PETROL FİYAT ŞOKLARININ EKONOMİK BÜYÜME ÜZERİNDEKİ ASİMETRİK ETKİLERİ: TÜRKİYE İÇİN DOĞRUSAL OLMAYAN ARDL YAKLAŞIMI İLE KANITLAR

Öz

Bu çalışma, doğrusal olmayan otoregresif dağıtılmış gecikme (NARDL) çerçevesi kullanarak petrol fiyat şoklarının Türkiye'de ekonomik büyüme üzerindeki asimetrik etkilerini incelemektedir. Petrol fiyat hareketlerinin aktarımında simetri varsayan doğrusal modellerin aksine, NARDL yaklaşımı pozitif ve negatif petrol fiyat değişikliklerinin ekonomik büyüme üzerinde heterojen kısa ve uzun dönem etkileri göstermesine olanak tanımaktadır. 1998Ç3–2023Ç3 dönemini kapsayan çeyreklik veri kullanılarak, petrol fiyat değişiklikleri pozitif ve negatif kısmi toplamlara ayrıştırılmakta ve hem kısa dönem dinamikleri hem de uzun dönem ilişkileri tahmin edilmektedir. Sonuçlar, ekonomik büyüme, petrol fiyat şokları ve döviz kuru arasında güçlü eşbütünleşme kanıtı göstermektedir. BDS doğrusal olmama testleri NARDL çerçevesinin uygunluğunu doğrularken, yapısal kırılma testleri 2001, 2008 ve 2018'deki önemli şokları tespit etmektedir. Wald testleri uzun dönem katsayı asimetrisini desteklememekle birlikte, dinamik çarpan analizi pozitif ve negatif petrol fiyat şoklarını takiben ayarlanma yollarında belirgin asimetriler ortaya koymaktadır. Özellikle, negatif petrol fiyat şokları kısa ve orta dönemde daha keskin ve oynak büyüme tepkileri üretirken, pozitif şoklar daha yumuşak ve kademeli ayarlanmalara yol açmaktadır. Kapsamlı tanı testleri, örneklem dönemi boyunca istikrarlı parametrelerle model yeterliliğini doğrulamaktadır. Bu bulgular, asimetrilerin kalıcı düzey etkileri yerine öncelikle geçiş dinamikleri yoluyla işlediğini göstermekte ve petrol fiyat dalgalanmalarının makroekonomik sonuçlarının değerlendirilmesinde doğrusal olmayan modellemenin önemini vurgulamaktadır.

Anahtar Kelimeler

• Petrol Fiyat Şokları
• Ekonomik Büyüme
• Asimetri
• NARDL

ASYMMETRIC EFFECTS OF OIL PRICE SHOCKS ON ECONOMIC GROWTH: EVIDENCE FOR TÜRKİYE USING A NONLINEAR ARDL APPROACH

Öz

This study investigates the asymmetric effects of oil price shocks on economic growth in Türkiye using a nonlinear autoregressive distributed lag (NARDL) framework. Unlike linear models that impose symmetry in the transmission of oil price movements, the NARDL approach allows positive and negative changes in oil prices to exert heterogeneous short- and long-run effects on economic growth. Using quarterly data covering the period 1998Q3–2023Q3, changes in oil prices are decomposed into positive and negative partial sums, and both short-run dynamics and long-run relationships are estimated. The results indicate strong evidence of cointegration among economic growth, oil price shocks, and the exchange rate. BDS nonlinearity tests confirm the appropriateness of the NARDL framework, while structural break tests identify major shocks in 2001, 2008, and 2018. While Wald tests do not support long-run coefficient asymmetry, dynamic multiplier analysis reveals pronounced asymmetries in the adjustment paths following positive and negative oil price shocks. In particular, negative oil price shocks generate sharper and more volatile growth responses in the short and medium run, whereas positive shocks lead to smoother and more gradual adjustments. Comprehensive diagnostic tests confirm model adequacy, with stable parameters throughout the sample period. These findings suggest that asymmetries primarily operate through transitional dynamics rather than permanent level effects, highlighting the importance of nonlinear modeling in assessing the macroeconomic consequences of oil price fluctuations.

