Analysing The Relationship Between Oil Prices And Personal Consumption Expenditures: A Fourier Approach

Yıl 2022, Cilt: 6 Sayı: 3, 1419 - 1432, 14.09.2022

Serkan Konya

https://doi.org/10.25295/fsecon.1102509

Cited By: 1

Öz

In this study, the existence of the relationship between oil prices and personal consumption expenditures in Turkey between the years 2009-2021 was tested using the Fourier approach. While examining the relationship between crude oil prices and personal consumption expenditures, consumption goods are divided into durable, semi-durable and non-durable goods, since the elasticity of consumption goods is different from each other, as well as personal consumption expenditures. For this purpose, first of all, the stationarity of the variables was tested with the help of the Fourier stationarity test, the difference of the non-stationary series at their levels was taken and it was determined that the difference series were stationary. Then, the Fourier-Shin cointegration test was used to test the existence of a long-run relationship between the variables. The obtained results reveal that there is a long-term relationship between sudden shocks in crude oil prices, semi-durable and non-durable consumption expenditures, but there is no long-term relationship between crude oil prices and durable consumer goods. Another result obtained shows that the uncertainty in crude oil prices is a determining factor in the consumption decisions of consumers, but this determining factor is not valid for all goods groups.

Anahtar Kelimeler

Oil Prices, Fourier Stationarity, Fourier Cointegration, Personal Consumption Expenditures

Petrol Fiyatları ile Kişisel Tüketim Harcamaları Arasındaki İlişkinin İncelenmesi: Fourier Yaklaşımı

Öz

Bu çalışmada, Türkiye’de 2009-2021 yılları arasında petrol fiyatları ile kişisel tüketim harcamaları arasındaki ilişkinin varlığı Fourier yaklaşımı kullanılarak test edilmiştir. Ham petrol fiyatlarının kişisel tüketim harcamaları ile ilişkisi incelenirken, kişisel tüketim harcamalarının yanı sıra, tüketim mallarının esneklikleri birbirinden farklı olmasından dolayı tüketilen malları dayanıklı, yarı dayanıklı ve dayanıksız tüketim malları olarak ayrıştırılmıştır. Bu amaçla öncelikle Fourier durağanlık testi yardımıyla değişkenlerin durağanlığı test edilmiş, seviyelerinde durağan olmayan serilerin farkı alınmış ve fark serilerinin durağan olduğu belirlenmiştir. Daha sonra değişkenler arasındaki uzun dönem ilişkinin varlığını sınamak için Fourier-Shin eşbütünleşme testi kullanılmıştır. Elde edilen sonuçlar, Türkiye’de ham petrol fiyatlarındaki ani şoklar, yarı dayanıklı ve dayanıksız tüketim harcamaları arasında uzun dönemli bir ilişki olduğu, ancak ham petrol fiyatları ile dayanıklı tüketim malları arasında uzun dönemli bir ilişki olmadığını ortaya koymaktadır. Elde edilen bir diğer sonuç ise, ham petrol fiyatlarında olan belirsizlik, tüketicilerin tüketim kararlarında belirleyici bir etken olduğu ancak bu belirleyici unsurun tüm mal grupları için geçerli olmadığını göstermektedir.

Anahtar Kelimeler

Petrol Fiyatları, Fourier Durağanlık, Fourier Eşbütünleşme, Kişisel Tüketim Harcamaları

