Türkiye’deki Gıda Fiyatları İle Petrol Fiyatları Ve Döviz Kuru Arasındaki Doğrusal Olmayan İlişkinin İncelenmesi: Zamanla-Değişen Parametreli VAR Modelleri

Yıl 2022, , 2481 - 2498, 31.05.2022

Selim Güngör , Deniz Erer

https://doi.org/10.29023/alanyaakademik.1082332

Cited By: 4

Öz

Bu çalışmada, 2006:1-2021:12 döneminde Türkiye’de reel döviz kuru ve ortalama reel petrol fiyatları ile gıda enflasyonu arasındaki zamanla değişen dinamik ilişkiler incelenmiştir. Bu amaçla TVP-VAR modellerinden yararlanılmıştır. Çalışmadan elde edilen bulgular, reel döviz kurunun gıda enflasyonu üzerindeki etkisinin COVID-19 döneminde artış gösterdiğini ve döviz kurunda Ekim 2021 tarihinden itibaren yaşanan dalgalanmaların gıda enflasyonu üzerindeki etkisinin en yüksek seviyeye ulaştığını ortaya koymuştur. Ayrıca, 2021 yılında başlanan aşılanma sürecinin üretim ve talep artışına yol açmasıyla birlikte, ortalama reel petrol fiyatlarında yaşanan artışların gıda enflasyonunu önemli ölçüde yükselttiği tespit edilmiştir.

Anahtar Kelimeler

Reel döviz kuru, Petrol Fiyatları, Gıda Fiyatları, Zamanla Değişen Parametreli Vektör Otoregresif Modelleri

Examination Of The Nonlinear Relationship Between, Exchange Rate, Oil Prices and the Food Prıces in Turkey: Time-Varying Parameter VAR (TVP-VAR) Models

Öz

In this study, the time-varying dynamic relationships among real exchange rate, average real oil price and food inflation is investigated in Turkey during the period of 2006:1-2021:12. For this reason, TVP-VAR models are applied. The findings from this study revealed that the pass-through effect of real exchange rate on food inflation increases rapidly during the COVID-19 pandemic, and this effect reaches the highest level in October 2021 in which the fluctuations in exchange rate occured. Besides, it is detected that raises in average oil prices significantly enhance food inflation since the vaccination proccess, starting in early 2021, has caused increases in production and demand.

Anahtar Kelimeler

Real Exchange Rate, Oil Prices, Food Prices, Tim-Varying Parameter Vector Autoregressive (TVP-VAR) Models.

