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PETROL FİYATLARI İLE EKONOMİK BÜYÜME ARASINDAKİ İLİŞKİNİN İNCELENMESİ: FOURİER YAKLAŞIMI

Yıl 2017, Sayı: 27, 51 - 67, 30.11.2017

Veli Yılancı

Öz

Bu
çalışmada, Türkiye’de ekonomik büyüme ile petrol fiyatları arasındaki uzun
dönemli ilişkinin varlığı 1990-2016 arası aylık verilerle test edilmiştir. Bu
amaçla öncelikle değişkenlerin durağanlığı Fourier durağanlık testiyle
sınanmış, fark durağan bulunan değişkenlerin arasındaki uzun dönemli ilişkinin
varlığını sınamak için ise Fourier eşbütünleşme testi kullanılmıştır. Elde
edilen sonuçlar, Türkiye’de ekonomik büyüme ile petrol fiyatları arasında uzun
dönemli bir ilişki olmadığını ortaya koymaktadır.

Anahtar Kelimeler

Fourier durağanlık Fourier eşbütünleşme Petrol fiyatları Ekonomik büyüme

Kaynakça

  • Altıntaş, H. (2013). Türkiye’de petrol fiyatları, ihracat ve reel döviz kuru ilişkisi: ARDL sınır testi yaklaşımı ve dinamik nedensellik analizi, Uluslararası Yönetim İktisat ve İşletme Dergisi, 9(19), 1-30.
  • Atay Polat, M. ve Sancar, C. (2015). Türkiye’de dış ticaret açığı ve petrol ithal fiyatları ilişkisi, Akademik Bakış Dergisi, 48, 555-567.
  • Banerjee, A., Lumsdaine, R. L. ve Stock, J.H. (1992), Recursive and Sequential Tests of the Unit Root and Trend-Break Hypothesis: Theory and International Evidence, Journal of Business and Economic Statistics, 10, 271-287.
  • Basher, S. A., Haug, A. A. ve Sadorsky, P. (2012). Oil prices, exchange rates and emerging stock markets, Energy Economics, 34, 227–240.
  • Basher, S. A. ve Sadorsky, P. (2006). Oil Price Risk and Emerging Stock Markets, Global Finance Journal, 17(2), 224-251.
  • Becker, R., Enders, W. ve Hurn, S. (2004). A general test for time dependence in parameters, Journal of Applied Econometrics, 19, 899-906.
  • Becker, R., Enders, W. ve Lee, J. (2006). A stationarity test in the presence of an unknown number of smooth breaks, Journal of Time Series Analysis, 3(5): 381-409.
  • Christiano, L.J. (1992). Searching for a Break in GNP, Journal of Business and Economic Statistics, 10, 237-249.
  • Clemente, J., Montañés, A., ve Reyes, M. (1998). Testing for a unit root in variables with a double change in the mean, Economics Letters, 59, 175-182.
  • Dickey, D.A. ve Fuller W.A. (1981), Distribution of the estimators for autoregressive time series with a unit root, Econometrica, 49, 1057-72.
  • Engle, R. F. ve Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation and testing, Econometrica, 55 (2), 251–276.
  • Gallant, R. (1981). On the bias in flexible functional form and an essentially unbiased form: the flexible fourier form, Journal of Econometrics, 15 (2), 211–245.
  • Gonzalo J. (2010). The making of estimation of common long-memory components in cointegrated systems, Journal of Financial Econometrics, 8(2), 174–176.
  • Gregory, A. W. ve Hansen, B.H. (1996). Residual-based tests for cointegration in models with regime shifts, Journal of Econometrics, 70(1), 99-126.
  • Güler, S., Tunç, R. ve Orçun, Ç. (2010). Petrol Fiyat riski ve hisse senedi fiyatları arasındaki ilişkinin belirlenmesi: Türkiye’de enerji sektörü üzerinde bir uygulama, Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 24(4), 297-315.
  • Hamilton, J.D. (1983). Oil and the macroeconomy since world war II, Journal of Political Economy, 91, 228-248.
  • Hamilton, J. D. (2012). Oil prices, exhaustible resources, and economic growth, Working Paper for Handbook of Energy and Climate Change, 1–63. http://doi.org/10.3386/w17759 Hassan, S.A. ve Zaman K. (2012). Effect of oil prices on trade balance: new insights into the cointegration relationship from Pakistan, Economic Modelling, 29, 2125–2143.
  • Hatemi-J, A. (2008). Tests for cointegration with two unknown regime shifts with an application to financial market ıntegration, Empirical Economics, 35 (3), 497-505.
  • Imarhiagbe, S. (2010). Impact of oil price on stock markets: Empirical evidence from selected major oil producing and consuming countries, Global Journal of Finance and Banking Issues, 4, 15-31.
  • Johansen, S., Mosconi, R. Ve Nielsen, B. (2000). Cointegration analysis in the presence of structural breaks in the deterministic trend, Econometrics Journal 3, 216-249.