Kaynakça

• Allegret, J. P., Mignon, V., & Sallenave, A. (2015). Oil price shocks and global imbalances: Lessons from a model with trade and financial interdependencies. Economic Modelling, 49, 232-247.
• Alsalman, Z. N., & Karaki, M. B. (2019). Oil prices and personal consumption expenditures: does the source of the shock matter?. Oxford Bulletin of Economics and Statistics, 81(2), 250-270.
• Apergis, N., & Miller, S. M. (2009). Do structural oil-market shocks affect stock prices?. Energy economics, 31(4), 569-575.
• Baumeister, C., & Peersman, G. (2013). Time-varying effects of oil supply shocks on the US economy. American Economic Journal: Macroeconomics, 5(4), 1-28.
• Becker, R., Enders, W., & Lee, J. (2006). A stationarity test in the presence of an unknown number of smooth breaks. Journal of Time Series Analysis, 27(3), 381-409.
• Bernanke, B. S. (1983). Irreversibility, uncertainty, and cyclical investment. The quarterly journal of economics, 98(1), 85-106.
• Cashin, P., Mohaddes, K., Raissi, M., & Raissi, M. (2014). The differential effects of oil demand and supply shocks on the global economy. Energy Economics, 44, 113-134.
• 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.
• Edelstein, P., & Kilian, L. (2009). How sensitive are consumer expenditures to retail energy prices?. Journal of Monetary Economics, 56(6), 766-779.
• Elder, J., & Serletis, A. (2010). Oil price uncertainty. Journal of Money, Credit and Banking, 42(6), 1137-1159.
• Engle, R. F. ve Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation and testing, Econometrica, 55 (2), 251–276.
• Gallant, A. R. (1981). On the bias in flexible functional forms and an essentially unbiased form: the Fourier flexible form. Journal of Econometrics, 15(2), 211-245.
• Hamilton, J. D. (1983). Oil and the macroeconomy since World War II. Journal of political economy, 91(2), 228-248.
• Hamilton, J. D. (1988). A neoclassical model of unemployment and the business cycle. Journal of political Economy, 96(3), 593-617.
• Hamilton, J. D. (1996). This is what happened to the oil price-macroeconomy relationship. Journal of monetary economics, 38(2), 215-220.
• He, Z. (2020). Dynamic impacts of crude oil price on Chinese investor sentiment: Nonlinear causality and time-varying effect. International Review of Economics & Finance, 66, 131-153.
• Herrera, A. M. (2018). Oil price shocks, inventories, and macroeconomic dynamics. Macroeconomic Dynamics, 22(3), 620-639.
• Herrera, A. M., & Pesavento, E. (2009). Oil price shocks, systematic monetary policy, and the “Great Moderation”. Macroeconomic Dynamics, 13(1), 107-137.
• Kilian, L. (2009). Not all oil price shocks are alike: Disentangling demand and supply shocks in the crude oil market. American Economic Review, 99(3), 1053-69.
• Kilian, L., & Park, C. (2009). The impact of oil price shocks on the US stock market. International Economic Review, 50(4), 1267-1287.
• Kilian, L., & Zhou, X. (2021). The impact of rising oil prices on US inflation and inflation expectations in 2020-23. Available at SSRN 3977339.
• Kwiatkowski, D., Phillips, P. C., 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.
• Mohaddes, K., & Pesaran, M. H. (2017). Oil prices and the global economy: Is it different this time around?. Energy Economics, 65, 315-325.
• Mork, K. A. (1989). Oil and the macroeconomy when prices go up and down: an extension of Hamilton's results. Journal of political Economy, 97(3), 740-744. of no cointegration, Econometrics Theory, 10(1), 91–115
• Shin, Y. (1994). A residual-based test of the null of cointegration against the alternative testing for the null of cointegration, Empirical Economics, 51(3), 1085-1113.
• Tsong, C.C., Lee, C.F., Tsai, L.J., Hu, T.C. (2016). The Fourier approximation and
• Wei, Y., & Guo, X. (2022). The impact of oil supply shocks on real economic activity: new evidence based on the proxy SVARs. Applied Economics, 1-15.
• Wen, F., Zhang, M., Deng, M., Zhao, Y., & Ouyang, J. (2019). Exploring the dynamic effects of financial factors on oil prices based on a TVP-VAR model. Physica A: Statistical Mechanics and its Applications, 532, 121881.
• Zhong, M., He, R., Chen, J., & Huang, J. (2019). Time-varying effects of international nonferrous metal price shocks on China’s industrial economy. Physica A: Statistical Mechanics and its Applications, 528, 121299.