Öz
The variations in the price of oil can have influential effects on the macroeconomic performance of countries, as oil is a fundamental source in the production of many goods. This paper explores the influence of oil price shocks on macroeconomic indicators in Türkiye employing Structural Vector Autoregression (SVAR) model with a long-run relationship using data from 2009.Q1 to 2022.Q4. The findings from the investigation of the long-run association indicate that there is a non-significant negative association among the price of oil and GDP, employment and inflation. Furthermore, we find that as the period extends, the forecast error shock of oil explains less and less of itself, while other variables begin to explain more of the variation of oil price. Lastly, the results from the impulse decomposition validate that of the variance composition as a positive one standard deviation shock in inflation rate, GDP, and employment rate widens oil price.
Anahtar Kelimeler
Kaynakça
- ABUBAKAR, A. B., MUHAMMED, M. and MENSAH, S. (2023). Response of Fiscal Efforts to Oil Price Dynamics. Resources Policy, 81, 103353.
- BAEK, J. and YOON, J. H. (2022). Do Macroeconomic Activities Respond Differently to Oil Price Shocks? New Evidence from Indonesia. Economic Analysis and Policy, 76, 852-862.
- BERGHOLT, D., LARSEN, V. H. and SENECA, M. (2019). Business Cycles in an Oil Economy. Journal of International Money and Finance, 96, 283-303.
- BERNANKE, B. S., GERTLER, M., WATSON, M., SIMS, C. A. and FRIEDMAN, B. M. (1997). Systematic Monetary Policy and the Effects of Oil Price Shocks. Brookings Papers on Economic Activity, 1997(1), 91-157.
- BLANCHARD, O. J., and GALI, J. (2007). The Macroeconomic Effects of Oil Price Shocks: Why are the 2000s so Different from the 1970s? MIT Department of Economics Working Paper, no. 07-21.
- EAGLE, B. (2017). Oil Price Volatility and Macroeconomy: Tales from Top Two Oil Producing Economies in Africa. Journal of Economic & Financial Studies, 5(04), 45-55.
- DOGRUL, H. G., and SOYTAS, U. (2010). Relationship Between Oil Prices, Interest Rate and Unemployment: Evidence from an Emerging Market. Energy Economics, 32(6), 1523-1528.
- HAMILTON, J. D. (1994). Time Series Analysis. Princeton University Press.
- HAMILTON, J. D. (2009). Causes and Consequences of the Oil Shock of 2007-08. National Bureau of Economic Research.
- IWAYEMI, A. and FOWOWE, B. (2011). Impact of Oil Price Shocks on Selected Macroeconomic Variables in Nigeria. Energy policy, 39(2), 603-612.
- JIMENEZ-RODRIGUEZ, R. and SANCHEZ, M. (2005). Oil Price Shocks and Real GDP Growth: Empirical Evidence for Some OECD Countries. Applied economics, 37(2), 201-228.
- JOHANSEN, S. (1995). A Stastistical Analysis of Cointegration for I (2) Variables. Econometric theory, 11(1), 25-59.
- KOSE, N. and UNAL, E. (2021). The Effects of the Oil Price and Oil Price Volatility on Inflation in Turkey. Energy, 226, 120392.
- LORUSSO, M. and PIERONI, L. (2018). Causes and Consequences of Oil Price Shocks on the UK Economy. Economic Modelling, 72, 223-236.
- KOSAROGLU, S. M., SENGONUL, A. ve KARADAS, H. A. (2018). Petrol Fiyatlarının İhracat Üzerindeki Etkisi. Yönetim ve Ekonomi Dergisi, 25(2), 335-349.
- KOSE, M. A., OTROK, C. and WHITEMAN, C. H. (2003). International Business Cycles: World, Region, and Country-Specific Factors. American Economic Review, 93(4), 1216-1239.
- KRICHENE, N. (2006). World Crude Oil Markets: Monetary Policy and the Recent Oil Shock. IMF Working Papers, 062.
- YURTKUR, A. K., TULUCE, N. S. H and BAHTIYAR, B. (2016). The Relationship Between Energy Prices and Macroeconomic Variables: Evidence from Oil-Importer Turkey and Oil-Exporter Russia. Uluslararası Yönetim İktisat ve İşletme Dergisi, 12(27), 137-154.
- YANG, C. W., HWANG, M. J. and HUANG, B. N. (2002). An Analysis of Factors Affecting Price Volatility of the US Oil Market. Energy economics, 24(2), 107-119.