Anahtar Kelimeler

• Oil Price Shocks
• Economic Growth
• Asymmetry
• NARDL

Kaynakça

1. Ahmad, A. H., & Hernandez, R. M. (2013). Asymmetric adjustment between oil prices and exchange rates: Empirical evidence from major oil producers and consumers. Journal of International Financial Markets, Institutions and Money, 27, 306–317. https://doi.org/10.1016/j.intfin.2013.09.002
2. Akaike, H. (1974). A new look at the statistical model identification. IEEE Transactions on Automatic Control, 19(6), 716–723. https://doi.org/10.1109/TAC.1974.1100705
3. Amano, R. A., & Macklem, R. T. (1997). Menu costs, relative prices, and inflation: Evidence for Canada (Working Paper 97-14). Bank of Canada.
4. Atil, A., Lahiani, A., & Nguyen, D. K. (2014). Asymmetric and nonlinear pass-through of crude oil prices to gasoline and natural gas prices. Energy Policy, 65, 567–573. https://doi.org/10.1016/j.enpol.2013.10.064
5. Aydın, L., & Acar, M. (2011). Economic impact of oil price shocks on the Turkish economy in the coming decades: A dynamic CGE analysis. Energy Policy, 39(3), 1722–1731. https://doi.org/10.1016/j.enpol.2010.12.051
6. Baker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring economic policy uncertainty. Quarterly Journal of Economics, 131(4), 1593–1636. https://doi.org/10.1093/qje/qjw024
7. Balcılar, M., Gupta, R., & Wohar, M. E. (2017). Common cycles and common trends in the stock and oil markets: Evidence from more than 150 years of data. Energy Economics, 61, 72–86. https://doi.org/10.1016/j.eneco.2016.11.003
8. Balke, N. S., Brown, S. P., & Yücel, M. K. (2002). Oil price shocks and the U.S. economy: Where does the asymmetry originate? The Energy Journal, 23(3), 27–52. https://doi.org/10.5547/ISSN0195-6574-EJ-Vol23-No3-2

