Oil Prices and Exchange Rates in Brazil, India and Turkey: Time and Frequency Domain Causality Analysis

Öz

This study investigates causal dynamics between crude oil prices and exchange rates in Brazil, India and Turkey by employing monthly data from the beginning of floating exchange regime to July 2011. The study benefits from the recent developments in the time series econometric analysis and carries out time domain causality tests linear causality, non-linear causality, volatility spillover and frequency domain causality test. Findings show that results from frequency domain causality test are slightly different from than those from time domain causality methods. The frequency domain analysis provides evidence on bi-directional causality in India and uni-directional causality from real exchange rates to real oil price in Turkey and Brazil

Anahtar Kelimeler

• Oil Prices, Exchange Rates, Frequency Domain Causality Analysis

Brezilya, Hindistan ve Türkiye’de Petrol Fiyatları ve Döviz Kuru: Zaman ve Frekans Dağılımı Nedensellik Analizleri

Öz

Bu çalışma, esnek döviz kuru rejiminin başlamasından Temmuz 2011 dönemine ait aylık verileri kullanarak Brezilya, Hindistan ve Türkiye’de ham petrol fiyatları ile döviz kurları arasındaki nedensellik dinamiklerini irdelemektedir. Bu çalışma zaman serisi ekonometrisindeki yeni gelişmelerden faydalanmakta ve zaman dağılımı nedensellik testleri lineer nedensellik, doğrusal olmayan nedensellik, oynaklık taşma ile frekans dağılımı nedensellik testi uygulamaktadır. Frekans dağılımı nedensellik testi sonuçlarının zaman dağılımı nedensellik testleri sonuçlarından farklılaştığı görülmektedir. Frekans dağılımı analizine göre, Hindistan için değişkenler arasında çift yönlü nedensellik bulunurken Türkiye ve Brezilya için reel döviz kurundan petrol fiyatlarına tek yönlü nedensellik bulunmaktadır.

Anahtar Kelimeler

• Petrol fiyatları, Döviz Kuru, Frekans Dağılımı Nedensellik Analizi

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