THE ANALYSIS OF THE TRADE BALANCE OF TURKEY IN RESPONSE TO OIL PRICE CHANGES

Yıl 2022, , 1 - 21, 30.09.2022

Özlem Taşseven , Selin Kozan Poturoğlu

https://doi.org/10.46959/jeess.1077246

Öz

This study empirically examines the effects of oil prices on the trade balance of Turkey, which depends heavily on oil imports. Unlike the other studies on this subject, in this study, the relationship between oil prices and trade balance is investigated by regime-dependent impulse response functions and forecast error decompositions based on multivariate Threshold VAR (TVAR) model comparing with linear VAR model. The findings suggest that, the relationship between oil prices and trade balances is non-linear. In the regime of higher oil price volatility, components of trade balance respond stronger to oil price shocks than lower regime and linear VAR model. Oil price increases in the high regime deteriorates the total trade balance, non-oil and non-gas trade balance and intermediate trade balance; on the other hand, consumption trade balance of Turkey is positively affected from oil price increases. Additionally, consumption goods trade balance found to be the mostly affected by oil price shocks according to the impulse-response functions and variance decomposition analysis. Finally, the findings obtained from linear VAR and lowest regime are generally similar and has less effect on the trade balance components.

Anahtar Kelimeler

Oil Prices, VAR Models, Threshold Models, Trade Balance, Turkey

Kaynakça

• Altıntaş, H. (2013) "Türkiye’de Petrol Fiyatları, İhracat ve Reel Döviz Kuru İlişkisi: ARDL Sınır Testi Yaklaşımı ve Dinamik Nedensellik Analizi", Uluslararası Yönetim İktisat ve İşletme Dergisi, 9(19), 1-30.
• Altissimo, F. and Violante, G. L. (2001) "The Non-Linear Dynamics of Output and Unemployment in the U.S.", Journal of Applied Econometrics, 16(4), 461-486.
• Atanasova, C. (2003) "Credit Market Imperfections and Business Cycle Dynamics: A Nonlinear Approach", Studies in Nonlinear Dynamics and Econometrics, 7(4), 1558-3708.
• Backus, D. K. and Crucini, M. J. (2000) "Oil prices and the terms of trade", Journal of International Economics, 50, 185–213.
• Bahmani-Oskooee, M. (1991) "Is there a long-run relation between the trade balance and the real effective exchange rate of LDCs?", Economics Letters, 36(4), 403-407.
• Balke, N. S. (2000) "Credit and Economic Activity: Credit Regimes and Nonlinear Propagation of Shocks", The Review of Economics and Statistics, 82(2), 344-349.
• Bodenstein, M., Erceg, C. J. and Guerrieri, L. (2011) "Oil shocks and external adjustment", Journal of International Economics, 83(2), 168-184.
• Bruno, M., and Sachs, J. (1982) "Input Price Shocks and the Slowdown in Economic Growth: The Case of U.K.Manufacturing", Review of Economic Studies, 51(159), 679-706.
• Burbidge, J., and Harrison, A. (1984) "Testing for the Effects of Oil-Price Rises using Vector Autoregressions", International Economic Review, 25(2), 459-484.
• Çatık, A. N., and Önder, A. Ö. (2013) "An asymmetric analysis of the relationship between oil prices and output: The case of Turkey", Economic Modelling, 33, 884-892.
• Darby, M. R. (1981) "The Real Price of Oil and the 1970s World Inflation", NBER Working Paper(629), 825—3343.
• Doroodian, K., and Boyd, R. (2003) "The linkage between oil price shocks and economic growth with inflation in the presence of technological advances: a CGE model", Energy Policy, 31(10), 989-1006.
• Faria, J. R., Mollick, A. V., and Albuquerque, P. H. (2009) "The effect of oil price on China’s exports", China Economic Review, 20(4), 793–805.
• Fazzari, S. M., Morley, J., and Panovska, I. (2014) "State-dependent effects of fiscal policy", Studies in Nonlinear Dynamics and Econometrics, 19(3), 285-315.
• Ferraresi , T., Roventini, A., and Fagiolo, G. (2014) "Fiscal Policies and Credit Regimes: A TVAR Approach", Journal of Applied Econometrics, 30(7), 1047-1072.
• Gavin, M. (1990) "Structural adjustment to a terms of trade disturbance: The role of relative prices", Journal of International Economics, 28(3-4), 217-243.
• Gavin, M. (1991) "Income effects of adjustment to a terms of trade disturbance and the demand for adjustment finance", Journal of Development Economics, 37(1-2), 127-153.
