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Determining the Functional Form of Relationships between Oil Prices and Macroeconomic Variables: The Case of Mexico, Indonesia, South Korea, Turkey Countries

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  • Ebru Caglayan Akay

    (Department of Econometrics, Faculty of Economics, Marmara University, Goztepe Campus, Kad koy, stanbul, Turkey,)

  • Sinem Guler Kangalli Uyar

    (Department of Econometrics, Faculty of Economics and Administrative Sciences, Pamukkale University, K n kl Campus, Denizli, Turkey.)

Abstract

The aim of this study is to investigate that how economic conditions change when crude oil shocks occured in 1980-2013 for Mexico, Indonesia, South Korea, Turkey (MIST) countries. Another objective of the study is to determine accurately the functional forms of the relationships between oil prices and macroeconomic variables. For this aim, the relationships between crude oil price and macroeconomic variables were estimated by using additive model being a non-parametric model. In order to make comparisons, estimation results of the ordinary least squares model being parametric were also given. The F-test statistics showed that relationships between crude oil price and macroeconomic variables were explained by non-parametric models better than parametric models. Teraesvirta et al. Neural Network test (1993) shows also that oil price shocks can cause to be symmetric effects on macroeconomic variables while asymmetric effects on some macroeconomic variables.

Suggested Citation

  • Ebru Caglayan Akay & Sinem Guler Kangalli Uyar, 2016. "Determining the Functional Form of Relationships between Oil Prices and Macroeconomic Variables: The Case of Mexico, Indonesia, South Korea, Turkey Countries," International Journal of Economics and Financial Issues, Econjournals, vol. 6(3), pages 880-891.
    • Handle: RePEc:eco:journ1:2016-03-8
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    3. Togonidze, Sophio & Kočenda, Evžen, 2022. "Macroeconomic responses of emerging market economies to oil price shocks: An analysis by region and resource profile," Economic Systems, Elsevier, vol. 46(3).
    4. Guliyev, Hasraddin & Mustafayev, Eldayag, 2022. "Predicting the changes in the WTI crude oil price dynamics using machine learning models," Resources Policy, Elsevier, vol. 77(C).

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    More about this item

    Keywords

    Crude Oil Price; Macroeconomic Variables; Partial Response Functions;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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