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

Yıl 2021, Sayı: 26, 290 - 313, 30.04.2021

Önder Büberkökü

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

• Alper Yılmaz & Hüseyin Altay, “ İthal Ham Petrol Fiyatları Ve Döviz Kuru Arasındaki Eşbütünleşme Ve Oynaklık Yayılma Etkisinin İncelenmesi: Türkiye Örneği”, Ege Akademik Bakış, 16 (4), 2016, ss.655-671.
• Andreas Breitenfellner & Jesus Crespo Cuaresma, “Crude Oil Prices And The USD/EUR Exchange Rate”, Monetary Policy & The Economy, 4, 2008, 102- 121.
• Aviral Kumar Tiwari & Claudiu Tiberiu Albulescu, “Oil Prices And Exchange Rate In India: Fresh Evidence From Continuous Wavelet Approach And Asymmetric, Multi-Horizon Granger-Causality Tests”, Applied Energy, 179, 2016, 272-283.
• Aviral Kumar Tiwari, Mihai loan Mutascu & Claudiu Tiberiu Albulescu, “The Influence Of The International Oil Prices On The Real Effective Exchange Rate In Romania In A Wavelet Transform Framework”, Energy Economics, 40, 2013, ss.714-733.
• Ayoub Yousefi & Tony S. Wirjanto, “Exchange Rate Of The US Dollar And The J Curve: The Case Of Oil Exporting Countries”, Energy Economics, 26 (6), 2003, 741-765.
• Boqiang Lin & Tong Su, “Does Oil Price Have Similar Effects On The Exchange Rates Of BRICS ? International Review of Financial Analysis, 69, 2020, ss.1- 11.
• David A. Dickey & Wayne A. Fuller, “Distribution Of The Estimators For Autoregressive Time Series With Unit Root”, Journal of the American Statistical Association, 74, 1979, ss.427–431.
• Debi Prasad Bal & Badri Narayan Rath, “Nonlinear Causality Between Crude Oil Price And Exchange Rate: A Comparative Study Of China And India”, Energy Economics, 51, 2015, ss.149-156.
• Furkan Emirmahmutoglu & Nezir Kose, “Testing For Granger Causality In Heterogeneous Mixed Panels”, Economic Modelling, 28, 2011, ss.870-876.
• İbrahim Turhan, Erk Hacıhasanoğlu & Uğur Soytaş, “Oil Prices And Emerging Exchange Rates”, Central Bank of the Republic of Turkey Working Paper No:12/01,2012,ss.1-27,Erişim Tarihi 12 Haziran 2018, https://www.tcmb.gov.tr/wps/wcm/connect/08a403e8-0171-4c51-b45 f- 1400d227df53/WP1201.pdf?MOD.
• Joscha Beckmann & Robert Czudaj, “Oil Prices And Effective Exchange Rates”, International Review of Economics and Finance, 27, 2013, ss.621-636.
• Joscha Beckmann, Robert L. Czudaj & Vipin Arora, “The Relationship Between Oil Prices And Exchange Rates: Revisiting Theory And Evidence”, Energy Economics, 88, 2020, ss.1-12.
• Juan C. Reboredo, “Modeling Oil Price And Exchange Rate Co-Movements”, Journal of Policy Modeling, 34,2012, ss. 419-440.
• M. Hashem Pesaran & Takashi Yamagata, “Testing Slope Homogeneity In Large Panels”, Journal of Econometrics, 142 (1),2008, 50– 93
• M. Hashem Pesaran, Aman Ullah & Takashi Yamagata, "A Bias-Adjusted LM Test Of Error Cross Section Independence", The Econometrics Journal, 11(1), 2008, ss.105–127.
• Magali Dauvin, “Energy Prices And The Real Exchange Rate Of Commodity- Exporting Countries”, International Economics, 137, 2014, ss.52-72.
