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

Yıl 2022, , 417 - 440, 29.06.2022

Semih Karacan

https://doi.org/10.36543/kauiibfd.2022.018

Cited By: 2

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)

Kaynakça

• Adıgüzel, U., Kayhan, S., & Bayat, T. (2016). Petrol fiyatları ve döviz kuru arasındaki ilişkinin ampirik analizi: asimetrik nedensellik analizi. Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi, 17(2), 241-252. Akram, Q. F. (2004). Oil prices and exchange rates: Norwegian evidence. The Econometrics Journal, 7(2), 476-504.
• Amano, R. A., & Van Norden, S. (1998). Oil prices and the rise and fall of the US real exchange rate. Journal of international M-*- oney and finance, 17(2), 299-316.
• Baek, J. (2021). The role of crude oil prices in the movement of the Indonesian rupiah: a quantile ARDL approach. Economic Change and Restructuring, 54(4), 975-994.
• Baek, J., & Kim, H. Y. (2020). On the relation between crude oil prices and exchange rates in sub-saharan African countries: A nonlinear ARDL approach. The Journal of International Trade & Economic Development, 29(1), 119-130.
• Basnet, H. C., & Upadhyaya, K. P. (2015). Impact of oil price shocks on output, inflation and the real exchange rate: evidence from selected ASEAN countries. Applied Economics, 47(29), 3078-3091.
• Bénassy-Quéré, A., Mignon, V., & Penot, A. (2007). China and the relationship between the oil price and the dollar. Energy policy, 35(11), 5795-5805.
• Benhmad, F. (2012). Modeling nonlinear Granger causality between the oil price and US dollar: A wavelet based approach. Economic modelling, 29(4), 1505-1514.
• Camarero, M., & Tamarit, C. (2002). Oil prices and Spanish competitiveness: A cointegrated panel analysis. Journal of Policy Modeling, 24(6), 591-605.
• Chaudhuri, K., & Daniel, B. C. (1998). Long-run equilibrium real exchange rates and oil prices. Economics letters, 58(2), 231-238.
• Chen, S. S., & Chen, H. C. (2007). Oil prices and real exchange rates. Energy economics, 29(3), 390-404.
• Cho, J. S., Kim, T. H., & Shin, Y. (2015). Quantile cointegration in the autoregressive distributed-lag modeling framework. Journal of econometrics, 188(1), 281-300.
• Huang, Y., & Feng, G. U. O. (2007). The role of oil price shocks on China's real exchange rate. China Economic Review, 18(4), 403-416.
• Iwayemi, A., & Fowowe, B. (2011). Impact of oil price shocks on selected macroeconomic variables in Nigeria. Energy policy, 39(2), 603-612.
• Jahangard, E., Daneshmand, A., & Tekieh, M. (2017). Oil prices and the real exchange rate in Iran: an ARDL bounds testing approach. Applied Economics Letters, 24(15), 1051-1056.
• Kisswani, K. M. (2016). Does oil price variability affect ASEAN exchange rates? Evidence from panel cointegration test. Applied Economics, 48(20), 1831-1839.
• Koenker, R., & Xiao, Z. (2004). Unit root quantile autoregression inference. Journal of the American Statistical Association, 99(467), 775-787.
• McLeod, R. C., & Haughton, A. Y. (2018). The value of the US dollar and its impact on oil prices: Evidence from a non-linear asymmetric cointegration approach. Energy Economics, 70, 61-69.
• Mohammadi, H., & Jahan-Parvar, M. R. (2012). Oil prices and exchange rates in oil-exporting countries: evidence from TAR and M-TAR models. Journal of Economics and Finance, 36(3), 766-779.
• Narayan, P. K., Narayan, S., & Prasad, A. (2008). Understanding the oil price-exchange rate nexus for the Fiji islands. Energy Economics, 30(5), 2686-2696.
• Nikbakht, L. (2010). Oil prices and exchange rates: the case of OPEC. Business Intelligence Journal, 3(1), 83-92.
• 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.
• Sultonov, M. (2017). The impacts of the oil price fall on the exchange rates of ASEAN-5: Evidence from the 2014 oil price shock. Economics Bulletin, 37(1), 468-479.
• Turhan, I., Hacihasanoglu, E., & Soytas, U. (2013). Oil prices and emerging market exchange rates. Emerging Markets Finance and Trade, 49(sup1), 21-36.
• Tiwari, A. K., Dar, A. B., & Bhanja, N. (2013). Oil price and exchange rates: A wavelet based analysis for India. Economic Modelling, 31, 414-422.
• Wang, Y., & Wu, C. (2012). Energy prices and exchange rates of the US dollar: Further evidence from linear and nonlinear causality analysis. Economic Modelling, 29(6), 2289-2297.
• Vural, B. M. T. (2019). Determinants of Turkish real effective exchange rates. The Quarterly Review of Economics and Finance, 73, 151-158.
• Yang, L., Cai, X. J., & Hamori, S. (2018). What determines the long-term correlation between oil prices and exchange rates?. The North American Journal of Economics and Finance, 44, 140-152.
• Zhang, Y. J., Fan, Y., Tsai, H. T., & Wei, Y. M. (2008). Spillover effect of US dollar exchange rate on oil prices. Journal of Policy modeling, 30(6), 973-991.