TÜRKİYE VE SEÇİLMİŞ AVRUPA BİRLİĞİ ÜLKELERİNDE ENERJİ FİYATLARININ ENFLASYONİST ETKİLERİ

Abstract

Bu çalışma, Türkiye, Almanya, Birleşik Krallık, Fransa ve İtalya ekonomilerinde enerji fiyatları ile enflasyon arasındaki uzun dönemli ilişkiyi 1999:1-2019:12 dönemine ait aylık veriler ile Sınır Testi yaklaşımı kullanarak incelemeyi amaçlamaktadır. Çalışmadan elde edilen ampirik bulgular, tüm ülkeler için döviz kuru, petrol fiyatları ve/veya enerji fiyatlarından tüketici fiyatları ile ölçülen yurtiçi fiyatlara istatistiksel olarak anlamlı bir kısmi geçiş etkisinin bulunduğunu ortaya koymaktadır. Döviz kuru geçiş etkisinin Almanya ve Türkiye’de görece yüksek olduğu ve petrol fiyatlarında meydana gelen değişmelerin yalnızca bu iki ülkede ulusal enerji fiyatlarını anlamlı bir şekilde etkilediği tespit edilmiştir. Buna karşın Türkiye dışında analizde yer verilen tüm ülkeler için yurtiçi enerji fiyatlarında meydana gelen değişimlerin yurtiçi fiyat düzeyini pozitif yönlü etkilediği sonucuna varılmıştır.

Keywords

• Geçiş Etkisi
• Döviz Kuru
• Petrol
• Enerji
• ARDL

INFLATIONARY EFFECTS OF ENERGY PRICES IN TURKEY AND SELECTED EUROPEAN COUNTRIES

Abstract

The purpose of this study is to examine the relationship between energy prices and inflation in Turkey, Germany, the United Kingdom, France, and Italy from 1999:1 to 2019:12 using the Bounds Testing methodology. The study's empirical findings show that there are statistically significant incomplete pass-through effects from the exchange rate and/or energy price into domestic prices represented by consumer price indices in all countries. The exchange rate pass-through effect is relatively stronger in Germany and Turkey, and changes in international oil prices only have a positive impact on domestic energy prices in those countries. It is also concluded that changes in domestic energy prices have a positive impact on the domestic price level in all the countries under consideration, with the exception of Turkey.

Keywords

• Pass-through Effect
• Exchange Rate
• Oil
• Energy
• ARDL

References

1. Adeosun, O. A., Olayeni, O. R. & Ayodele, O. S. (2020). Oil-food price dynamics in an oil-dependent emerging economy. International Journal of Energy Sector Management, 15(1), 36-57.
2. Akkoç, U., Akçağlayan, A., & Akkoç, G. K. (2020). The impacts of oil price shocks in Turkey: Sectoral evidence from the FAVAR approach. Economic Change and Restructuring, https://doi.org/10.1007/s10644-020-09295-4, 1-25.
3. Alper, K. (2003). Exchange Rate Pass-Through to Domestic Prices in Turkish Economy, ODTÜ: Yükseklisans Tezi.
4. Bari, B. & Adalı, Z. (2020). How oil prices drive inflation in Turkish economy: Two different channels. Fiscaoeconomia, 4(3), 705-721.
5. Bernanke, B.S., Gertler, M. & Watson, M.. (1997). Systematic monetary policy and the effects of oil price shocks. Brookings Papers on Economic Activity, 1: 91-157.
6. Blanchard, O. J. & Gali J. (2009). The macroeconomic effects of oil price shocks: Why are the 2000s so different from the 1970s? In J. Gali and M. J. Gertler (Eds.), International Dimensions of Monetary Policy, pp. 373–421, National Bureau of Economic Research.
7. Blinder, A.S., & Rudd, J.R. (2008). The supply shock explanation of the great stagnation revisited. National Bureau of Economic Research Working Paper, 14563.
8. Castro, C., Jiménez-Rodríguez, R., Poncela, P., & Senra, E. (2017). A new look at oil price pass-through into inflation: evidence from disaggregated European data.Economia Politica, 34(1), 55-82.

