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Dynamic Relationships between Oil Price, Inflation and Economic Growth: A VARMA, GARCH-in-mean, asymmetric BEKK Model for Turkey

Author

Listed:
  • Gürkan Bozma

    (IÄŸdir University)

  • Murat Akadg

    (IÄŸdir University)

  • Rahman Aydin

    (Ataturk University)

Abstract

In this research, we examine the relationships among economic growth, inflation, and oil prices using monthly data from the period 1990 to 2017 for Turkey. To reveal the relations we use multivariate VARMA, GARCH-in-Mean, asymmetric BEKK model. We present evidence that oil price uncertainty increases economic growth uncertainty and inflation uncertainty. Moreover, decreased average economic growth is involved with high inflation and oil price uncertainty. We also find that economic growth uncertainty is influenced by mostly inflation uncertainty instead of its own. In addition, we show that the Holland hypothesis is valid for Turkey.

Suggested Citation

  • Gürkan Bozma & Murat Akadg & Rahman Aydin, 2021. "Dynamic Relationships between Oil Price, Inflation and Economic Growth: A VARMA, GARCH-in-mean, asymmetric BEKK Model for Turkey," Economics Bulletin, AccessEcon, vol. 41(3), pages 1266-1281.
    • Handle: RePEc:ebl:ecbull:eb-21-00827
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    More about this item

    Keywords

    Oil Price Uncertainty; Inflation; Output; VARMA; GARCH-BEKK;
    All these keywords.

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics

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