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Determining the asymmetric effects of oil price changes on macroeconomic variables: a case study of Turkey

Author

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  • Yeliz Yalcin

  • Cengiz Arikan

  • Furkan Emirmahmutoglu

Abstract

This paper aims to investigate the effects of unanticipated oil price changes on the Turkish economy using quarterly gross domestic product (GDP) and monthly consumer price index (CPI) and real exchange rate (RER) for the period 2002–2013 . While the bulk of previous studies have employed the standard methodology without true data generating process knowledge, in this study asymmetric Vector Autoregressive methodology proposed by Kilian and Vigfusson (Quant Econ 2(3): 419–453, 2011 ) is used to analyze the asymmetric impact of oil prices on macroeconomic aggregates. This method allows the researcher to investigate the asymmetric effects of innovations in oil prices on variables without knowing data generating process is linear or not. Empirical findings that, the oil prices changes have asymmetric effects on CPI and RER at one standard deviation shocks in different periods unlike GDP. These asymmetric effects are also statistically significant at 10 % significance level. Specifically, when oil price increases, CPI and RER increases but GDP decreases in the long term. Copyright Springer Science+Business Media New York 2015

Suggested Citation

  • Yeliz Yalcin & Cengiz Arikan & Furkan Emirmahmutoglu, 2015. "Determining the asymmetric effects of oil price changes on macroeconomic variables: a case study of Turkey," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(4), pages 737-746, November.
    • Handle: RePEc:kap:empiri:v:42:y:2015:i:4:p:737-746
    DOI: 10.1007/s10663-014-9274-y
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    References listed on IDEAS

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    Cited by:

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    2. Ozge Kandemir Kocaaslan, 2021. "Are the responses of output and investment to oil price shocks asymmetric?: The case of an oil-importing small open economy," Empirical Economics, Springer, vol. 61(5), pages 2501-2516, November.
    3. La Ode Saidi & Hasan Aedy & Fajar Saranani & Rosnawintang Rosnawintang & Pasrun Adam & La Ode Arsad Sani, 2020. "Crude Oil Price and Exchange Rate: An Analysis of the Asymmetric Effect and Volatility Using the Non Linear Autoregressive Distributed Lag and General Autoregressive Conditional Heterochedasticity in Mean Models," International Journal of Energy Economics and Policy, Econjournals, vol. 10(1), pages 104-108.
    4. Uğur Akkoç & Anıl Akçağlayan & Gamze Kargın Akkoç, 2021. "The impacts of oil price shocks in Turkey: sectoral evidence from the FAVAR approach," Economic Change and Restructuring, Springer, vol. 54(4), pages 1147-1171, November.
    5. Adam, P. & Rianse, U. & Harafah, Ĺ. M. & Cahyono, E. & Rafiy, M., . "A Model of the Dynamics of the Effect of World Crude Oil Price and World Rice Price on Indonesia’s Inflation Rate," AGRIS on-line Papers in Economics and Informatics, Czech University of Life Sciences Prague, Faculty of Economics and Management, vol. 8(01), pages 1-10.
    6. Deheri, Abdhut & Ramachandran, M., 2023. "Does Indian economy asymmetrically respond to oil price shocks?," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).

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    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access

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