9. Barro, R. J. (1976). Rational expectations and the role of monetary policy. Journal of Monetary Economics, 2(1), 1–32. https://doi.org/10.1016/0304-3932(76)90002-7
10. Baumeister, C., & Peersman, G. (2013). Time-varying effects of oil supply shocks on the US economy. American Economic Journal: Macroeconomics, 5(4), 1–28. https://doi.org/10.1257/mac.5.4.1
11. Bernanke, B. S. (1983). Irreversibility, uncertainty, and cyclical investment. Quarterly Journal of Economics, 98(1), 85–106. https://doi.org/10.2307/1885568
12. Bernanke, B. S., Gertler, M., & Watson, M. (1997). Systematic monetary policy and the effects of oil price shocks. Brookings Papers on Economic Activity, 1997(1), 91–157. https://doi.org/10.2307/2534702
13. Berument, M. H., & Taşçı, H. (2002). Inflationary effect of crude oil prices in Turkey. Physica A: Statistical Mechanics and its Applications, 316(1-4), 568–580. https://doi.org/10.1016/S0378-4371(02)01025-7
14. Bloom, N. (2009). The impact of uncertainty shocks. Econometrica, 77(3), 623–685. https://doi.org/10.3982/ECTA6248
15. Bohi, D. R. (1991). On the macroeconomic effects of energy price shocks. Resources and Energy, 13(2), 145–162. https://doi.org/10.1016/0165-0572(91)90012-R
16. Brown, R. L., Durbin, J., & Evans, J. M. (1975). Techniques for testing the constancy of regression relationships over time. Journal of the Royal Statistical Society: Series B (Methodological), 37(2), 149–163. https://doi.org/10.1111/j.2517-6161.1975.tb01532.x
17. Bruno, M., & Sachs, J. D. (1982). Input price shocks and the slowdown in economic growth: The case of UK manufacturing. Review of Economic Studies, 49(5), 679–705. https://doi.org/10.2307/2297185
18. Burbidge, J., & Harrison, A. (1984). Testing for the effects of oil-price rises using vector autoregression. International Economic Review, 25(2), 459–484. https://doi.org/10.2307/2526209
19. Cuñado, J., & Manera, M. (2009). The asymmetric effects of oil shocks on output growth: A Markov-switching analysis for the G-7 countries. Economic Modelling, 26(1), 1–29. https://doi.org/10.1016/j.econmod.2008.05.006
20. Cunado, J., & Perez de Gracia, F. (2003). Do oil price shocks matter? Evidence for some European countries. Energy Economics, 25(2), 137–154. https://doi.org/10.1016/S0140-9883(02)00099-3
21. Cunado, J., & Perez de Gracia, F. (2005). Oil prices, economic activity and inflation: Evidence for some Asian countries. Quarterly Review of Economics and Finance, 45(1), 65–83. https://doi.org/10.1016/j.qref.2004.02.003
22. Çatık, A. N., & Önder, A. Ö. (2013). An asymmetric analysis of the relationship between oil prices and output: The case of Turkey. Economic Modelling, 33, 884–892. https://doi.org/10.1016/j.econmod.2013.05.015
23. Çelik, T., & Akgül, B. (2011). Changes in fuel oil prices in Turkey: An estimation of the inflation effect using VAR analysis. Journal of Economics and Business, 14(2), 11–21.
24. Davis, S. J., & Haltiwanger, J. (2001). Sectoral job creation and destruction responses to oil price changes. Journal of Monetary Economics, 48(3), 465–512. https://doi.org/10.1016/S0304-3932(01)00086-1
25. Delatte, A. L., & López-Villavicencio, A. (2012). Asymmetric exchange rate pass-through: Evidence from major countries. Journal of Macroeconomics, 34(3), 833–844. https://doi.org/10.1016/j.jmacro.2012.03.003
26. Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427–431. https://doi.org/10.1080/01621459.1979.10482531
27. Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057–1072. https://doi.org/10.2307/1912517
28. Elder, J., & Serletis, A. (2010). Oil price uncertainty. Journal of Money, Credit and Banking, 42(6), 1137–1159. https://doi.org/10.1111/j.1538-4616.2010.00323.x
29. Elmas, M. (2019). Petrol endüstrileri ve petrol ihraç eden ülkeler. Niğde Ömer Halisdemir Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 1(3), 29-41. https://dergipark.org.tr/tr/download/article-file/888824
30. Farzanegan, M. R., & Markwardt, G. (2009). The effects of oil price shocks on the Iranian economy. Energy Economics, 31(1), 134–151. https://doi.org/10.1016/j.eneco.2008.09.003
31. Feenstra, R. C., Inklaar, R., & Timmer, M. P. (2015). The next generation of the Penn World Table. American Economic Review, 105(10), 3150–3182. https://doi.org/10.1257/aer.20130954
32. Fousekis, P., Katrakilidis, C., & Trachanas, E. (2016). Vertical price transmission in the US beef sector: Evidence from the nonlinear ARDL model. Economic Modelling, 52(Part B), 499–506. https://doi.org/10.1016/j.econmod.2015.09.030
33. Gangopadhyay, P., & Gangopadhyay, R. (2008). Flexible reservation prices and price inflexibility. Economic Modelling, 25(3), 499–511. https://doi.org/10.1016/j.econmod.2007.09.003
34. Godfrey, L. G. (1978). Testing against general autoregressive and moving average error models when the regressors include lagged dependent variables. Econometrica, 46(6), 1293–1301. https://doi.org/10.2307/1913829