Kaynakça

• ABBOTT, P. & DE BATTISTI, A.B. (2011), “Recent Global Food Price Shocks: Causes, Consequences and Lessons For African Governments and Donors”, Journal of African Economies, 20(1), 12-62.
• ABBOTT, P. C., HURT, C., & TYNER, W. E. (2008). “What's Driving Food Prices?”, (No. 741-2016- 51224), doi: 10.22004/ag.econ.37951, https://ageconsearch.umn.edu/record/37951, (06.02.2022).
• ABDLAZIZ, R.A., RAHIM, K.A., & ADAMU, P. (2016). “Oil and Food Prices Co-integration Nexus for Indonesia: A Non-linear Autoregressive Distributed Lag Analysis”, International Journal of Energy Economics and Policy, 6(1), 82-87.
• ADIL, S., BHATTI, A.A., WAQAR, S. & AMIN, S. (2021). “Unleashing the Indirect Influence of Oil Prices on Food Prices via Exchange Rate: New Evidence From Pakistan”, Journal of Public Affairs, https://doi.org/10.1002/pa.2615, 1-8.
• ALGAN, N., İŞCAN, E. & OKTAY, D.S. (2021). “Petrol Fiyatının Gıda Fiyatları Üzerine Asimetrik Etkisi: Türkiye Örneği”, Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 30(1), 11-21.
• ALTINTAŞ, H. (2016). “Petrol Fiyatlarının Gıda Fiyatlarına Asimetrik Etkisi: Türkiye İçin NARDL Modeli Uygulaması”, Yönetim ve Ekonomi Araştırmaları Dergisi, 14(4), 1-24.
• BAEK, J., & KOO, W.W. (2010). “Analyzing Factors Affecting U.S. Food Price Inflation”, Canadian Journal of Agricultural Economics, 58, 303-320.
• BAFFES, J. & HANIOTIS, T. (2010). “Placing the 2006/08 Commodity Price Boom Into Perspective”, World Bank Policy Research Paper No. 5371, https://openknowledge.worldbank.org/bitstream/handle/10986/3855/WPS5371.pdf?sequence=1, (07.02.2022).
• BAFFES, J., KOSE, M.A., OHNSORGE, F. & STOCKER, M. (2015). “The Great Plunge in Oil Prices: Causes, Consequences, and Policy Responses”, Econstor, SSRN, doi: 10.2139/ssrn.2624398.
• BALA, U. & ABDULLAHI, M.M. (2019). The Impacts of Oil Price and Exchange Rate on Food Prices in Nigeria. Journal of Economics and Sustainable Development, 10(8), 51-56.
• BÜBERKÖKÜ, Ö. (2017). “ABD Dolarının Emtia Fiyatları Üzerindeki Etkisinin İncelenmesi”, Ege Akademik Bakış, 17(3), 323-336.
• CHANG, T.H., & Su, H.M. (2010). “The Substitutive Effect of Biofuels on Fossil Fuels in the Lower and Higher Crude Oil Price Periods”, Energy, 35, 2807-2813.
• CHEN, S.T., KUO, H.I. &CHEN, C.C. (2010). “Modeling the Relationship Between the Oil Price and Global Food Prices”, Applied Energy, 87, 2517–2525.
• CHENG, S. & Cao, Y. (2019). “On the Relation Between Global Food and Crude Oil Prices: An Empirical Investigation in a Nonlinear Framework”, Energy Economics, 81, 422–432.
• CHERIF, H.H., CHEN, Z. & NI, G. (2021). “Modelling the Symmetrical and Asymmetrical Effects of Global Oil Prices on Local Food Prices: A MENA Region Application”, Environmental Science and Pollution Research, 28, 65499–65512.
• COGLEY, T. & SARGENT, T.J. (2001), “Evolving Post-World War II U.S. Inflation Dynamics”, in NBER Macroeconomics Annual, Cambridge, MA: MIT Press, 331– 373.
• COGLEY, T. & SARGENT, T.J. (2003), “Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S.”, mimeo, New York University.
• ÇINAR, G. & HUSHMAT, A. (2016). “Impact of Volatility of World Oil Prices on Turkey’s Food Prices: GARCH Approach”, Global Journal of Economics and Business Studies, 5(9), 1-8.
• DAMBA, O.T., BILGIÇ, A. & Aksoy, A. (2017). “Estimating Price Volatility Transmission between World Crude Oil and Selected Food Commodities: A BEKK Approach”, Atatürk Üniversitesi Ziraat Fakültesi Dergisi, 48(1), 41-49.
