THE EFFECT OF CRUDE OIL PRICES ON THE REAL EFFECTIVE EXCHANGE RATE OF THE TURKISH LIRA: A QUANTILE ARDL APPROACH

Öz

In this study, the possible short- or long-term effects of crude oil prices on the real effective exchange rate of Turkish Lira is examined with the help of the Quantile Autoregressive Distributed Lag (QARDL) model, which considers that the changes in oil prices may have an asymmetrical effect on the exchange rate. For this purpose, monthly data covering the period between January 2003 and July 2021 were studied, the stationarity and distribution of the series were first examined with the help of traditional tests, and then stationarities of the series, which were found to be not normally distributed, were also tested with the quantile augmented Dicky-Fuller (QADF) method. The findings show that crude oil prices do not have an effect on the real effective exchange rate in the long run, while they do in the short run and this effect is asymmetrical.

Anahtar Kelimeler

• Turkiye
• Crude Oil Prices
• Real Effective Exchange Rate
• Quantile Autoregressive Distributed Lag (QARDL)

HAM PETROL FİYATLARININ TÜRK LİRASININ REEL EFEKTİF DÖVİZ KURU ÜZERİNDEKİ ETKİSİ: KANTİL ARDL YAKLAŞIMI

Öz

Bu çalışmada ham petrol fiyatlarının Türk lirasının reel efektif döviz kuru üzerindeki olası kısa veya uzun dönemli etkisi, petrol fiyatlarındaki değişmelerin reel efektif döviz kuru üzerinde asimetrik bir etkisi olabileceğini de göz önünde bulunduran kantil otoregresif gecikmesi dağıtılmış (QARDL) model yardımıyla incelenmektedir. Bu amaçla 2003 yılı Ocak ayı ve 2021 yılı Temmuz ayı arasını kapsayan aylık verilerle çalışılmış, serilerin durağanlıkları ve dağılımları öncelikle geleneksel testler yardımıyla incelenmiş, daha sonra normal dağılmadıkları tespit edilen serilerin durağanlıkları ayrıca kantil genişletilmiş Dicky-Fuller (QADF) yöntemiyle test edilmiştir. Elde edilen bulgular uzun dönemde petrol fiyatlarının reel efektif döviz kuru üzerinde etkili olmadığını, ancak kısa vadede etkili olduğunu ve bu etkinin asimetrik olduğunu göstermektedir.

Anahtar Kelimeler

• Türkiye
• Ham petrol fiyatları
• reel efektif döviz kuru
• kantil otoregresif gecikmesi dağıtılmış model (QARDL)

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