BibTex RIS Kaynak Göster

The Effects of Crude Oil Prices and Domestic Gasoline Prices on Industrial Production : MS-VAR Analysis

Yıl 2015, Cilt: 15 Sayı: 3, 367 - 378, 01.08.2015

Öz

The purpose of this study is contribute to literature by studying the effects of sudden changes both on crude oil import prices and domestic gasoline prices on industrial production for Turkey. Analyses have been done in the period of 2005:10-2014:02 by Markov-switching vector autoregressive (MS-VAR) models which are successful to capture the nonlinear properties of variables. By using of LR test, it has been found that there are 2 regimes in the analysis period and it has been found that the effect of the changes of crude oil and domestic gasoline prices on industrial production differs according to these regimes. It has also been demonstrated that there is a passthrough effect from of oil and gas prices to industrial production

Kaynakça

  • Alper, C.E. ve Torul, O. (2008). Oil Prices, aggregate economic activity and global liquidity conditions: eviden- ce from Turkey. Economics Bulletin, 17(4), 1-8.
  • Ashley, R. ve Tsang, K.P. (2013). The Oil Price-Mac- roeconomy Relationship: Does Persistence Matter?. Araştırma raporu. USA.
  • Barisik, S. ve Yayar, R. (2012). Econometric Analysis of factors affecting industrial production index. İktisat, İş- letme ve Finans, 27(316), 53-70.
  • Binner, J. M., Elger, T., Nilsson, B. ve Tepper, J. A. (2005). Tools for non-linear time series forecasting in eco- nomics–An empirical comparison of regime switching vec- tor autoregressive models and recurrent neural networks. Advances in Econometrics, 19, 71-91.
  • Blanchard, O. J. ve Gali, J. (2007). The Macroeconomic Effects of Oil Shocks: Why are the 2000s so different from the 1970s? Araştırma Raporu. USA: National Bureau of Eco- nomic Research.
  • Cobo-Reyes, R. ve Perez Quiros, G. (2005). The effect of oil price on industrial production and on stock returns. Araştırma raporu 05/18. Spain: Universidad de Granada
  • Cunado, J. ve Pérez de Gracia, F. (2005). Oil prices, economic activity and inflation: evidence for some Asian countries. The Quarterly Review of Economics and Finan- ce, 45(1), 65-83.
  • Dempster, A. P., Laird, N. M. ve Rubin, D. B. (1977). Maximum likelihood from incomplete data via the EM algorithm. Journal of the Royal Statistical Society. Series B (Methodological), 1-38.
  • Ekşi, İ. H., Izgı, B. B ve Şentürk, M. (2011). Recon- sidering the Relationship between Oil Prices and Indust- rial Production: Testing for Cointegration in some of the OECD Countries. Eurasian Journal of Business and Econo- mics, 4(8), 1-12.
  • Fukunaga, I., Hirakata, N. ve Sudo, N. (2010). The ef- fects of oil price changes on the industry-level production and prices in the US and Japan . Araştırma raporu 15791. USA: National Bureau of Economic Research.
  • Hall, S. G., Psaradakis, Z. ve Sola, M. (1999). Detec- ting periodically collapsing bubbles: a Markov-switching unit root test. Journal of Applied Econometrics,14(2), 143- 154.
  • Hamilton, J. D. (1988). Are the macroeconomic ef- fects of oil-price changes symmetric?: A comment. Carne- gie-Rochester Conference Series on Public Policy 28, 369-378.
  • Hamilton, J. D. (1989). A new approach to the econo- mic analysis of nonstationary time series and the business cycle. Econometrica: Journal of the Econometric Society, 357- 384.
  • Hamilton, J. D. ve Herrera, A. M. (2004). Comment: oil shocks and aggregate macroeconomic behavior: the role of monetary policy. Journal of Money, Credit and Banking, 265-286.
  • Herrera, A. M., Lagalo, L. G. ve Wada, T. (2011). Oil price shocks and industrial production: Is the relationship linear?. Macroeconomic Dynamics, 15(S3), 472-497.
  • Kilian, L. ve Vigfusson, R. J. (2011). Are the responses of the U.S. economy asymmetric in energy price increases and decreases?. Quantitative Economics, 2(3), 419-453.
  • Jiménez-Rodríguez, R. ve Sanchez, M. (2005). Oil price shocks and real GDP growth: empirical evidence for some OECD countries. Applied economics,37(2), 201-228.
  • Jimenez-Rodriguez, R. (2008). The impact of oil price shocks: evidence from the industries of six OECD count- ries. Energy Economics, 30(6), 3095-3108.
  • Kalecki, M. (1954). Theory of Economic Dynamics: An Essay on Cyclical and Long-run Changes in Capitalist Eco- nomy. Araştırma raporu. George Allen & Unwin.
  • Kosater, P. ve Mosler, K. (2006). Can Markov regime- switching models improve power-price forecasts? Evidence from German daily power prices.  Applied Energy,  83(9), 943-958.
  • Krolzig, H. M. (1997). Markov-switching vector autoregressions(modelling, statistical interference, and application to business cycle analysis). Lecture notes in eco- nomics and mathematical systems.
  • Krolzig, H. M. (1998). Econometric modelling of Markov-switching vector autoregressions using MSVAR for Ox.
  • Krolzig, H. M. (2000).  Predicting Markov-switching vector autoregressive processes. Araştırma raporu. UK: Nuf- field College.
  • Krolzig, H. M. (2000).  Predicting Markov-switching vector autoregressive processes. Araştırma raporu. UK: Nuf- field College.
  • Krolzig, H. M. (2001). General-to-specific reductions of vector autoregressive processes.  Econometric Studies-A Festschrift in Honour of Joachim Frohn, 129-157.
  • Krolzig, H. M. (2006). Impulse-Response Analysis in Markov Switching Vector Autoregressive Models. [Erişim adresi}: https://editorialexpress. com/cgibin/conference/down- load. cgi.
  • Krolzig, H. M., Marcellino, M. ve Mizon, G. E. (2002). A Markov-switching vector equilibrium correction model of the UK labour market. In Advances in Markov- Switching Models, 91-112.
  • Mork, K. A., Olsen, Ø. ve Mysen, H. T. (1994). Mac- roeconomic responses to oil price increases and decreases in seven OECD countries. The Energy Journal, 15(4), 19-35.
  • Cuñado ve Pérez de Gracia (2003). [Erişim adresi]: http://www.aeefi.com/RePEc/pdf/defi01-02.pdf
  • Yaylali, M. ve Lebe, F. (2012). İthal Ham Petrol Fiyatla- rının Türkiye’deki Makroekonomik Aktiviteler Üzerindeki Etkisi. Marmara Üniversitesi IIBF Dergisi, 32(1), 43-68.
  • Zhang, D. (2008). Oil shock and economic growth in Japan: A nonlinear approach. Energy Economics, 30(5), 2374-2390.