• DAMBA, O.T., BİRİNCİ, A. & BİLGİÇ, A. (2019). “Estimation of Short and Long-run Relationship between Selected Food Prices and Macroeconomic Variables in Ghana”, Atatürk Üniversitesi Ziraat Fakültesi Dergisi, 50 (1), 92-105.
• ESMAEILI, A., & SHOKOOHI, Z. (2011). “Assessing the Effect of Oil Price on World Food Prices: Application of Principal Component Analysis”, Energy Policy, 39(2), 1022-1025.
• GILBERT, C.L. (2010). “How to Understand High Food Prices”, Journal of Agricultural Economics, 61(2), 398–425.
• GOHIN, A. & CHANTRET, F. (2010). “The Long-Run Impact of Energy Prices on World Agricultural Markets: The Role of Macro-Economic Linkages”, Energy Policy, 38, 333-339.
• GÖKÇE, C. (2021). Petrol Fiyatı ve Döviz Kurunun Gıda Fiyatları Üzerine Asimetrik Etkisi: Türkiye Örneği. Business and Economics Research Journal, 12(3), 599-611.
• GUMMI, U.M., RONG, Y., BELLO, U., UMAR, A.S. & MU’AZU, A. (2021). “On the Analysis of Food and Oil Markets in Nigeria: What Prices Tell Us from Asymmetric and Partial Structural Change Modeling?”, International Journal of Energy Economics and Policy, 11(1), 52-64.
• IBRAHIM, M.H. (2015). “Oil and Food Prices in Malaysia: a Nonlinear ARDL Analysis”, Agricultural and Food Economics, 3(2), 1-14.
• JEBABLI, I., AROURI, M. & Teulon, F. (2014). “On the Effects of World Stock Market and Oil Price Shocks on Food Prices: An Empirical Investigation Based on TVP-VAR Models with Stochastic Volatility”, Energy Economics, 45, 66-98.
• KARADAŞ, H.A. & KOŞAROĞLU, Ş.M. (2020). “Tarım Ürünleri Fiyatları, Ham Petrol Fiyatı ve Döviz Kuru İlişkisi: Türkiye İçin Eşbütünleşme Analizi”, İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 19(Özel Ek), 515-526.
• KARGBO, J.M. (2000). “Impacts of Monetary and Macroeconomic Factors on Food Prices in Eastern and Southern Africa”, Applied Economics, 32(11), 1373- 1389.
• KOHANSAL, M.R. &Hezareh, R. (2017). “The Impacts of Oil Price Shocks, Exchange Rate on Food Prices Inurban Areas of Iran”, Journal of Agricultural Economics Researches, 8(4), 171-190.
• KONANDREAS, P. (2012). “Trade Policy Responses to Food Price Volatility in Poor Net Food-Importing Countries”, ICTSD Programme on Agricultural Trade and Sustainable Development. Issue Paper No. 42. Geneva: International Centre for Trade and Sustainable Development.
• KRÄTSCHELL, K. & SCHMIDT, T. (2013). “Long-Run Trends or Short-Run Fluctuations What Establishes the Correlation Between Oil and Food Prices?”, Conference Paper, https://www.econstor.eu/bitstream/10419/79798/1/VfS_2013_pid_327.pdf, (08.12.2021).
• LUBIK, T.A., & MATTHES, C. (2015). “Time-Varying Parameter Vector Autoregressions: Specification, Estimation, and an Application, Estimation, and an Application.
• MEYER, D.F., SANUSI, K.A. & HASSAN, A. (2018). “Analysis of the Asymmetric Impacts of Oil Prices on Food Prices in Oil-Exporting Developing Countries”, Journal of International Studies, 11(3), 82-94.
• MITCHELL, D. (2008). “A Note on Rising Food Prices”, Policy Research Working Paper 4682, The World Bank Development Prospects Group, Washington, DC, https://openknowledge.worldbank.org/bitstream/handle/10986/6820/WP4682.pdf?sequ, (08.02.2022).
• NAKAJIMA, J. (2011). “Monetary Policy Transmission under Zero Interest Rates: An Extended Time-Varying Parameter Vector Autoregression Approach”, The BE Journal of Macroeconomics, 11(1).
• OLAYUNGBO, D.O. (2021). “Global Oil Price and Food Prices in Food İmporting and Oil Exporting Developing Countries: A Panel ARDL Analysis”, Heliyon, 7, 1-10.