35. Greenwood-Nimmo, M., & Shin, Y. (2013). Taxation and the asymmetric adjustment of selected retail energy prices in the UK. Economics Letters, 121(3), 411–416. https://doi.org/10.1016/j.econlet.2013.09.020
36. Hamilton, J. D. (1983). Oil and the macroeconomy since World War II. Journal of Political Economy, 91(2), 228–248. https://doi.org/10.1086/261140
37. Hamilton, J. D. (1988). A neoclassical model of unemployment and the business cycle. Journal of Political Economy, 96(3), 593–617. https://doi.org/10.1086/261553
38. Hamilton, J. D. (1996). This is what happened to the oil price-macroeconomy relationship. Journal of Monetary Economics, 38(2), 215–220. https://doi.org/10.1016/S0304-3932(96)01282-2
39. Hamilton, J. D. (2003). What is an oil shock? Journal of Econometrics, 113(2), 363–398. https://doi.org/10.1016/S0304-4076(02)00207-5
40. Hamilton, J. D. (2011). Nonlinearities and the macroeconomic effects of oil prices. Macroeconomic Dynamics, 15(S3), 364–378. https://doi.org/10.1017/S1365100511000307
41. Hannan, E. J., & Quinn, B. G. (1979). The determination of the order of an autoregression. Journal of the Royal Statistical Society: Series B (Methodological), 41(2), 190–195. https://doi.org/10.1111/j.2517-6161.1979.tb01072.x
42. Herrera, A. M., Lagalo, L. G., & Wada, T. (2015). Asymmetries in the response of economic activity to oil price increases and decreases. Journal of International Money and Finance, 50, 108–133. https://doi.org/10.1016/j.jimonfin.2014.09.004
43. Herwartz, H., & Plödt, M. (2016). The macroeconomic effects of oil price shocks: Evidence from a statistical identification approach. Journal of International Money and Finance, 61, 30–44. https://doi.org/10.1016/j.jimonfin.2015.11.001
44. Huang, B. N., Hwang, M. J., & Peng, H. P. (2005). The asymmetry of the impact of oil price shocks on economic activities: An application of the multivariate threshold model. Energy Economics, 27(3), 455–476. https://doi.org/10.1016/j.eneco.2005.03.001
45. International Energy Agency. (2014). Turkey 2014 review. IEA Publications. Retrieved from https://www.iea.org/countries/turkiye, Accessed 12.08.2026.
46. Jarque, C. M., & Bera, A. K. (1980). Efficient tests for normality, homoscedasticity and serial independence of regression residuals. Economics Letters, 6(3), 255–259. https://doi.org/10.1016/0165-1765(80)90024-5
47. Jiménez-Rodríguez, R., & Sánchez, M. (2005). Oil price shocks and real GDP growth: Empirical evidence for some OECD countries. Applied Economics, 37(2), 201–228. https://doi.org/10.1080/0003684042000281561
48. Ju, K., Su, B., Zhou, D., Zhou, P., & Zhang, X. (2015). Macroeconomic effects of oil price shocks in China: An empirical study based on Hilbert–Huang transform and event study. Applied Energy, 136, 1053–1066. https://doi.org/10.1016/j.apenergy.2014.08.037
49. Katrakilidis, C., & Trachanas, E. (2012). What drives housing price dynamics in Greece: New evidence from asymmetric ARDL cointegration. Economic Modelling, 29(4), 1064–1069. https://doi.org/10.1016/j.econmod.2012.03.029
50. 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), 1053–1069. https://doi.org/10.1257/aer.99.3.1053
51. Kilian, L., & Vigfusson, R. J. (2011). Are the responses of the U.S. economy asymmetric in energy price increases and decreases? Quantitative Economics, 2(3), 419–453. https://doi.org/10.3982/QE99
52. Korhonen, I., & Mehrotra, A. (2009). Real exchange rate, output and oil: Case of four new EU member states (BOFIT Discussion Papers 2/2009). Bank of Finland.
53. Kwiatkowski, D., Phillips, P. C. B., 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. https://doi.org/10.1016/0304-4076(92)90104-Y
54. Leduc, S., & Sill, K. (2004). A quantitative analysis of oil-price shocks, systematic monetary policy, and economic downturns. Journal of Monetary Economics, 51(4), 781–808. https://doi.org/10.1016/j.jmoneco.2003.09.004
55. Lee, J., & Strazicich, M. C. (2003). Minimum Lagrange multiplier unit root test with two structural breaks. Review of Economics and Statistics, 85(4), 1082–1089. https://doi.org/10.1162/003465303772815961, Accessed 12.08.2026.
56. Lee, K., Ni, S., & Ratti, R. A. (1995). Oil shocks and the macroeconomy: The role of price variability. Energy Journal, 16(4), 39–56. https://doi.org/10.5547/ISSN0195-6574-EJ-Vol16-No4-2, Accessed 12.08.2026.
57. Lescaroux, F., & Mignon, V. (2008). On the influence of oil prices on economic activity and other macroeconomic and financial variables. OPEC Energy Review, 32(4), 343–380. https://doi.org/10.1111/j.1753-0237.2009.00157.x
58. Malikov, E. (2015). Dynamics responses to oil price shocks: Conditional vs. unconditional (a)symmetry. Economics Letters, 139, 31–35. https://doi.org/10.1016/j.econlet.2015.12.008
59. Mitra, S. K. (2013). Nonlinear impact of rain on foodgrain production in India. Applied Economics Letters, 21(14), 1001–1005. https://doi.org/10.1080/13504851.2014.899664
60. 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. https://doi.org/10.1086/261625
