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Industrial Production Index - Crude Oil Price Nexus: Russia, Kazakhstan And Azerbaijan

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  • Fatih Kaplan
  • Ayşe E. Ünal

Abstract

The study aims to examine the causality between industrial produc-tion index and crude oil price for Rus-sia, Kazakhstan and Azerbaijan by using Frequency Domain Causality Analysis. For this purpose, the monthly data of the industrial production index and Brent oil price data over the period 1993-2019 are used. The Frequency Domain Causality Analysis suggests that the uni-directional causality relationship runs from oil prices to industrial production index is valid in the medium run for Russia and Azerbaijan and in the short run for Kazakhstan. How-ever, there is no uni-directional causality linkage between oil prices and industrial production index in the long run for any of the countries. We hope to contribute to the literature by using frequency-domain cau-sality test which examines the interrelation of crude oil prices on industrial production with the periodicity in these countries. The finding of this study is expected to serve as a tool for industrial production policy.

Suggested Citation

  • Fatih Kaplan & Ayşe E. Ünal, 2020. "Industrial Production Index - Crude Oil Price Nexus: Russia, Kazakhstan And Azerbaijan," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 65(227), pages 119-142, October –.
    • Handle: RePEc:beo:journl:v:65:y:2020:i:227:p:119-142
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    References listed on IDEAS

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    More about this item

    Keywords

    oil prices; industrial pro-duction index; frequency domain causal-ity; Russia; Kazakhstan; Azerbaijan;
    All these keywords.

    JEL classification:

    • 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
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • P20 - Political Economy and Comparative Economic Systems - - Socialist and Transition Economies - - - General

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