Oil Prices and Kazakhstan’s Real Exchange Rate: An ARDL Bound Test Approach

Yıl 2020, , 217 - 248, 20.07.2020

Seymur Ağazade

https://doi.org/10.12995/bilig.9410

Cited By: 1

Öz

Using different real exchange rate indexes and bound test approach, this paper investigates the effect of real oil prices on Kazakhstan’s real exchange rate. Results of long run ARDL approach show that increases in real oil prices causes appreciation of real effective exchange rate index which includes all trading partners of Kazakhstan or the countries outside of CIS, but causes depreciation in real effective exchange rate index which includes only CIS countries. Alongside this, ARDL error correction model shows that deviation from long run relationship is corrected in a shorter span of time when real effective exchange rate index which includes CIS countries is taken into account. The results indicate that in order to ensuring real exchange rate stability, it is important to maintain the development of other sectors together with rapid growing oil and gas sectors and to increase trade with oil rich neighbouring countries.

Anahtar Kelimeler

Oil prices, real exchange rate, bound test, ARDL approach, Kazakhstan

Petrol Fiyatları ve Kazakistan Reel Döviz Kuru: ARDL Sınır Testi Yaklaşımı

Öz

Bu çalışmada, reel petrol fiyatlarının Kazakistan reel döviz kuru üzerindeki etkisi incelenmiştir. Bu amaçla, reel döviz kuruna ilişkin farklı endeksler ve sınır testi yaklaşımı kullanılmıştır. Uygulanan ARDL yaklaşımının uzun döneme ilişkin sonuçları, reel petrol fiyatlarındaki artışın Kazakistan’ın ticaret yaptığı tüm ülkeleri kapsayan reel efektif döviz kuru ile BDT dışındaki ülkeleri kapsayan reel efektif döviz kurunun değerlenmesine, fakat BDT ülkelerini kapsayan reel efektif döviz kurunun ise değer kaybetmesine neden olduğunu göstermektedir. Bunun yanı sıra, ARDL hata düzeltme modeli, uzun dönem ilişkide ortaya çıkan bir sapmadan sonra tekrar dengeye dönüş sürecinin, diğer iki kur göstergesine nispeten, BDT ülkelerini kapsayan reel efektif döviz kuru dikkate alındığında daha kısa sürdüğünü göstermektedir. Çalışma sonuçlarına göre, reel döviz kuru istikrarı için, gelişen petrol ve doğalgaz sektörleri ile birlikte Kazakistan’ın diğer sektörlerde de gelişmeyi sürdürmesi ve özellikle petrol ve doğalgaz bakımından zengin komşu ülkelerle ticaret hacmini artırması önem taşımaktadır.