Ham Petrol ve Benzin Fiyatlarının Sanayi Üretimine Etkisi: MS-VAR Modelleri ile Analizi

Yıl 2015, Cilt: 15 Sayı: 3, 367 - 378, 01.08.2015

Öz

Bu makalenin amacı, Türkiye için ham petrol fiyatları ve benzin fiyatlarındaki ani değişimlerin sanayi üretimine etkisinin incelenerek literatüre katkı yapmaktır. Analizler 2005:10-2014:02 dönemi için değişkenlerin doğrusal olmayan özelliklerini yakalamakta başarılı olan Markov Değişim Vektör Otoregresif (MS-VAR) modelleri ile yapılmıştır. LR testi ile analiz döneminde iki rejim olduğu, ham petrol ve benzin fiyatlarındaki değişimin sanayi üretimine etkisinin bu rejimlere bağlı olarak değiştiği bulunmuştur. Ayrıca petrol ve benzin fiyatlarının sanayi üretimine geçiş etkisi olduğu ortaya konulmuştur

Kaynakça

  • Alper, C.E. ve Torul, O. (2008). Oil Prices, aggregate economic activity and global liquidity conditions: eviden- ce from Turkey. Economics Bulletin, 17(4), 1-8.
  • Ashley, R. ve Tsang, K.P. (2013). The Oil Price-Mac- roeconomy Relationship: Does Persistence Matter?. Araştırma raporu. USA.
  • Barisik, S. ve Yayar, R. (2012). Econometric Analysis of factors affecting industrial production index. İktisat, İş- letme ve Finans, 27(316), 53-70.
  • Binner, J. M., Elger, T., Nilsson, B. ve Tepper, J. A. (2005). Tools for non-linear time series forecasting in eco- nomics–An empirical comparison of regime switching vec- tor autoregressive models and recurrent neural networks. Advances in Econometrics, 19, 71-91.
  • Blanchard, O. J. ve Gali, J. (2007). The Macroeconomic Effects of Oil Shocks: Why are the 2000s so different from the 1970s? Araştırma Raporu. USA: National Bureau of Eco- nomic Research.
  • Cobo-Reyes, R. ve Perez Quiros, G. (2005). The effect of oil price on industrial production and on stock returns. Araştırma raporu 05/18. Spain: Universidad de Granada
  • Cunado, J. ve Pérez de Gracia, F. (2005). Oil prices, economic activity and inflation: evidence for some Asian countries. The Quarterly Review of Economics and Finan- ce, 45(1), 65-83.
  • Dempster, A. P., Laird, N. M. ve Rubin, D. B. (1977). Maximum likelihood from incomplete data via the EM algorithm. Journal of the Royal Statistical Society. Series B (Methodological), 1-38.
  • Ekşi, İ. H., Izgı, B. B ve Şentürk, M. (2011). Recon- sidering the Relationship between Oil Prices and Indust- rial Production: Testing for Cointegration in some of the OECD Countries. Eurasian Journal of Business and Econo- mics, 4(8), 1-12.
  • Fukunaga, I., Hirakata, N. ve Sudo, N. (2010). The ef- fects of oil price changes on the industry-level production and prices in the US and Japan . Araştırma raporu 15791. USA: National Bureau of Economic Research.
  • Hall, S. G., Psaradakis, Z. ve Sola, M. (1999). Detec- ting periodically collapsing bubbles: a Markov-switching unit root test. Journal of Applied Econometrics,14(2), 143- 154.
  • Hamilton, J. D. (1988). Are the macroeconomic ef- fects of oil-price changes symmetric?: A comment. Carne- gie-Rochester Conference Series on Public Policy 28, 369-378.