• Gisser, M., and Goodwin, T. H. (1986) "Crude Oil and the Macroeconomy: Tests of Some Popular Notions: Note", Journal of Money, Credit and Banking, 18(1), 95-103.
• Griffin, J. M., Nardari, F., and Stulz, R. M. (2007) "Do Investors Trade More When Stocks Have Performed Well? Evidence from 46 Countries", The Review of Financial Studies, 20(3), 905-951.
• Grynkiv, G., and Stentoft, L. (2018) "Stationary Threshold Vector Autoregressive Models", Risk and Financial Management, 11(45) doi:doi:10.3390/jrfm11030045
• Hamilton, J. D. (1983) "Oil and the Macroeconomy since World War II", The Journal of Political Economy, 91(2), 228-248.
• Hamilton, J. D. (1988) "A Neoclassical Model of Unemployment and the Business Cycle", Journal of Political Economy, 96(3), 593-617.
• Hamilton, J. D. (1996) "This is what happened to the oil price-macroeconomy relationship", Journal of Monetary Economic, 38(2), 215-220.
• Hooker, M. (2002) "Are Oil Shocks Inflationary? Asymmetric and Nonlinear Specifications versus Changes in Regime", Journal of Money, Credit and Banking, 34(2), 540-561.
• Hooker, M. A. (1996) "What happened to the oil price-macroeconomy relationship?", Journal of Monetary Economics, 38(2), 195-213.
• Huang, B.-N., Hwang, M. J., and 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.
• Jibril, H. M. (2016) "Oil Prices and the Trade Balance of Sub-Saharan African Countries: The Roles of Oil Price Volatility, Real Exchange Rates, and Financial Integration", University of Leeds.
• Jobling, A., and Jamasb, T. (2017) "Price volatility and demand for oil: A comparative analysis of developed and developing countries", Economic Analysis and Policy, 53, 96 - 113.
• Kilian, L., and Vigfusson, R. J. (2011) "Nonlinearities in the oil price–output relationship", Macroeconomic Dynamics, 15(S3), 337 - 363.
• Kilian, L., Rebucci, A., and Spatafora, N. (2009) "Oil shocks and external balances", Journal of International Economics, 77, 181-194.
• Koop, G., and Potter, S. M. (1999) "Dynamic Asymmetries in U.S. Unemployment", Journal of Business and Economic Statistics, 17(3), 298-312.
• Le, T.-H., and Chang, Y. (2013) "Oil price shocks and trade imbalances", Energy Economics, 36, 78–96.
• Lee , J., and Strazicich, M. C. (2003) "Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks", The Review of Economics and Statistics, 85(4), 1082-1089.
• Lee, K., Ni., S., and Ratti, R. (1995) "Oil shocks and the macroeconomy: The role of price variability", Energy Journal, 39.
• Li, J. S.-H., Ng, A. C., and Chan, W.-S. (2015) "Managing financial risk in Chinese stock markets: Option pricing and modeling under a multivariate threshold autoregression", International Review of Economics and Finance, 40, 217–230. Mork, K. A. (1989) "Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's", Journal of Political Economy, 97(3), 740-744.
• Mork, K., and Olsen, O. (1994) "Macroeconomic responses to oil price increases and decreases in seven OECD countries", Energy Journal, 4, 19.
• Narayan, P. K., and Sharma, S. S. (2011) "New evidence on oil price and firm returns", Journal of Banking and Finance, 35, 3253–3262.
• Ostry, J. D., and Reinhart, C. M. (1992) "Private Saving and Terms of Trade Shocks: Evidence from Developing Countries", International Monetary Fund, Staff Papers, 39(3), 495.
• Robays, I. V. (2012) "Macroeconomic uncertainty and the impact of oil shocks", Frankfurt: European Central Bank: ECB Working Paper No. 1479.
• Schmidt, J. (2013) "Country Risk Premia, Endogenous Collateral Constraints and Non-linearities: A Threshold VAR Approach", Geneva: Graduate Institute of International and Development Studies (IHEID) .
• Shen, C.-H., and Chiang, T. C.-N. (1999) "Retrieving the vanishing liquidity effect—a threshold vector autoregressive model", Journal of Economics and Business, 51(3), 259-277.
• Tsay, R. S. (1998) "Testing and Modelling Multivariate Treshold Models", Journal of the American Statistical Association, 93(443), 1188 - 1202.
• Weise, C. L. (1999) "The Asymmetric Effects of Monetary Policy: A Nonlinear Vector Autoregression Approach", Journal of Money, Credit and Banking, 31(1), 85-108.