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Asymmetric Approach to the Relation Between Oil Prices and Exchange Rate: The Case of Turkey

Author

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  • YAMAN SONGUR, Demet

    (Dicle University)

Abstract

Oil prices are used in international markets both as one of the key prices and as an indicator price for other energy sources other than oil. Especially in developing oil exporter countries such as Turkey, the relationship of this important input to the exchange rate has been an interesting research topic every period. In this study the relationship between oil prices and nominal exchange rate in Turkey is examined using a daily data set (total 5161 observations) using symmetric and asymmetric causality tests for the January 2, 2002 to October 12, 2021 period. The findings from the analyses indicate the existence of a mutual causality relationship between variables in symmetric analysis. In asymmetric analysis, it points out that there is a causality between oil prices and the exchange rate in both positive and negative components. On the other hand, causality from the exchange rate to oil prices in positive components is only statistically significant at the 10% significance level, while in negative components there is a causality relationship at the 5% significance level statistically from the exchange rate to oil prices.

Suggested Citation

  • YAMAN SONGUR, Demet, 2021. "Asymmetric Approach to the Relation Between Oil Prices and Exchange Rate: The Case of Turkey," Bulletin of Economic Theory and Analysis, BETA Journals, vol. 6(2), pages 155-170, December.
    • Handle: RePEc:ris:betajl:0067
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    Keywords

    Oil Prices; Nominal Exchange Rate; Causality Analysis;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

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