Öz
Petrol, birçok malın üretiminde temel kaynak olarak kullanılmaktadır ve uluslararası piyasalardaki petrol fiyatlarındaki dalgalanmalar, ülkelerin makroekonomik performansı üzerinde etkili olabilmektedir. Bu çalışma, petrol fiyatı şoklarının Türkiye’deki makroekonomik değişkenler üzerindeki etkisini incelemektedir. Çalışmada, 2009.Q1’den 2022.Q4’e kadar olan üç aylık veriler kullanılarak uzun dönem ilişkileri içeren Yapısal Vektör Otoregresyon (SVAR) modeli uygulanmıştır. Uzun dönem ilişkilerden elde edilen sonuçlara göre, petrolün GSYİH, istihdam ve enflasyon arasında negatif bir ilişkiye sahip olduğunu göstermektedir. Ancak, bu ilişki istatistiksel olarak anlamlı değildir. Ayrıca, dönem uzadıkça, petrolün tahmin hatası şokunun kendisini giderek daha az açıklamaya başladığını, diğer değişkenlerin ise petrol fiyatındaki değişimi daha fazla açıklamaya başladığı sonucuna ulaşılmıştır. Son olarak, etki-tepki analizine göre, enflasyon oranındaki, GSYİH büyüme hızındaki ve istihdam oranındaki pozitif bir standart sapma şoku petrol fiyatlarının artmasına neden olmaktadır.
Anahtar Kelimeler
Kaynakça
- ABUBAKAR, A. B., MUHAMMED, M. and MENSAH, S. (2023). Response of Fiscal Efforts to Oil Price Dynamics. Resources Policy, 81, 103353.
- BAEK, J. and YOON, J. H. (2022). Do Macroeconomic Activities Respond Differently to Oil Price Shocks? New Evidence from Indonesia. Economic Analysis and Policy, 76, 852-862.
- BERGHOLT, D., LARSEN, V. H. and SENECA, M. (2019). Business Cycles in an Oil Economy. Journal of International Money and Finance, 96, 283-303.
- BERNANKE, B. S., GERTLER, M., WATSON, M., SIMS, C. A. and FRIEDMAN, B. M. (1997). Systematic Monetary Policy and the Effects of Oil Price Shocks. Brookings Papers on Economic Activity, 1997(1), 91-157.
- BLANCHARD, O. J., and GALI, J. (2007). The Macroeconomic Effects of Oil Price Shocks: Why are the 2000s so Different from the 1970s? MIT Department of Economics Working Paper, no. 07-21.
- EAGLE, B. (2017). Oil Price Volatility and Macroeconomy: Tales from Top Two Oil Producing Economies in Africa. Journal of Economic & Financial Studies, 5(04), 45-55.
- DOGRUL, H. G., and SOYTAS, U. (2010). Relationship Between Oil Prices, Interest Rate and Unemployment: Evidence from an Emerging Market. Energy Economics, 32(6), 1523-1528.
- HAMILTON, J. D. (1994). Time Series Analysis. Princeton University Press.
- HAMILTON, J. D. (2009). Causes and Consequences of the Oil Shock of 2007-08. National Bureau of Economic Research.
- IWAYEMI, A. and FOWOWE, B. (2011). Impact of Oil Price Shocks on Selected Macroeconomic Variables in Nigeria. Energy policy, 39(2), 603-612.
- JIMENEZ-RODRIGUEZ, R. and SANCHEZ, M. (2005). Oil Price Shocks and Real GDP Growth: Empirical Evidence for Some OECD Countries. Applied economics, 37(2), 201-228.
- JOHANSEN, S. (1995). A Stastistical Analysis of Cointegration for I (2) Variables. Econometric theory, 11(1), 25-59.
- KOSE, N. and UNAL, E. (2021). The Effects of the Oil Price and Oil Price Volatility on Inflation in Turkey. Energy, 226, 120392.
- LORUSSO, M. and PIERONI, L. (2018). Causes and Consequences of Oil Price Shocks on the UK Economy. Economic Modelling, 72, 223-236.
- KOSAROGLU, S. M., SENGONUL, A. ve KARADAS, H. A. (2018). Petrol Fiyatlarının İhracat Üzerindeki Etkisi. Yönetim ve Ekonomi Dergisi, 25(2), 335-349.
- KOSE, M. A., OTROK, C. and WHITEMAN, C. H. (2003). International Business Cycles: World, Region, and Country-Specific Factors. American Economic Review, 93(4), 1216-1239.
- KRICHENE, N. (2006). World Crude Oil Markets: Monetary Policy and the Recent Oil Shock. IMF Working Papers, 062.
- YURTKUR, A. K., TULUCE, N. S. H and BAHTIYAR, B. (2016). The Relationship Between Energy Prices and Macroeconomic Variables: Evidence from Oil-Importer Turkey and Oil-Exporter Russia. Uluslararası Yönetim İktisat ve İşletme Dergisi, 12(27), 137-154.
- YANG, C. W., HWANG, M. J. and HUANG, B. N. (2002). An Analysis of Factors Affecting Price Volatility of the US Oil Market. Energy economics, 24(2), 107-119.
Ayrıntılar
| Birincil Dil | İngilizce |
|---|---|
| Konular | Ekonomi |
| Bölüm | Araştırma Makaleleri |
| Yazarlar | |
| Erken Görünüm Tarihi | 30 Eylül 2023 |
| Yayımlanma Tarihi | 9 Ekim 2023 |
| Gönderilme Tarihi | 1 Haziran 2023 |
| Kabul Tarihi | 2 Ağustos 2023 |
| Yayımlandığı Sayı | Yıl 2023 Cilt: 8 Sayı: 3 |