  • Kapusuzoglu, A. (2011). Relationships between oil price and stock market: an empirical analysis from Istanbul Stock Exchange (ISE), International Journal of Economics and Finance, 3(6), 99-106.
  • Kwiatkowski, D., Phillips, P. C. B., Schmidt, P. ve Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root, Journal of Econometrics, 54, 159-178.
  • Lanne, M., Lütkepohl, H. ve Saikkonen, P. (2003). Test procedures for unit roots in time series with level shifts at unknown time, Oxford Bulletin of Economics and Statistics, 65(1), 91-115.
  • Lardic, S. ve Mignon, V. (2008). Oil prices and economic activity: An asymmetric cointegration approach, Energy Economics, 30(3), 847-856.
  • Lee, B.J., Yang, C.H. ve Huang, B.H. (2012). Oil price movements and stock market revisited: A case of sector stock price indexes in the G7 countries, Energy Economics, 34, 1284-1300.
  • Lee, C. C., ve Zeng, J. H. (2011). The impact of oil price shocks on stock market activities: Asymmetric effect with quantile regression, Mathematics and Computers in Simulation, 81(9), 1910–1920. http://doi.org/10.1016/j.matcom.2011.03.004
  • Lee, J. ve Strazicich, M.C. (2003). Minimum lagrange multiplier unit root test with two structural breaks, The Review of Economics and Statistics, vol. 85, no.4, pp.1082-1089.
  • Lee, J. ve Strazicich, M.C. (2013). Minimum LM unit root test with one structural break, Economics Bulletin, 33(4), 2483-2492.
  • Lumsdaine, R.L. ve Papell, D.H. (1997). Multiple trend breaks and the unit root hypothesis, The Review of Economics and Statistics, 79(2), 212- 218.
  • Maddala, G.S. ve Kim, I. (2004). Unit roots cointegratıon and structural change, Cambridge University Press, 6. Bsm, Birleşik Krallık.
  • Maghyereh, A. ve Al-Kandari, A. (2007). Oil prices and stock markets in GCC countries: New evidence from nonlinear cointegration analysis, Managerial Finance, 33(7), 449-460.
  • Nelson, C.R. ve Plosser, C.I. (1982). Trends and random walks in macroeconomic time series, Journal of Monetary Economics, 10, 139-162.
  • Ohara, H.I. (1999). A unit root test with multiple trend breaks: A theory and application to US and Japanese macroeconomic time series, The Japanese Economic Review, 50, 266-290.
  • Park, J. ve Ratti, R. A. (2008). Oil price shocks and stock markets in the U.S. and 13 European countries, Energy Economics, 30, 2587-2608. http://dx.doi.org/10.1016/j.eneco.2008.04.003
  • Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis, Econometrica, 57(6), 1361-1401.
  • Perron, P. (1994). Trend, unit root hypothesis and structural change in macroeconomic time series, Roa, B.Bhasakara (Ed.), Cointegration for Applied Economists, St. Martin’s Press.
  • Sadorsky, P. (1999). Oil price shocks and stock market activity, Energy Economics, 21, 449-469. http://dx.doi.org/10.1016/S0140-9883(99)00020-1
  • Said, S.E. ve Dickey, D.A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order, Biometrika, 71, 599-608.
  • Saikkonen, P. ve Lütkepohl, H. (2002). Testing for a unit root in a time series with a level shift at unknown time, Econometric Theory, 18 (2), 313-348.
  • Shin, Y. (1994). A residual-based test of the null of cointegration against the alternative of no cointegration, Econometrics Theory, 10(1), 91–115
  • Şener, S, Yılancı, V. ve Tıraşoğlu, M. (2013). Petrol fiyatları ile Borsa İstanbul’un kapanış fiyatları arasındaki saklı ilişkinin analizi, Sosyal ve Ekonomik Araştırmalar Dergisi, 13 (26), 231-248.
  • Thomson, D.J. (1994). Jackknifing multiple-window spectra, Proceedings of the IEEE International Conference on Acoustics, Speech and Signal Processing, 6, 73-76.
  • Tsong, C.C., Lee, C.F., Tsai, L.J., Hu, T.C. (2016). The Fourier approximation and testing for the null of cointegration, Empirical Economics, 51(3), 1085-1113.
  • Yardımcıoğlu, F. ve Gülmez, A., (2013). OPEC ülkelerinde Hollanda hastalığı: Petrol fiyatları ve ekonomik büyüme ilişkisinin ekonometrik bir analizi, Sosyoekonomi, 117-140.
  • Zivot, E. ve Andrews, D. (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.
  • Zortuk, M. ve Bayrak, S. (2016). Ham petrol fiyat şokları - hisse senedi piyasası ilişkisi: ADL eşik değerli koentegrasyon testi, Eskişehir Osmangazi İİBF Dergisi, 11(1), 7-22.
  • http://www.opec.org/opec_web/en/about_us/24.htm, E. Tarihi: 12. 8. 2017
  • http://www.niatr.org/tr/turkiye-yapmasin-da-kim-yapsin/ E. Tarihi: 15. 8. 2017

