatiltenin gecikmeli değerlerinin, ülke enflasyon düzeyi üzerinde etkili olduğu görülmüştür. Bunun yanı sıra ülke işsizlik oranlarının gecikmeli değerlerinin, cari cari açık ve ekonomik büyüme oranları üzerinde etkili olduğu saptanmıştır.
References
- Barsky, R. B. & Kilian, L. (2004). Oil and the macroeconomy since the 1970s, Journal of Economic Perspectives, American Economic Association, vol. 18(4), pages 115-134. google scholar
- Burbidge, J., & Harrison, A. (1984). Testing for the effects of oil-price rises using vector autoregressions International Economic Review, 25(2), 459-484. google scholar
- Darby, M. R. (1981). The Real Price of Oil and the 1970’s World Inflation, NBER Working Paper Series, 232-272. google scholar
- Ewing, B. T. & Mark A. T. (2007). Dynamic cyclical comovements of oil prices with ındustrial production, consumer prices, Unemployment and Stock Prices, Energy Policy, 5535-5540. google scholar
- Faria, J. R., Mollick, A. V., Albuquerque, P. H. & Ledesma M. A. (2009). The effect of oil price on china’s exports, China Economic Review, 793-805. google scholar
- Farzanegan, M. R. and Markwardt, G. (2009). The effect of oil price shocks on the ıranian economy, Energy Economics, 134-151. google scholar
- Gujarati, D.N. (1995). Basic econometrics, Third Edition, Singapore: McGraw-Hill Inc. google scholar
- Hamilton, J. D. (2003). Oil and the macroeconomy since world war II., Journal of Political Economy, 228-248. google scholar
- Hamilton, J. D. (2003). What is an oil shock?, Journal of Econometrics, 363-398. google scholar
- Hoel, M. (1981). Employment effects of ıncreased oil price in an economy with shortrun labor ımmobility, The Scandinavian Journal of Economics, Vol. 83, No. 2, The Impact of Rising Oil Prices on the World Economy, pp. 269-276. google scholar
- Jayaraman, T.K., Chee-Keong C. (2009). Growth and oil price: a study of causal relationship in small pasific ısland countries, Energy Policy, 2182-2189. google scholar
- Jimenez-Rodriguez, R., (2008). The ımpact of oil price shocks: evidence from the ındustries of six oecd countries, Energy Economics, 3095-3108. google scholar
- Kilian, L., (1998). Small sample confidence ıntervals for ımpulse response functions, Review of Economics and Statistics, 213-230. google scholar
- Kumar, S., (2009). The macroeconomic effects of oil price shocks: emprical evidence for ındia, Economics Bulletin, 29.1: 14-37. google scholar
- Mahalia, J., Chrystol, T., (2009). The macroeconomic effects of oil price fluctuations on a small open oil-producing country: the case of trinidad and tobago, Energy Policy, 2708- 2716. google scholar
- Pagan, A.R., (1987). Three econometric metedologies: a critical appraisal, Journal of Economic Survey, 3-23. google scholar
- Sims, C.A., (1980). Macroeconomics and reality, Econometrica, No.1: 1-48. google scholar
- Uğurlu, E. & Ünsal, A., (2009). Ham petrol ithalatı ve ekonomik büyüme: türkiye, ABMYO Dergisi, 3-14. google scholar
- Zhang, D., (2008). Oil shock and economic growth in japan: a nonlinear approach, Energy Economics, 2374-2390 google scholar
Details
| Primary Language | Turkish |
|---|---|
| Subjects | Business Administration |
| Journal Section | RESEARCH ARTICLES |
| Authors | |
| Publication Date | September 23, 2022 |
| Published in Issue | Year 2022 Issue: 67 |