61. Mork, K. A., Olsen, Ø., & Mysen, H. T. (1994). Macroeconomic responses to oil price increases and decreases in seven OECD countries. Energy Journal, 15(4), 19–35. https://doi.org/10.5547/ISSN0195-6574-EJ-Vol15-No4-2
62. Noguera-Santaella, J. (2016). Geopolitics and the oil price. Economic Modelling, 52(Part A), 301–309. https://doi.org/10.1016/j.econmod.2015.08.018
63. Pal, D., & Mitra, S. K. (2015). Asymmetric impact of crude price on oil product pricing in the United States: An application of multiple threshold nonlinear autoregressive distributed lag model. Economic Modelling, 51, 436–443. https://doi.org/10.1016/j.econmod.2015.08.026
64. Pesaran, M. H., & Shin, Y. (1999). An autoregressive distributed lag modelling approach to cointegration analysis. In S. Strom (Ed.), Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium (pp. 371-413). Cambridge University Press. https:// doi.org/10.1017/CCOL521633230.011
65. Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. https://doi.org/10.1002/jae.616
66. Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346. https://doi.org/10.1093/biomet/75.2.335
67. Rahman, S., & Serletis, A. (2010). The asymmetric effects of oil price and monetary policy shocks: A nonlinear VAR approach. Energy Economics, 32(6), 1460–1466. https://doi.org/10.1016/j.eneco.2010.07.003
68. Ramos, S. B., & Veiga, H. (2013). Oil price asymmetric effects: Answering the puzzle in international stock markets. Energy Economics, 38, 136–145. https://doi.org/10.1016/j.eneco.2013.03.011
69. Ramsey, J. B. (1969). Tests for specification errors in classical linear least-squares regression analysis. Journal of the Royal Statistical Society: Series B (Methodological), 31(2), 350–371. https://doi.org/10.1111/j.2517-6161.1969.tb00796.x
70. Rasche, R. H., & Tatom, J. A. (1977). Energy resources and potential GNP. Federal Reserve Bank of St. Louis Review, 59(6), 10–24. https://scispace.com/pdf/energy-resources-and-potential-gnp-3clebt5xr1.pdf
71. Rasche, R. H., & Tatom, J. A. (1981). Energy price shocks, aggregate supply and monetary policy: The theory and the international evidence. Carnegie-Rochester Conference Series on Public Policy, 14, 9–93. https://doi.org/10.1016/0167-2231(81)90029-8
72. Rautava, J. (2004). The role of oil prices and the real exchange rate in Russia's economy—A cointegration approach. Journal of Comparative Economics, 32(2), 315–327. https://doi.org/10.1016/j.jce.2004.02.006
73. Rotemberg, J. J., & Woodford, M. (1996). Imperfect competition and the effects of energy price increases on economic activity. Journal of Money, Credit and Banking, 28(4), 549–577. https://doi.org/10.2307/2078071
74. Schwarz, G. (1978). Estimating the dimension of a model. Annals of Statistics, 6(2), 461–464. https://doi.org/10.1214/aos/1176344136
75. Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In R. C. Sickles & W. C. Horrace (Eds.), Festschrift in honor of Peter Schmidt: Econometric methods and applications (pp. 281–314). Springer. https://doi.org/10.1007/978-1-4899-8008-3_9
76. Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48(1), 1–48. https://doi.org/10.2307/1912017
77. Türkiye Cumhuriyet Merkez Bankası. (2024). Elektronik Veri Dağıtım Sistemi (EVDS). Retrieved from https://evds2.tcmb.gov.tr. Accessed 12.08.2026.
78. Türkiye İstatistik Kurumu. (2024). Ulusal hesaplar ve ekonomik göstergeler. Retrieved from https://data.tuik.gov.tr. Accessed 12.08.2026.
79. U.S. Bureau of Labor Statistics. (2024). Consumer Price Index for All Urban Consumers. Retrieved from https://www.bls.gov/cpi/. Accessed 12.08.2026.
80. U.S. Census Bureau. (2017). X-13ARIMA-SEATS reference manual. Statistical Research Division. Retrieved from https://www.census.gov/content/dam/Census/library/working-papers/2017/adrm/docx13ashtml.pdf. Accessed 12.08.2026.
81. U.S. Energy Information Administration. (2024). Petroleum & other liquids: Spot prices. Retrieved from https://www.eia.gov/petroleum/. Accessed 12.08.2026.
82. Verheyen, F. (2013). Exchange rate nonlinearities in EMU exports to the US. Economic Modelling, 32, 66–76. https://doi.org/10.1016/j.econmod.2013.01.039
83. Wald, A. (1943). Tests of statistical hypotheses concerning several parameters when the number of observations is large. Transactions of the American Mathematical Society, 54(3), 426–482. https://doi.org/10.2307/1990256
84. Yaylalı, M., & Lebe, F. (2012). İthal ham petrol fiyatlarının Türkiye'deki makroekonomik aktiviteler üzerindeki etkisi. Marmara Üniversitesi İ.İ.B. Dergisi, 32(1), 43–68. https://dergipark.org.tr/en/download/article-file/3791
85. Zhao, L., Zhang, X., Wang, S., & Xu, S. (2016). The effects of oil price shocks on output and inflation in China. Energy Economics, 53, 101–110. https://doi.org/10.1016/j.eneco.2015.11.017
86. Zivot, E., & Andrews, D. W. K. (1992). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of Business & Economic Statistics, 10(3), 251–270. https://doi.org/10.1080/07350015.1992.10509904