Analysing the relationship between oil prices and economic growth: A fourier approach

Yıl 2017, Sayı: 27, 51 - 67, 30.11.2017

Veli Yılancı

Öz

In this study, the
existence of a long-term relationship between economic growth and oil prices is
tested for Turkey over the period 1990-2016 using monthly data. For this
purpose, the stationarity of the variables tested by the Fourier stationarity
test, and the Fourier cointegration test used to test the existence of a
long-run relationship between the variables since both the variables found to
be stationary at the first differences. The results show that there is no
long-run relationship between economic growth and oil prices in Turkey.

Anahtar Kelimeler

Fourier stationarity Fourier cointegration oil prices economic growth

Kaynakça

  • Altıntaş, H. (2013). Türkiye’de petrol fiyatları, ihracat ve reel döviz kuru ilişkisi: ARDL sınır testi yaklaşımı ve dinamik nedensellik analizi, Uluslararası Yönetim İktisat ve İşletme Dergisi, 9(19), 1-30.
  • Atay Polat, M. ve Sancar, C. (2015). Türkiye’de dış ticaret açığı ve petrol ithal fiyatları ilişkisi, Akademik Bakış Dergisi, 48, 555-567.
  • Banerjee, A., Lumsdaine, R. L. ve Stock, J.H. (1992), Recursive and Sequential Tests of the Unit Root and Trend-Break Hypothesis: Theory and International Evidence, Journal of Business and Economic Statistics, 10, 271-287.
  • Basher, S. A., Haug, A. A. ve Sadorsky, P. (2012). Oil prices, exchange rates and emerging stock markets, Energy Economics, 34, 227–240.
  • Basher, S. A. ve Sadorsky, P. (2006). Oil Price Risk and Emerging Stock Markets, Global Finance Journal, 17(2), 224-251.
  • Becker, R., Enders, W. ve Hurn, S. (2004). A general test for time dependence in parameters, Journal of Applied Econometrics, 19, 899-906.
  • Becker, R., Enders, W. ve Lee, J. (2006). A stationarity test in the presence of an unknown number of smooth breaks, Journal of Time Series Analysis, 3(5): 381-409.
  • Christiano, L.J. (1992). Searching for a Break in GNP, Journal of Business and Economic Statistics, 10, 237-249.
  • Clemente, J., Montañés, A., ve Reyes, M. (1998). Testing for a unit root in variables with a double change in the mean, Economics Letters, 59, 175-182.
  • Dickey, D.A. ve Fuller W.A. (1981), Distribution of the estimators for autoregressive time series with a unit root, Econometrica, 49, 1057-72.
  • Engle, R. F. ve Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation and testing, Econometrica, 55 (2), 251–276.
  • Gallant, R. (1981). On the bias in flexible functional form and an essentially unbiased form: the flexible fourier form, Journal of Econometrics, 15 (2), 211–245.
  • Gonzalo J. (2010). The making of estimation of common long-memory components in cointegrated systems, Journal of Financial Econometrics, 8(2), 174–176.
  • Gregory, A. W. ve Hansen, B.H. (1996). Residual-based tests for cointegration in models with regime shifts, Journal of Econometrics, 70(1), 99-126.
  • Güler, S., Tunç, R. ve Orçun, Ç. (2010). Petrol Fiyat riski ve hisse senedi fiyatları arasındaki ilişkinin belirlenmesi: Türkiye’de enerji sektörü üzerinde bir uygulama, Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 24(4), 297-315.
  • Hamilton, J.D. (1983). Oil and the macroeconomy since world war II, Journal of Political Economy, 91, 228-248.
  • Hamilton, J. D. (2012). Oil prices, exhaustible resources, and economic growth, Working Paper for Handbook of Energy and Climate Change, 1–63. http://doi.org/10.3386/w17759 Hassan, S.A. ve Zaman K. (2012). Effect of oil prices on trade balance: new insights into the cointegration relationship from Pakistan, Economic Modelling, 29, 2125–2143.
  • Hatemi-J, A. (2008). Tests for cointegration with two unknown regime shifts with an application to financial market ıntegration, Empirical Economics, 35 (3), 497-505.
  • Imarhiagbe, S. (2010). Impact of oil price on stock markets: Empirical evidence from selected major oil producing and consuming countries, Global Journal of Finance and Banking Issues, 4, 15-31.
  • Johansen, S., Mosconi, R. Ve Nielsen, B. (2000). Cointegration analysis in the presence of structural breaks in the deterministic trend, Econometrics Journal 3, 216-249.
  • Kapusuzoglu, A. (2011). Relationships between oil price and stock market: an empirical analysis from Istanbul Stock Exchange (ISE), International Journal of Economics and Finance, 3(6), 99-106.