9. Ca’ Zorzi, M., Hahn, E. & Sanchez, M. (2007). Exchange rate pass-through in emerging markets. European Central Bank Working Paper Series, No: 739.
10. Chen, J., Zhu, X. & Li, H. (2020). The pass-through effects of oil price shocks on China's inflation: A time-varying analysis, Energy Economics, 86, 104695.
11. Chen, S., (2009). Oil price pass-through into inflation, Energy Economics, 31(1), 126-133. Choi, S., Furceri, D., Loungani, P., Mishra, S. & Ribeiro, M.P. (2017). Oil prices and inflation dynamics: Evidence from advanced and developing Economies, IMF Working Papers, 196.
12. Chou, K. & Tseng, Y. (2011). Pass-through of oil prices to CPI inflation in Taiwan, International Research Journal of Finance and Economics, 69, 73-83.
13. Çatik A.N. & Karaçuka M. (2012). Oil pass-through to domestic prices in Turkey: Does the change in inflation regime matter?, Economic Research-Ekonomska Istraživanja, 25:2, 277-296.
14. Çatik A.N. & Önder A.Ö. (2011). Inflationary effects of oil prices in Turkey: A regime-switching approach, Emerging Markets Finance and Trade, 47:5, 125-140.
15. Çelik, T. & Akgül, B. (2011). Changes in fuel oil prices in Turkey: An estimation of the inflation effect usıng VAR Analysis. Journal of Economics and Business, 16(2), 11-21.
16. Conflitti, C. & Luciani M. (2017). Questioni di Economia e Finanza (Occasional Papers,) 405, Bank of Italy.
17. Dedeoğlu, D. & Kaya, H. (2014). Pass-through of oil prices to domestic prices: Evidence from an oil-hungry but oil-poor emerging market, Economic Modelling, 43, 67-74.
18. De Gregorio, J., Landerrectche, O., Neilson, C., Broda, C. & Rigobon, R. (2007). Another pass-through bites the dust? Oil prices and inflation, Economia, 7(2), 155-208.
19. Dickey, A.D. & Fuller, W.A (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366), 427-431.
20. Dixit A., (1989). Hysteresis, import penetration, and exchange rate pass-through. Quarterly Journal of Economics, 104(2), 205-228.
21. Dobrynskaya V.V. & Levando D.V. (2008). Exchange rate pass-through effect and monetary policy in Russia. In: Karadeloglou P., Terraza V. (eds), Exchange Rates and Macroeconomic Dynamics. Applied Econometrics Association Series, Palgrave Macmillan, London.
22. Dornbusch, R. (1987). Exchange rates and prices. American Economic Review, 77(1), 93-106.
23. Edelstein, P. & Kilian, L. (2009). How sensitive are consumer expenditures to retail energy prices?. Journal of Monetary Economics 56, 766–799.
24. Ertürk E. & Erkan, R. (2020). Petrol fiyatlarından enflasyona geçiş etkisi: Geleneksel Phillips eğrisi yöntemi ve SVAR Analizi. Ankara Üniversitesi SBF Dergisi, DOI: 10.33630/ausbf.809279.
25. Goldberg, P. K., & Knetter, M. M. (1996). Goods prices and exchange rates: what have we learned? (No. w5862). National Bureau of Economic Research.
26. Granger, C.W.J. & Newbold, P. (1974). Spurious regressions in econometrics, Journal of Econometrics, 2(2), 111-120.
27. Hamilton D.J. (1983) Oil and the macroeconomy since Word War II. Journal of Political Economy, 91, 228–248.
28. Hamilton D.J. (1996). This is what happened to oil prices-macroeconomy relationship. Journal of Monetary Economics, 38, 215–220
29. Hooker, M.A. (2002) Are oil shocks inflationary? Asymmetric and nonlinear specifications versus changes in regime, Journal of Money, Credit and Banking, 34(2), 540-561.
30. Kim, H., Lin, Y. & Thompson, H. (2020). Exchange rate pass-through to consumer prices: The increasing role of energy prices. Open Economy Review, https://doi.org/10.1007/s11079-020-09601-7
31. Kilian, L. (2014). Oil price shocks: Causes and consequences. Annual Review of Resource Economics, 6, 133–154.
32. Kpodar, K., & Imam, P.A. (2021), "To pass (or not to pass) through international fuel price changes to domestic fuel prices in developing countries: What are the drivers?". Energy Policy, 149, 111999.
33. Krugman, P. (1987). Pricing to market when the exchange rate changes., eds. S. Arndt, and J. Richardson. Cambridge, MA, MIT Press, 48-70.
