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Discerning Granger-causal chain between oil prices, exchange rates and inflation rates: Evidence from Turkey

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  • Citak, Yusuf Ensar
  • Masih, Mansur

Abstract

The purpose of this study is to investigate the Granger-causal relationship between oil prices, exchange rates and inflation rates using Turkey as a case study. Revealing this relationship will give us a roadmap to cure fragile Turkish economy. Standard time-series approaches are used to investigate this relation. Our empirical findings tend to indicate that there is a long run relationship between these variables and that the CPI appears to be the variable leading exchange rate and oil prices. The results are plausible and have strong policy implications.

Suggested Citation

  • Citak, Yusuf Ensar & Masih, Mansur, 2017. "Discerning Granger-causal chain between oil prices, exchange rates and inflation rates: Evidence from Turkey," MPRA Paper 79453, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:79453
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    References listed on IDEAS

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    More about this item

    Keywords

    Oil Price; Exchange Rate; CPI; PPI; Turkey; cointegration; exogeneity; endogeneity;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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