The Empirical Role of Real Crude Oil Price and Real Exchange Rate on Economic Growth: The Case of Turkey

Yıl 2016, Cilt: 16 Sayı: 4, 627 - 639, 01.09.2016

Emrah Gülay Mehmet Vedat Pazarlıoğlu

Öz

Mostly national economies need petroleum which is the basic weighted input of the energy day by day. The general price level and production are influenced as a result of the fact that changes in petroleum prices have an impact on input prices. At the same time, fluctuations in the real exchange rate have an important effect on national economies. The aim of this study is to analyze the relationships between economic growth and real crude oil prices and economic growth and real exchange rate and to compare out-of sample forecasting performances of several models. In this context, we use the Gregory and Hansen cointegration method which allows a structural break in the relationship during the period between 1984:1 and 2010:4. Consequently, we find a negative relationship between the real crude oil price and economic growth also negative relationship between the real exchange rate and economic growth in Turkey. We use cointegration equations to establish error correction models, and we obtain forecasts to find which model can characterize of the data better. It is seen that there is a difference between models in terms of out-of sample forecasting performances

Anahtar Kelimeler

Real Crude Oil Price, Real Exchange Rate, Economic Growth, Cointegration Analysis.

Reel Petrol Fiyatları ve Reel Döviz Kurunun Ekonomik Büyüme Üzerindeki Rolü: Türkiye Örneği

Öz

Ulusal ekonomiler gün geçtikçe enerjinin temel girdisi olan petrole ihtiyaç duymaktadırlar. Genel fiyat düzeyi ve üretim, girdi fiyatları üzerinde bir etkiye sahip olan petrol fiyatlarındaki değişimlerin bir sonucu olarak etkilenmektedir. Aynı zamanda, reel döviz kurunda meydana gelen dalgalanmalar ulusal ekonomiler üzerinde önemli bir etkiye sahiptir. Bu çalışmanın amacı, ekonomik büyüme ile reel ham petrol fiyatları ve ekonomik büyüme ile reel döviz kuru arasındaki ilişkiyi analiz etmek ve elde edilen modellerin örneklem dışı öngörümleme performansını karşılaştırmaktır. Bu kapsamda, 1984:1 – 2010:4 dönemleri arasında yapısal kırılmaya izin veren Gregory ve Hansen Eşbütünleşme testi kullanılmıştır. Sonuç olarak, ekonomik büyüme ve reel ham petrol fiyatları, ekonomik büyüme ve reel döviz kuru arasında negatif yönlü bir ilişki bulunmuştur. Hata düzeltme modellerini elde etmede eşbütünleşik denklemler kullanılmış ve veri setini hangi modelin daha iyi karakterize ettiğini belirlemek için öngörüler elde edilmiştir. Örneklem dışı öngörümleme performansları açısından modeller arasında bir farkın olduğu görülmektedir

Anahtar Kelimeler

Reel Ham Petrol Fiyatları, eel Döviz Kuru, Ekonomik Büyüme, Eşbütünleşme Analizi.

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