34. Kun, S. S. (2019). Effect of oil price pass-through on domestic price inflation: Evidence from nonlinear ARDL models. Panoeconomicus, 66(1), 69-91.
35. Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?. Journal of Econometrics, 54(1-3), 159-178.
36. Lacheheb, M. & Sirag, A. (2019). Oil price and inflation in Algeria: A nonlinear ARDL approach. Quarterly Review of Economics and Finance, 73, 217-222.
37. Long, S. & Liang, J. (2018). Asymmetric and nonlinear pass-through of global crude oil price to China’s PPI and CPI inflation. Economic Research-Ekonomska Istraživanja, 31:1, 240-251.
38. López-Villavicencio, A. & Pourroy, M. (2019). Inflation target and (a)symmetries in the oil price pass-through to inflation. Energy Economics, 80, 860-875.
39. Lundberg, C., Skolrud, T., Adrangi, B., & Chatrath, A. (2020). Oil price pass through to agricultural commodities. American Journal of Agricultural Economics, 103(2), 721-742.
40. Maria-Dolores, R. (2010). Exchange rate Pass-hrough in new member states and candidate countries of the EU. International Review of Economics and Finance, 19, 23-35.
41. Menon, J. (1995). Exchange rate pass‐through. Journal of Economic Surveys, 9: 197-231.
42. Nusair, S.A. (2019). Oil price and inflation dynamics in the Gulf Cooperation Council countries, Energy, 181, 997-1011.
43. Obstfeld, M. (2001). International Macroeconomics: Beyond the Mundell-Flemming Model, National Bureau of Economic Research Working Paper, 8369.
44. Özata, E. (2019). Türkiye’de petrol fiyatlarından enflasyona asimetrik ve doğrusal olmayan geçişkenlik. Optimum Ekonomi ve Yönetim Bilimleri Dergisi, 6(1), 17-32.
45. Özdamar, G. (2015). Türkiye ekonomisinde döviz kuru geçiş etkisi: ARDL-Sınır testi yaklaşımı bulguları. Akdeniz İ.İ.B.F. Dergisi, 32, 66-97.
46. Özdemir, S. & Akgul, I. (2015). Inflationary effects of oil prices and domestic gasoline prices: Markov-switching-VAR analysis, Petroleum Science, 12, 355–365.
47. Pesaran, M.H., Shin, Y., & Smith, R.J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289-326.
48. Phillips, P.C.& Perron, P. (1986). Testing for a unit root in time series regression, Cowles Foundation Discussion Papers, 795R, Cowles Foundation for Research in Economics, Yale University.
49. Raheem, I. D., Bello, A. K., & Agboola, Y. H. (2020). A new insight into oil price-inflation nexus. Resources Policy, 68, 101804.
50. Renou-Maissant P. (2019). Is oil price still driving inflation?. Energy Journal, , 0(6), 199-219.
51. Salisu, A.A., Isah, K.O., Oyewole, O.J. & Akanni, L.O. (2017). Modelling oil price-inflation nexus: The role of asymmetries. Energy, 125, 97-106.
52. Sek, S.K., Teo, X.Q., & Wong, Y.N. (2015). A Comparative study on the effects of oil price changes on inflation. Procedia Economics and Finance, 26, 630 – 636.
53. Sek, S. K. (2017). Impact of oil price changes on domestic price inflation at disaggregated levels: Evidence from linear and nonlinear ARDL modeling. Energy, 130, 204-217.
54. Sekine A. (2020). Oil price pass-through to consumer prices and the inflationary environment: a STAR approach. Applied Economics Letters, 27:6, 484-488.
55. Shin, Y. & Schmidt, P. (1992). The KPSS stationarity test as a unit root test, Economics Letters, 38(4), 387-392.
56. Taylor, J. (2000). Low inflation pass-through, and the pricing power of firms. European Economic Review, 44(7): 1389-408.
57. Tiwari, A.K., Cunado, J., Hatemi-J, A. & Gupta, R. (2019). Oil price-inflation pass-through in the United States over 1871 to 2018: A wavelet coherency analysis. Structural Change and Economic Dynamics, 50, 51-55.
58. Topan, L., Castro, C., Jerez, M. & Barge-Gil (2020). Oil price pass-through into inflation in Spain at national and regional level, SERIEs 11, 561–583.
59. Valadkhani, A. (2014). Dynamic effects of rising oil prices on consumer energy prices in Canada and the United States: Evidence from the last half a century. Energy Economics, 45, 33-44.
60. Venables, A. J. (1990). Microeconomic implications of exchange rate changes. Oxford Review of Economic Policy, 6 (3), 18-27.