Effects of Oil Price Shocks on Output for the Turkish Economy: A Sector-Level Analysis

Yıl 2024, Cilt: 39 Sayı: 1, 294 - 317, 02.03.2024

Onur Bayram , Nevzat Şimşek

https://doi.org/10.24988/ije.1410872

Öz

In this study, the output effects of oil price shocks on the Turkish economy have been tried to be examined at the sector-level. To the best of the authors knowledge, the time varying dynamics of the output effects of oil price shocks have not been examined in any studies at the sectoral level. In order to fill this gap in the literature, the time dependent effects of oil price shocks on sectoral output were analyzed with the stochastic volatility Time Varying Parameter Vector Autoregression (TVP-VAR) method. For this purpose, monthly production data for 28 sub-sectors covering the period 2005:1-2021:10 was used. The results obtained from impulse-response functions show that the effects of oil price shocks on the sectoral production level vary over time, and this time dependent change does not have a homogeneous appearance among sectors. These results indicate that policy makers, economic decision makers, and researchers should consider sectoral and time varying dynamics in the analysis of oil price shocks. The findings also support the validity of the asymmetric effect hypothesis in the energy economy literature for the Turkish economy.

Anahtar Kelimeler

Oil price shocks, sector-level, output effect, time-varying effects, Türkiye

Türkiye Ekonomisi İçin Petrol Fiyat Şoklarının Çıktı Üzerindeki Etkisi: Sektörel Düzeyde Bir Analiz

Öz

Bu çalışmada, Türkiye Ekonomisi için petrol fiyat şoklarının çıktı etkileri sektörel düzeyde incelenmeye çalışılmıştır. Yazarların bilgisi dahilinde, petrol fiyat şoklarının çıktı etkilerinin zamana bağlı dinamikleri, sektörel düzeyde hiçbir çalışmada incelenmemiştir. Literatürdeki bu boşluğun doldurulması amacıyla, petrol fiyat şoklarının sektörel çıktı düzeyi üzerindeki zamana bağlı etkileri, stokastik oynaklığa sahip Zamanla Değişen Parametreli Vektör Otoregresyon (TVP-VAR) yöntemiyle analiz edilmiştir. Bu doğrultuda, 2005:1-2021:10 dönemini kapsayan 28 alt sektöre ilişkin aylık üretim verisi kullanılmıştır. Etki tepki fonksiyonlarından elde edilen sonuçlar, petrol fiyat şoklarının sektörel üretim düzeyi üzerindeki etkilerinin zamana bağlı olarak değişiklik gösterebildiğini ve zamana bağlı bu değişimin sektörler arasında türdeş bir görünüme sahip olmadığını göstermektedir. Bu sonuçlar, petrol fiyat şoklarının analizinde, politika yapıcıların, ekonomik karar vericilerin ve araştırmacıların, sektörel ve zamana bağlı dinamikleri dikkate alması gerekliliğine işaret etmektedir. Bulgular, ayrıca, enerji ekonomisi literatüründeki asimetrik etki hipotezinin Türkiye Ekonomisi için geçerliliğini desteklemektedir.

Anahtar Kelimeler

Petrol fiyat şokları, sektörel düzey, çıktı etkisi, zamanla değişen etkiler, Türkiye

Kaynakça

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