• PAL, D. & MİTRA, S.K. (2017). “Time-Frequency Contained Co-Movement of Crude Oil and World Food Prices: A Wavelet-Based Analysis”, Energy Economics, 62, 230–239.
• PAL, D. & MİTRA, S.K. (2018). “Interdependence between Crude Oil and World Food Prices: A Detrended Cross Correlation Analysis”, Physica A, 492, 1032–1044.
• PRIMICERI, G. E. (2005). “Time Varying Structural Vector Autoregressions and Monetary Policy”, The Review of Economic Studies, 72(3), 821-852.
• RADMEHR, R. & HENNEBERY, S.R. (2019). “The Impact of Prices of Oil, Currency, and Capital on Food Prices: An Empirical Evidence from the Panel VAR Analysis”, Selected Paper prepared for presentation at the Southern Agricultural Economics Association (SAEA) Annual Meeting, Birmingham, Alabama, February 2-5, 2019, 1-15.
• REBOREDO, J.C., & UGANDO, M. (2014). US Dollar Exchange Rate and Food Price Dependence: Implications for Portfolio Risk Management”, North American Journal of Economics and Finance, 30, 72-89.
• REZITIS, A.N. (2015). “Empirical Analysis of Agricultural Commodity Prices, Crude Oil Prices and US Dollar Exchange Rates using Panel Data Econometric Methods”, International Journal of Energy Economics and Policy, 5(3), 851-868.
• ROACHE, S.K. (2010). What Explains the Rise in Food Price Volatility? IMF Working Paper No. 10/129, https://www.elibrary.imf.org/view/journals/001/2010/129/article-A001-en.xml, (06.02.2022).
• SARWAR, M.N., HUSSAIN, H. & MAQBOOL, M.B. (2020). “Pass through Effects of Oil Price on Food and Non-Food Prices in Pakistan: A Nonlinear ARDL Approach”, Resources Policy, 69, 1-10.
• TIWARI, A.K., NASREEN, S., SHAHBAZ, M. and HAMMOUDEH, S. (2020). “Time-Frequency Causality and Connectedness Between International Prices of Energy, Food”, İndustry, Agriculture And Metals. Energy Economics, 85, 1-18.
• TROSTLE, R. (2011). “Why Have Food Commodity Prices Risen Again?”, USDA Economic Research Service Report, No. WRS-1103.
• TÜRKİYE İSTATİSTİK KURUMU (2022). “Ana Harcama Gruplarının Genel Endeksteki Aylık Ve Yıllık Değişime Olan Etkisi (%), Ocak 2022”, https://data.tuik.gov.tr/ (06.02.2022).
• TÜRSOY, T. (2017). “Causality Between Stock Prices and Exchange Rates in Turkey: Empirical Evidence From the ARDL Bounds Test and a Combined Cointegration Approach”, International Journal of Financial Studies, 5(8), 1-10.
• ÜNAL, S. (2021). “Dövizin Borsa İstanbul Pay Piyasasında Yatırım Yapan Yatırımcılar Tarafından Koruma Amaçlı Olarak Kullanılmasının Etkinliği”, Alanya Akademik Bakış Dergisi, 5(1), 245-263.
• WIDARJANO, A., SUSANTUN, I., RUCHBA, S.M. & RUDATIN, A. (2020). “Oil and Food Prices for a Net Oil Importing-country: How Are Related in Indonesia?”, International Journal of Energy Economics and Policy, 10(5), 255-263.
• YAN, M., TERHEGGEN, A. and MITHOFER, D. (2017). “Who and what Set the Price of Walnuts for Small-Scale Farmers in Southwest China?”, Journal of Agribusiness in Developing and Emerging Economies, 7(2), 135-152.
• YURTTANÇIKMAZ, Z.Ç., AHMID, A.F., ÖNDEŞ, T. and KARCIOGLU, R. (2020). “The Impact Of Oil Price And Exchange Rate on Agricultural Commodity Prices: Evidence From Turkey”, GSI Journals Serie B: Advancements in Business and Economics, 3(1), 1-15.
• ZHOU, L. (2015). Research on How RMB Exchange Rate Influence on Agricultural Food Prices in Emerging Market. Journal of Chemical and Pharmaceutical Research, 7(3), 2026-2030.
• ZMAMI, M. & BEN-SALHA, O. (2019). “Does Oil Price DriveWorld Food Prices? Evidence from Linear and Nonlinear ARDL Modeling”, Economies, 7(12), 1-18.