  • Kwiatkowski, D., Phillips, P. C. B., Schmidt, P. ve Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root, Journal of Econometrics, 54, 159-178.
  • Lanne, M., Lütkepohl, H. ve Saikkonen, P. (2003). Test procedures for unit roots in time series with level shifts at unknown time, Oxford Bulletin of Economics and Statistics, 65(1), 91-115.
  • Lardic, S. ve Mignon, V. (2008). Oil prices and economic activity: An asymmetric cointegration approach, Energy Economics, 30(3), 847-856.
  • Lee, B.J., Yang, C.H. ve Huang, B.H. (2012). Oil price movements and stock market revisited: A case of sector stock price indexes in the G7 countries, Energy Economics, 34, 1284-1300.
  • Lee, C. C., ve Zeng, J. H. (2011). The impact of oil price shocks on stock market activities: Asymmetric effect with quantile regression, Mathematics and Computers in Simulation, 81(9), 1910–1920. http://doi.org/10.1016/j.matcom.2011.03.004
  • Lee, J. ve Strazicich, M.C. (2003). Minimum lagrange multiplier unit root test with two structural breaks, The Review of Economics and Statistics, vol. 85, no.4, pp.1082-1089.
  • Lee, J. ve Strazicich, M.C. (2013). Minimum LM unit root test with one structural break, Economics Bulletin, 33(4), 2483-2492.
  • Lumsdaine, R.L. ve Papell, D.H. (1997). Multiple trend breaks and the unit root hypothesis, The Review of Economics and Statistics, 79(2), 212- 218.
  • Maddala, G.S. ve Kim, I. (2004). Unit roots cointegratıon and structural change, Cambridge University Press, 6. Bsm, Birleşik Krallık.
  • Maghyereh, A. ve Al-Kandari, A. (2007). Oil prices and stock markets in GCC countries: New evidence from nonlinear cointegration analysis, Managerial Finance, 33(7), 449-460.
  • Nelson, C.R. ve Plosser, C.I. (1982). Trends and random walks in macroeconomic time series, Journal of Monetary Economics, 10, 139-162.
  • Ohara, H.I. (1999). A unit root test with multiple trend breaks: A theory and application to US and Japanese macroeconomic time series, The Japanese Economic Review, 50, 266-290.
  • Park, J. ve Ratti, R. A. (2008). Oil price shocks and stock markets in the U.S. and 13 European countries, Energy Economics, 30, 2587-2608. http://dx.doi.org/10.1016/j.eneco.2008.04.003
  • Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis, Econometrica, 57(6), 1361-1401.
  • Perron, P. (1994). Trend, unit root hypothesis and structural change in macroeconomic time series, Roa, B.Bhasakara (Ed.), Cointegration for Applied Economists, St. Martin’s Press.
  • Sadorsky, P. (1999). Oil price shocks and stock market activity, Energy Economics, 21, 449-469. http://dx.doi.org/10.1016/S0140-9883(99)00020-1
  • Said, S.E. ve Dickey, D.A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order, Biometrika, 71, 599-608.
  • Saikkonen, P. ve Lütkepohl, H. (2002). Testing for a unit root in a time series with a level shift at unknown time, Econometric Theory, 18 (2), 313-348.
  • Shin, Y. (1994). A residual-based test of the null of cointegration against the alternative of no cointegration, Econometrics Theory, 10(1), 91–115
  • Şener, S, Yılancı, V. ve Tıraşoğlu, M. (2013). Petrol fiyatları ile Borsa İstanbul’un kapanış fiyatları arasındaki saklı ilişkinin analizi, Sosyal ve Ekonomik Araştırmalar Dergisi, 13 (26), 231-248.
  • Thomson, D.J. (1994). Jackknifing multiple-window spectra, Proceedings of the IEEE International Conference on Acoustics, Speech and Signal Processing, 6, 73-76.
  • Tsong, C.C., Lee, C.F., Tsai, L.J., Hu, T.C. (2016). The Fourier approximation and testing for the null of cointegration, Empirical Economics, 51(3), 1085-1113.
  • Yardımcıoğlu, F. ve Gülmez, A., (2013). OPEC ülkelerinde Hollanda hastalığı: Petrol fiyatları ve ekonomik büyüme ilişkisinin ekonometrik bir analizi, Sosyoekonomi, 117-140.
  • Zivot, E. ve Andrews, D. (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.
  • Zortuk, M. ve Bayrak, S. (2016). Ham petrol fiyat şokları - hisse senedi piyasası ilişkisi: ADL eşik değerli koentegrasyon testi, Eskişehir Osmangazi İİBF Dergisi, 11(1), 7-22.
  • http://www.opec.org/opec_web/en/about_us/24.htm, E. Tarihi: 12. 8. 2017
  • http://www.niatr.org/tr/turkiye-yapmasin-da-kim-yapsin/ E. Tarihi: 15. 8. 2017
Toplam 48 adet kaynakça vardır.