  • Hamilton, J. D. (1989). A new approach to the econo- mic analysis of nonstationary time series and the business cycle. Econometrica: Journal of the Econometric Society, 357- 384.
  • Hamilton, J. D. ve Herrera, A. M. (2004). Comment: oil shocks and aggregate macroeconomic behavior: the role of monetary policy. Journal of Money, Credit and Banking, 265-286.
  • Herrera, A. M., Lagalo, L. G. ve Wada, T. (2011). Oil price shocks and industrial production: Is the relationship linear?. Macroeconomic Dynamics, 15(S3), 472-497.
  • Kilian, L. ve Vigfusson, R. J. (2011). Are the responses of the U.S. economy asymmetric in energy price increases and decreases?. Quantitative Economics, 2(3), 419-453.
  • Jiménez-Rodríguez, R. ve Sanchez, M. (2005). Oil price shocks and real GDP growth: empirical evidence for some OECD countries. Applied economics,37(2), 201-228.
  • Jimenez-Rodriguez, R. (2008). The impact of oil price shocks: evidence from the industries of six OECD count- ries. Energy Economics, 30(6), 3095-3108.
  • Kalecki, M. (1954). Theory of Economic Dynamics: An Essay on Cyclical and Long-run Changes in Capitalist Eco- nomy. Araştırma raporu. George Allen & Unwin.
  • Kosater, P. ve Mosler, K. (2006). Can Markov regime- switching models improve power-price forecasts? Evidence from German daily power prices.  Applied Energy,  83(9), 943-958.
  • Krolzig, H. M. (1997). Markov-switching vector autoregressions(modelling, statistical interference, and application to business cycle analysis). Lecture notes in eco- nomics and mathematical systems.
  • Krolzig, H. M. (1998). Econometric modelling of Markov-switching vector autoregressions using MSVAR for Ox.
  • Krolzig, H. M. (2000).  Predicting Markov-switching vector autoregressive processes. Araştırma raporu. UK: Nuf- field College.
  • Krolzig, H. M. (2000).  Predicting Markov-switching vector autoregressive processes. Araştırma raporu. UK: Nuf- field College.
  • Krolzig, H. M. (2001). General-to-specific reductions of vector autoregressive processes.  Econometric Studies-A Festschrift in Honour of Joachim Frohn, 129-157.
  • Krolzig, H. M. (2006). Impulse-Response Analysis in Markov Switching Vector Autoregressive Models. [Erişim adresi}: https://editorialexpress. com/cgibin/conference/down- load. cgi.
  • Krolzig, H. M., Marcellino, M. ve Mizon, G. E. (2002). A Markov-switching vector equilibrium correction model of the UK labour market. In Advances in Markov- Switching Models, 91-112.
  • Mork, K. A., Olsen, Ø. ve Mysen, H. T. (1994). Mac- roeconomic responses to oil price increases and decreases in seven OECD countries. The Energy Journal, 15(4), 19-35.
  • Cuñado ve Pérez de Gracia (2003). [Erişim adresi]: http://www.aeefi.com/RePEc/pdf/defi01-02.pdf
  • Yaylali, M. ve Lebe, F. (2012). İthal Ham Petrol Fiyatla- rının Türkiye’deki Makroekonomik Aktiviteler Üzerindeki Etkisi. Marmara Üniversitesi IIBF Dergisi, 32(1), 43-68.
  • Zhang, D. (2008). Oil shock and economic growth in Japan: A nonlinear approach. Energy Economics, 30(5), 2374-2390.
Toplam 31 adet kaynakça vardır.

