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

• Akkoç, U., Akçağlayan, A. ve Akkoç, G. (2020). "The Impacts of Oil Price Shocks in Turkey: Sectoral Evidence from the FAVAR Approach", Economic Change and Restructuring, 54(1), 1147-1171.
• Bai, J. ve Perron, P. (2002). "Computation and Analysis of Multiple Structural Change Models", Journal of Applied Econometrics, 18(1), 1-22.
• Bhattacharyya, S. (2011). Energy Economics: Concepts, Issues, Markets and Governance. Springer.
• Bresnahan, T. ve Ramey, V. (1993). "Segment Shifts and Capacity Utilization in the U.S. Automobile Industry", American Economic Review, 83(2), 213-218.
• Bruno, M. ve Sachs, J. (1985). Economics of Worldwide Stagflation. Harvard University Press.
• Burbidge, J. ve Harrison, A. (1984). "Testing for the Effects of Oil-Price Rises using Vector Autoregressions", International Economic Review, 25(2), 459-484.
• Chen, J. ve Zhu, X. (2021). "The Effects of Different Types of Oil Price Shocks on Industrial PPI: Evidence from 36 Sub-industries in China", Emerging Markets Finance and Trade, 57(12), 3411-3434.
• Cogley, T. ve Sargent, T.J. (2005). " Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S", Review of Economic Dynamics, 8, 262-302.
• Davis, S. (1987). Fluctuations in the Pace of Labor Reallocation. Carnegie-Rochester Conference Series on Public Policy, 27(1), 335-402.
• Davis, S. ve Haltiwanger, J. (2001). "Sectoral Job Creation and Destruction Responses to Oil Price Changes", Journal of Monetary Economics, 48(3), 465-512.
• Ekinci, R., Tüzün, O., Ceylan, F. ve Kahyaoğlu, H. (2017). "The Relationship between Openness and Unemployment: A Time Varying Parameter Analysis on Turkey", Sosyoekonomi, 25(31), 45-74.
• Ferderer, J. (1996). "Oil Price Volatility and the Macroeconomy", Journal of Macroeconomics, 18(1), 1-26.
• Fukunaga, I., Hirakata, N. ve Sudo, N. (2009). "The Effects of Oil Price Changes on the Industry-Level Production and Prices in the U.S. and Japan", IMES Discussion Paper Series, 24, 1-50.
• Gisser, M. ve Goodwin, T. (1986). "Crude Oil and the Macroeconomy: Tests of Some Popular Notions: Note", Journal of Money, Credit and Banking, 18(1), 95-103.
• Hamilton, J. (1983). "Oil and the Macroeconomy since World War II", Journal of Political Economy, 91(2), 228-248.
• Hamilton, J. (1988). "Are the Macroeconomic Effects of Oil-Price Changes Symmetric?: A Comment", Carnegie-Rochester Conference Series on Public Policy, 28, s. 369-378.
• Hamilton, J. (1996). "This Is What Happened to the Oil Price-Macroeconomy Relationship", Journal of Monetary Economics, 38(2), 215-220.
• Herrera, A. (2018). "Oil Price Shocks, Inventories, and Macroeconomic Dynamics", Macroeconomic Dynamics, 22(3), 620-639.
• Herrera, A., Karaki, M. ve Rangaraju, S. (2019). "Oil Price Shocks and U.S. Economic Activity", Energy Policy, 129(1), 89-99.
• Herrera, A., Lagalo, L. ve Wada, T. (2011). "Oil Price Shocks and Industrial Production: Is the Relationship Linear?", Macroeconomic Dynamics, 15(1), 472-497.
• Huntington, H. (1998). "Crude Oil Prices and U.S. Economic Performance: Where Does the Asymmetry Reside?", The Energy Journal, 19(4), 107-132.
• Jimenez-Rodriguez, R. (2008). "The Impact of Oil Price Shocks: Evidence from the Industries of Six OECD Countries", Energy Economics, 30(6), 3095-3108.
• Jo, S., Karnizova, L. ve Reza, A. (2019). "Industry Effects of Oil Price Shocks: A Re-examination", Energy Economics, 82(1), 179-190.
• Kapetanios, G., Marcellino, M. ve Venditti, F. (2019). "Large Time‐Varying Parameter VARs: A Nonparametric Approach", Journal of Applied Econometrics, 7, 1027-1049.
• Kilian, L. (2014). "Oil Price Shocks: Causes and Consequences", Annual Review of Resource Economics, 6(1), 133-154.
• Kim, I. ve Loungani, P. (1992). "The Role of Energy in Real Business Cycle Models", Journal of Monetary Economics, 29(2), 173-189.
• Lee, J. ve Strazicich, M. (2003). "Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks", The Review of Economics and Statistics, 85(4), 1082-1089.
• Lee, K. ve Ni, S. (2002). "On the Dynamic Effects of Oil Price Shocks: A Study Using Industry Level Data", Journal of Monetary Economics, 49(4), 823-852.
• Lee, K., Ni, S. ve Ratti, R. (1995). "Oil Shocks and the Macroeconomy: The Role of Price Variability", The Energy Journal, 16(4), 39-56.
• Lilien, D. (1982). "Sectoral Shifts and Cyclical Unemployment", Journal of Political Economy, 90(4), 777-793.
• Long, J. ve Plosser, C. (1987). "Sectoral vs. Aggregate Shocks In The Business Cycle", The American Economic Review, 77(2), 333-336.
• Loungani, P. (1986). "Oil Price Shocks and the Dispersion Hypothesis", The Review of Economics and Statistics, 68(3), 536-539.
• Mork, K. (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.
• Mork, K. (1994). "Business Cycles and the Oil Market", The Energy Journal, 15(1), 15-38.
• Nakajima, J. (2011). "Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications", Monetary and Economic Studies, 29(1), 107-142.
• Nakajima, J., Kasuya, M. ve Watanabe, T. (2009). "Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy", Imes Discussion Paper Series, 13(1), 1-26.
• Otero, J. (2020). "Not All Sectors are Alike: Differential Impacts of Shocks in Oil Prices on the Sectors of the Colombian Economy", Energy Economics, 86(1), 1-13.
• Pinno, K. ve Serletis, A. (2013). "Oil Price Uncertainty and Industrial Production", The Energy Journal, 34(3), 191-216.
• Primiceri, G. (2005). "Time Varying Structural Vector Autoregressions and Monetary Policy", The Review of Economic Studies, 72(3), 821-852.
• Torul, O. ve Alper, C. (2010). "Asymmetric Effects of Oil Prices on the Manufacturing Sector in Turkey", Review of Middle East Economics and Finance, 6(1), 1-16.
• Watanabe, T. ve Omori, Y. (2004). " A Multi-move Sampler for Estimating Non-Gaussian Time Series Models: Comments on Shephard and Pitt (1997)", Biometrika, 91(1), 246-248
• Yasmeen, H., Wang, Y., Zameer, H. ve Solangi, Y. (2019). "Does Oil Price Volatility Influence Real Sector Growth? Empirical Evidence from Pakistan", Energy Reports, 5(1), 688-703.