• Marcel Fratzcher, Daniel Schneider & Ine Van Robays, “Oil Prices, Exchange Rates And Asset Prices”, European Central Bank Working Paper Series No 1689, July, 2014, ss.1-47. Erişim Tarihi 4 Haziran 2018, https://www.ecb.europa.eu/ pub/pdf/ scpwps/ecbwp 1689. pdf.
• Michael R. Darby, “ The Price Of Oil, World Inflation And Recession”, The American Economic Review, 72, 1982, 738–751.
• Muntazir Hussain, Gilney Figueira Zebende, Usman Bashir & Ding Donghong, “Oil Prices And Exchange Rate Co-Movemants In Asain Countries: Detrended Cross-Correlation Approach”, Physica A, 465,2017, ss.338-346.
• Paresh Kumar Narayan, Seema Narayan & Arti Prasad”, Understanding The Oil Price-Exchange Rate Nexus For The Fiji Islands”, Energy Economics, 30, 2008, ss. 2686-2696.
• Paul Krugman, “Oil And The Dollar”, In Economic Interdependence And Flexible Exchange Rates, edited by J. S. Bhandari and B. H. Putnam, Cambridge, MA: MIT Press, 1983.
• Peter C.B. Phillips & Plerre Perron, “Testing For A Unit Root In Time Series Regression”, Biometrika, 75(2), 1988, 335–346.
• Robert A. Amano & Simon van Norden, “Exchange Rates And Oil Prices”, Review of International Economics, 6 (4), 1998b, ss.683-694.
• Robert A. Amano & Simon van Norden, “Oil Prices And The Rise And Fall Of The US Real Exchange Rate”, Journal of İnternational Money and Finance, 17, 1998a, ss.299-316.
• Ronald A. Fisher (1932), “Statistical Methods For Research Workers”, (4th edition), Edinburgh: Oliver and Boyd, 1932.
• S. Brock Bloomberg & Ethan S. Harris, “The Commodity-Consumer Price Connection: Fact Or Fable ?”, Federal Reserve Board of New York Economic Policy Review, 1(3),1995, ss.21-38.
• Sevcan Güneş, Sinem Pınar Gürel & Birgül Cambazoğlu, “Dış Ticaret Hadleri, Dünya Petrol Fiyatları Ve Döviz Kuru İlişkisi, Yapısal VAR Analizi: Türkiye Örneği”, Uluslararası Yönetim İktisat ve İşletme Dergisi, 9 (20), 2013, ss.1- 18.
• Shiu-Sheng Chen & Hung-Chyn Chen, “Oil Prices And Real Exchange Rates”, Energy Economics, 29 (3), 2007, 390-404.
• Stephen S. Golub, “Oil Prices And Exchange Rates”, The Economic Journal, 93 (371), 1983, ss.576-593.
• Tantatape Brahmasrene, Jui-Chi Huang & Yaya Sissoko “Crude Oil Prices And Exchange Rates: Causality, Variance Decomposition And Impulse Response”, Energy Economics, 44, 2014, 407-412.
• Trevor S. Breusch & Adrian Rodney Pagan, “The Lagrange Multiplier Test And Its Application To Model Specifications In Econometrics”, The Review of Economic Studies, 47 (1), 1980, 239–253.
• Uğur Adıgüzel, Tayfur Bayat & Selim Kayhan, “Petrol Fiyatları Ve Döviz Kuru Arasındaki İlişkinin Ampirik Analizi: Asimetrik Nedensellik Testi”, Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi, 17 (2), 2016, ss.241-250.
• Yue-Jun Zhang, Ying Fan, Hsien-Tang Tsai, & Yi-Ming Wei, "Spillover Effect Of US Dollar Exchange Rate On Oil Prices", Journal of Policy Modeling, 30(6), 2008, ss. 973-991. EK I: Logaritması Alınmamış Reel efektif Döviz Kurları ve WTI (EM) 40 00020406 101214 80 0002040608101214 80 000204060810121416 90 000204 101214 60 0002040608101214 60 70 08 50 16 90 84 40 16