Ayrıntılar

Diğer ID JA35KU87JN
Bölüm Araştırma Makalesi
Yazarlar

Selin Özdemir Bu kişi benim

İşıl Akgül Bu kişi benim

Yayımlanma Tarihi 1 Ağustos 2015
Yayımlandığı Sayı Yıl 2015 Cilt: 15 Sayı: 3

Kaynak Göster

APA Özdemir, S., & Akgül, İ. (2015). The Effects of Crude Oil Prices and Domestic Gasoline Prices on Industrial Production : MS-VAR Analysis. Ege Academic Review, 15(3), 367-378.
AMA Özdemir S, Akgül İ. The Effects of Crude Oil Prices and Domestic Gasoline Prices on Industrial Production : MS-VAR Analysis. eab. Ağustos 2015;15(3):367-378.
Chicago Özdemir, Selin, ve İşıl Akgül. “The Effects of Crude Oil Prices and Domestic Gasoline Prices on Industrial Production : MS-VAR Analysis”. Ege Academic Review 15, sy. 3 (Ağustos 2015): 367-78.
EndNote Özdemir S, Akgül İ (01 Ağustos 2015) The Effects of Crude Oil Prices and Domestic Gasoline Prices on Industrial Production : MS-VAR Analysis. Ege Academic Review 15 3 367–378.
IEEE S. Özdemir ve İ. Akgül, “The Effects of Crude Oil Prices and Domestic Gasoline Prices on Industrial Production : MS-VAR Analysis”, eab, c. 15, sy. 3, ss. 367–378, 2015.
ISNAD Özdemir, Selin - Akgül, İşıl. “The Effects of Crude Oil Prices and Domestic Gasoline Prices on Industrial Production : MS-VAR Analysis”. Ege Academic Review 15/3 (Ağustos 2015), 367-378.
JAMA Özdemir S, Akgül İ. The Effects of Crude Oil Prices and Domestic Gasoline Prices on Industrial Production : MS-VAR Analysis. eab. 2015;15:367–378.
MLA Özdemir, Selin ve İşıl Akgül. “The Effects of Crude Oil Prices and Domestic Gasoline Prices on Industrial Production : MS-VAR Analysis”. Ege Academic Review, c. 15, sy. 3, 2015, ss. 367-78.
Vancouver Özdemir S, Akgül İ. The Effects of Crude Oil Prices and Domestic Gasoline Prices on Industrial Production : MS-VAR Analysis. eab. 2015;15(3):367-78.