Anahtar Kelimeler

Petrol fiyatları, reel döviz kuru, sınır testi, ARDL yaklaşımı, Kazakistan

Kaynakça

• Ağayev, Seymur (2013). “Satın Alma Gücü Paritesi Hipotezinin Kazakistan İçin Geçerliliği”. Uluslararası Avrasya Ekonomileri Konferansı. Kazan, Rusya 17-18 Eylül. 272-379.
• Ağazade, Seymur (2018) “Reel Döviz Kuru ve Petrol Fiyatları İlişkisinde Asimetri: Azerbaycan Örneğinde Bir İnceleme”. Uluslararası İktisadi ve İdari İncelemeler Dergisi 22: 113-126.
• Aliev, Timur M. (2015). “Kazakhstan”. Problems of Economic Transition 57 (10): 1-28.
• Amano, Robert A. ve Simon van Norden (1998a). “Exchange Rates and Oil Prices”. Review of International Economics 6 (4): 683-694.
• Amano, Robert A. ve Simon van Norden (1998b). “Oil Prices and the Rise and Fall of the US Real Exchange Rate”. Journal of International Money and Finance 17 (2): 299- 316.
• Bal, Debi Prasad ve Badri Narayan Rath (2015). “Nonlinear Causality between Crude Oil Price ve Exchange Rate: A Comparative Study of China and India”. Energy Economics 51: 149-156.
• BP (2016). “BP Statistical Review of World Energy June 2016”. https://www.bp.com/content/dam/bp/pdf/energy-economics/statistical-review-2016/bp-statistical-review-of- world-energy-2016-full-report.pdf (Erişim Tarihi: 02.12.2016).
• Caprio, Jerry ve Peter B. Clark (1981). Oil Price Shocks in a Portfolio-balance Model. International Finance Discussion Papers Number 181.
• Chaudhuri, Kausik ve Betty C. Daniel (1998). “Long-run Equilibrium Real Exchange Rates and Oil Prices”. Economics Letters 58 (2): 231-238.
• Chen, Jen-Eem, Chin-Yu Lee ve Lim-Hhye Goh (2013). “Exchange Rate and Oil Price: Asymmetric Adjustment”. Applied Economics Letters 20 (10): 987-990.
• Chen, Shiu-Sheng ve Hung-Chyn Chen (2007) “Oil Prices and Real Exchange Rates”. Energy Economics 29 (3): 390-404.
• De Vita, Glauco ve Emmanouil Trachanas (2016). “‘Nonlinear Causality between Crude Oil Price and Exchange Rate: A Comparative Study of China and India’ - A Failed Replication (Negative Type 1 and Type 2)”. Energy Economics 56: 150-160.
• Dickey, David A. ve Wayne A. Fuller (1981). “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”. Econometrica 49 (4): 1057-1072.
• Dünya Bankası (2016). World Bank. World Development Indicators. http://databank.worldbank.org/data/reports.aspx?source=world-developmentindicators (Erişim Tarihi: 02.12.2016).
• EBRD “Transition Indicators”. http://www.ebrd.com/what-we-do/economicresearch-and-data/data/forecasts-macro-data-transition-indicators.html (Erişim Tarihi: 07.05.2017).
• Engle, Robert F. ve C. W. J. Granger (1987). “Co-Integration and Error Correction: Representation, Estimation, and Testing”. Econometrica 55 (2): 251-276.
• Golub, Stephen S. (1983). “Oil Prices and Exchange Rates”. The Economic Journal 93 (371): 576-593.
• Habib, Maurizio Michael ve Margarita Manolova Kalamova (2007). Are There Oil Currencies? The Real Exchange Rate of Oil Exporting Countries. ECB Working Paper Series No 839.
• Hasanov, Fakhri (2010). The Impact of Real Oil Price on Real Effective Exchange Rate: The Case of Azerbaijan. DIW Berlin Discussion Paper No. 1041.
• Huang, Ying ve Feng Guo (2007). “The Role of Oil Price Shocks on China’s Real Exchange Rate”. China Economic Review 18 (4): 403-416.
• Ibadildin, Nygmet (2011). Role of the Old and New Institutional Framework in Combating the Resource Curse in Kazakhstan. Academic Dissertation University of Tampere School of Management, Finland.
• Jahan-Parvar, Mohammad R. ve Hassan Mohammadi (2011). “Oil Prices and Real Exchange Rates in Oil-exporting Countries: A Bounds Testing Approach”. The Journal of Developing Areas 45: 309-318.
• Johansen, Soren ve Katarina Juselius (1990). “Maximum Likelihood Estimation and Inference on Cointegration with Applications to the Demand for Money”. Oxford Bulletin of Economics and Statistics 52 (2): 169-210.
