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Turkiye Petrol Fiyatlari Oynakliginin Modellenmesi

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  • Esin FIRUZAN

    () (Dokuz Eylul University)

Abstract

Nowadays, volatility of crude oil price is one of the important developments which are followed by experts with care. Recently increasing of crude oil price is very important for Turkey which 40% of energy consumption consists of oil and 90% of this amount is imported. The aim of the study is investigate whether the series of crude oil price shows volatility, if it shows the structure, size and continuity of volatility. Besides, for these economical variables, best intervention model which shows the structure of volatility is estimated. During the period between January 1981- December 2007, unit root tests are shown that the level and volatility of time series is not stationary. It is thought that the series can be nonstationary due to the presence of interventions and so the intervention analysis is applied. Based on the results of intervention analysis, it is obtained that one intervention variable is statistical significant. During these analyses, SAS/ETS, MINITAB 14 and Eviews 5.1 are used in some steps. It is tried to generate the econometric model with lagged crude oil price with intervention variable.

Suggested Citation

  • Esin FIRUZAN, 2010. "Turkiye Petrol Fiyatlari Oynakliginin Modellenmesi," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 12(1), pages 1-17, November.
  • Handle: RePEc:ist:ancoec:v:12:y:2010:i:1:p:1-17
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    File URL: http://eidergisi.istanbul.edu.tr/sayi12/iueis12m1.pdf
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    More about this item

    Keywords

    Crude Oil; Intervention; Econometrics; Time Series; Volatility; OPEC; Multiple Regression;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General

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