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Asymmetric Oil Price and Exchange Rate Pass-Through in the Turkish Oil-Gasoline Markets

Author

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  • Taner SEKMEN

    (Eskisehir Osmangazi University, Faculty of Economics and Administrative Sciences, Department of Economics, 26040, Eskisehir, Turkey)

  • Seher Gülşah TOPUZ

    ((Corresponding author) Eskisehir Osmangazi University, Faculty of Economics and Administrative Sciences, Department of Economics, 26040, Eskisehir, Turkey)

Abstract

In this study, we examine the asymmetric effects of crude oil prices and exchange rate on retail gasoline and diesel prices in Turkey during the period of 2005-2018. We use nonlinear autoregressive distributed lags (NARDL) model to explore the pass-through of crude oil prices and the exchange rate to the retail gasoline and diesel prices. Our findings suggest that the effect of crude oil prices on retail gasoline and diesel prices varies for the short and long term. We determine the asymmetric relationship between crude oil and retail prices, especially on short term. The positive and negative shocks to oil prices have an increasing and decreasing impact on retail prices, respectively, on long term. However, both positive and negative shocks to oil prices have an increasing effect on retail prices on short term. We also obtain that there is a short-term asymmetric relationship between the exchange rate and retail prices in the Brent and WTI models. These findings imply that the increase in crude oil prices is reflected to consumers more rapidly, especially on short term.

Suggested Citation

  • Taner SEKMEN & Seher Gülşah TOPUZ, 2021. "Asymmetric Oil Price and Exchange Rate Pass-Through in the Turkish Oil-Gasoline Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 74-93, June.
    • Handle: RePEc:rjr:romjef:v::y:2021:i:2:p:74-93
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    More about this item

    Keywords

    asymmetric effects; oil price; NARDL; exchange rate;
    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
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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