• Koranchelian, Taline (2005). The Equilibrium Real Exchange Rate in a Commodity Exporting Country: Algeria’s Experience. IMF Working Paper Series WP/05/135. Korhonen, Iikka ve Tuuli Juurikkala (2007). Equilibrium Exchange Rates in Oil- Dependent Countries. BOFIT Discussion Paper No. 8/2007.
• Krugman, Paul (1980). Oil and the dollar. NBER Working Paper No. 554.
• Krugman, Paul (1983). Oil shocks and exchange rate dynamics. NBER Chapters in: Exchange Rates and International Macroeconomics: 259-284.
• Kutan, Ali M. ve Michael L. Wyzan (2005). “Explaining the Real Exchange Rate in Kazakhstan, 1996-2003: Is Kazakhstan Vulnerable to the Dutch Disease?” Economic Systems 29 (2): 242-255.
• KCS (2016). Ministry of National Economy of the Republic of Kazakhstan Committee on Statistics Express Information No: E-37-02/277. 29 July.
• Kwiatkowski, Denis, Peter C.B. Phillips, Peter Schmidt ve Yongcheol Shin (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.
• NBK (1999). Правила Проведения Конвертации Тенговых Депозитов Физических И Юридических Лиц В Банках Второго Уровня В Связи С Переходом К Режиму Свободно Плавающего Обменного Курса Тенге. Правила Национального Банка от 05.04. N 62.
• NBK (2004). National Bank of Kazakhstan Press Release No: 20. September 14, 2004.
• NBK (2009). National Bank of Kazakhstan Press Release No: 3. February 4, 2009.
• NBK (2014). National Bank of Kazakhstan Press Release No: 5. February 11, 2014.
• NBK (2015a). National Bank of Kazakhstan Press Release No: 33. July 15, 2015.
• NBK (2015b). National Bank of Kazakhstan Press Release No: 38. August 21, 2015.
• Nikbakht, Leili (2010). “Oil Prices and Exchange Rates: The Case of OPEC”. Business Intelligence Journal 3: 83-92.
• Oskenbayev, Yessengali ve Aziz Karimov (2013). Is Kazakhstan Vulnerable to Natural Resource Curse? WIDER Working Paper No 2013/130.
• Oskenbayev, Yessengali (2015). International Analyses of Natural Resource Curse and Kazakhstan’s Related Economic Performance with Special Attention to Its
• Wheat and Energy Sectors. Doctoral Thesis. Germany: University of Bonn.
• Pesaran, M. Hashem, Yongcheol Shin ve Richard J. Smith (2001). “Bounds Testing Approaches to the Analysis of Level Relationships”. Journal of Applied Econometrics 16 (3): 289-326.
• Phillips, Peter C. B. ve Pierre Perron (1988). “Testing for a Unit Root in Time Series Regression”. Biometrica 75 (2): 335-346.
• Rautava, Jouko (2004). “The Role of Oil Prices and The Real Exchange Rate in Russia’s Economy-A Cointegration Approach”. Journal of Comparative Economics 32 (2): 315-327.
• Sachs, Jeffrey D. ve Andrew M. Warner (2001). Natural Resource Abundance and Economic Growth. NBER Working Papers 5398.
• Togay, Selahattin (2009). “Kazakistan Ekonomisinin Petrole Bağımlılığının Azaltılmasında Para Politikasının Rolü”. bilig, Türk Dünyası Sosyal Bilimler Dergisi 48: 207-240.
• Turhan İbrahim, Erk Hacihasanoglu ve Uğur Soytas (2013). “Oil Prices and Emerging Market Exchange Rates”. Emerging Markets Finance and Trade 49 (1): 21-36.
• UNCTAD. United Nations Conference on Trade and Development. Data Center. “Product Concentration and Diversification Indices by Economy”. http:// unctadstat.unctad.org/wds/TableViewer/tableView.aspx?ReportId=120 (Erişim Tarihi: 05.07.2017).
• Zalduendo, Juan (2006). Determinants of Venezuela’s Equilibrium Real Exchange Rate. IMF Working Paper Series WP/06/74.
• Zhang, Yue-Jun, Ying Fan, Hsien-Tang Tsai ve Yi-Ming Wei (2008). “Spillover Effect of US Dollar Exchange Rate on Oil Prices”. Journal of Policy Modeling 30 (6): 973-991.
• Zhang, Yi (2013). “The Links between the Price of Oil and the Value of US Dollar”. International Journal of Energy Economics and Policy 3 (4): 341-351.
• Wang, Yudong ve Chongfeng Wu (2012). “Energy Prices and Exchange Rates of the U.S. Dollar: Further Evidence from Linear and Nonlinear Causality Analysis”. Economic Modelling 29: 2289-2297.
• WEF. World Economic Forum. “Global Competitiveness Index”. http://www3.weforum.org/docs/GCR2016-2017/06Othershareables/GCI_Dataset_2006-2016.xlsx (Erişim Tarihi: 07.05.2017)