Reel Efektif Döviz Kurları ile Reel Petrol Fiyatları Arasındaki Nedensellik İlişkisinin Analizi

Öz

Bu çalışmada 20 gelişen 14 gelişmiş ülke ekonomisi için reel petrol fiyatları ile reel efektif döviz kurları arasındaki nedensellik ilişkisi incelenmiştir. Nedensellik ilişkisinde yatay kesit bağımlılığını ve heterojenliği dikkate alan Emirmahmutoğlu ve Köse 2011 panel nedensellik testinden yararlanılmıştır. Panel nedensellik testi sonuçları hem gelişen hem de gelişmiş ülke ekonomileri için ilgili değişkenler arasında çift yönlü bir nedensellik ilişkisinin bulunduğunu göstermektedir. Çalışmada daha spesifik bulgulara ulaşabilmek için nedensellik analizinde ülke bazlı sonuçlara da yer verilmiştir. Çalışma bulgularının para politikası uygulamaları ve uluslararası yatırımcılar açısından önemli bilgiler içerdiği düşülmektedir.

Anahtar Kelimeler

• Reel petrol fiyatları, Reel efektif döviz kurları, Panel nedensellik testi

Examining the Causal Relationship between Real Effective Exchange Rates and Real Oil Prices

Öz

This study examines the causal relationship between real oil prices and real effective exchange rates for 20 emerging and 14 developed economies. The causality analysis applies the Emirmahmutoğlu and Köse 2011 panel causality test, which takes into account cross-sectional dependence and heterogeneity. The results show that there is a bidirectional causality relationship between the relevant variables for both emerging and developed economies in the study. Country-specific results of the causality analysis are also reported. The findings have important implications for monetary policy practice and international investors.

Anahtar Kelimeler

• Real oil prices, Real effective exchange rates, Panel causality test

Kaynakça

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