Ayrıntılar

Bölüm Makaleler
Yazarlar

Veli Yılancı

Yayımlanma Tarihi 30 Kasım 2017
Yayımlandığı Sayı Yıl 2017 Sayı: 27

Kaynak Göster

APA Yılancı, V. (2017). Analysing the relationship between oil prices and economic growth: A fourier approach. Istanbul University Econometrics and Statistics E-Journal(27), 51-67.
AMA Yılancı V. Analysing the relationship between oil prices and economic growth: A fourier approach. Istanbul University Econometrics and Statistics e-Journal. Kasım 2017;(27):51-67.
Chicago Yılancı, Veli. “Analysing the Relationship Between Oil Prices and Economic Growth: A Fourier Approach”. Istanbul University Econometrics and Statistics E-Journal, sy. 27 (Kasım 2017): 51-67.
EndNote Yılancı V (01 Kasım 2017) Analysing the relationship between oil prices and economic growth: A fourier approach. Istanbul University Econometrics and Statistics e-Journal 27 51–67.
IEEE V. Yılancı, “Analysing the relationship between oil prices and economic growth: A fourier approach”, Istanbul University Econometrics and Statistics e-Journal, sy. 27, ss. 51–67, Kasım 2017.
ISNAD Yılancı, Veli. “Analysing the Relationship Between Oil Prices and Economic Growth: A Fourier Approach”. Istanbul University Econometrics and Statistics e-Journal 27 (Kasım 2017), 51-67.
JAMA Yılancı V. Analysing the relationship between oil prices and economic growth: A fourier approach. Istanbul University Econometrics and Statistics e-Journal. 2017;:51–67.
MLA Yılancı, Veli. “Analysing the Relationship Between Oil Prices and Economic Growth: A Fourier Approach”. Istanbul University Econometrics and Statistics E-Journal, sy. 27, 2017, ss. 51-67.
Vancouver Yılancı V. Analysing the relationship between oil prices and economic growth: A fourier approach. Istanbul University Econometrics and Statistics e-Journal. 2017(27):51-67.