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Döviz Kuru Ve Petrol Fiyatlarının Enflasyon Üzerine Etkisinin Var Modeli İle Analizi: Türkiye Örneği

Year 2023, Volume: 5 Issue: 3, 154 - 166, 02.08.2023
https://doi.org/10.47103/bilturk.1218022

Abstract

Çalışmada Türkiye’nin 1995 ile 2020 yılları arasındaki verileri kullanılarak döviz kuru ve petrol fiyatlarının enflasyon üzerindeki etkisi araştırılmıştır. Çalışmada VAR modeli kullanılmıştır. Araştırmanın sonunda elde edilen bulgulara göre değişkenler arasına pozitif yönlü güçlü bir ilişki bulunmaktadır ve değişkenler arasında uzun dönemli bir ilişki bulunmaktadır. Uzun dönem dengesine doğru ayarlama hızı %56 gibi hızlı bir orandır. Döviz kuru ve petrol fiyatları uzun dönemde enflasyon oranlarını etkilemektedir. Ayrıca kısa dönemde döviz kurunda yaşanan artışlar tek başına enflasyonu etkilerken, petrol fiyatındaki tek başına artışlar enflasyonu kısa dönemde etkilememektedir. Fakat, bununla birlikte döviz kuru ve petrol fiyatı birlikte arttığında, kısa dönemde de enflasyonu etkilemektedir.

References

  • Al-Qenaie, J. & Al-Shammari, N. (2016). Causes of inflation across main oil exporting countries. Journal of the Faculty of Commerce for Scientific Research, 54(2), 93-116.
  • Arku, D., Kallah-Dagadu, G., & Klogo, D. K. (2021). The dynamic relationship of crude oil prices on macroeconomic variables in Ghana: a time series analysis approach. arXiv, preprint arXiv:2110.09850, 1-25.
  • Bawa, S., Abdullahi, I. S., Tukur, D., Barda, S. I., & Adams, Y. J. (2020). Asymmetric impact of oil price on inflation in Nigeria. CBN Journal of Applied Statistics, 11(2), 85-113.
  • Brown, S. P., Oppedahl, D. B., & Yücel, M. K. (1995). Oil prices and inflation (No. 9510). Federal Reserve Bank of Dallas, Research Department, Working Paper ,95(10), 1-28.
  • Dünya Bankası: Data Bank. (2022). Erişim Adresi: https://databank.worldbank.org/home.aspx
  • Dinler, Z. (2014) İktisada Giriş. Ekin Yayınevi, ISBN:978-605-327-055-3, 20. Baskı, Ekim 2014, 458.
  • Federal Reserve Bank Of St. Louis (Fred). (2022). Erişim Adresi: https://fred.stlouisfed.org/series/DCOILBRENTEU
  • Friedman, M. (1989). Quantity theory of money. In Money (pp. 1-40). Palgrave Macmillan, London. In The New Palgrave: A Dictionary of Economics, edited by John Eatwell, Murray Milgate, and Peter Newman, 3-20. New York: Stockton Press; and London: Macmillan, 7
  • Granger, C.W.J., Huang, B., Yang, C.W. (2000). A bivariate causality between stock prices and exchange rates: Evidence from recent Asian flu. The Quarterly Review of Economics and Finance, 40, 337‑354.
  • Johansen S, & Juselius, K. (1990). “Maximum Likelihood Estimation and Inference on Cointegration with Application to the Demand for Money,” Oxford Bulletin of Economics and Statistics, Vol.52:165-178.
  • Karacan, R., & Yardım Kılıçkan, Z. (2018). Türkiye’de enflasyonun, petrol fiyatları, döviz kuru açısından değerlendirilmesi. Turkish Studies, 13(23), 185-194.
  • Keynes, J.M. (1936). The General Theory of Employment, Interest, and Money. International Relations and Security Network, Primary Resources, ETH Zurich, February 1936, 146-150.
  • Koçak, S., Balan, F., & Albayrak, B. (2017). Türkiye ekonomisinde petrol fiyatlari ve enflasyon ilişkisi: ampirik analiz. Journal of Life Economics, 4(4), 261-273.
  • Köse, N., & Ünal, E. (2021). The effects of the oil price and oil price volatility on inflation in Türkiye . Energy, 226, 120392.
  • Kutlar, A. (2019). Stata İle Uygulamalı Çok Denklemli Zaman Serileri. 1. Baskı. İzmit: Umuttepe Yayınları, ISBN: 9786057858108.
  • Kutlar, A. (2019). Stata ile Uygulamalı Zaman Serileri, Doğrusal ve Doğrusal Olmayan. 1. Baskı, Ankara: Nobel Akademik Yayıncılık, ISBN: 9786057846198.
  • Malik, A. (2016). The impact of oil price changes on inflation in Pakistan. International journal of energy economics and policy, 6(4), 727-737.
  • Mpofu, R. T. (2011). Money supply, interest rate, exchange rate and oil price influence on inflation in South Africa. Corporate Ownership and Control, 8(3), 594-605.
  • Mukhtarov, S., Mammadov, J., and Ahmadov, F. (2019). The impact of oil prices on inflation: The case of Azerbaijan. International Journal of Energy Economics and Policy, (4), 97-102.
  • Sek, S. K., Teo, X. Q., & Wong, Y. N. (2015). A comparative study on the effects of oil price changes on inflation. Procedia Economics and Finance, 26, 630-636.
  • Shadab, S., & Gholami, A. (2014). Analysis of the relationship between oil prices and exchange rates in Tehran stock exchange. International Journal of Research in Business Studies and Management, 1(2), 8-18.

Examination of The Impact of Exchange Rate and Petroleum Prices On Inflation with The VAR Model: The Case of Turkey

Year 2023, Volume: 5 Issue: 3, 154 - 166, 02.08.2023
https://doi.org/10.47103/bilturk.1218022

Abstract

In the study, the influence of EXC and OIL on INF was investigated by using the annual data of Turkey between 1995 and 2020. VAR model was preferred in the examination. In accordance with the findings obtained at the end of the examination, there is a strong positive affair amongst the variables and there is a long-period affair amongst the variants. The rate of adjustment towards long-term equilibrium is as fast as 56%. Exchange rate and petroleum prices affect inflation rates in the long run. In addition, while enhancements in the exchange rate alone affect inflation in the short period, enhancements in petroleum prices alone do not affect inflation in the short period. However, when the exchange rate and petroleum price increase together, it also affects inflation in the short period.

References

  • Al-Qenaie, J. & Al-Shammari, N. (2016). Causes of inflation across main oil exporting countries. Journal of the Faculty of Commerce for Scientific Research, 54(2), 93-116.
  • Arku, D., Kallah-Dagadu, G., & Klogo, D. K. (2021). The dynamic relationship of crude oil prices on macroeconomic variables in Ghana: a time series analysis approach. arXiv, preprint arXiv:2110.09850, 1-25.
  • Bawa, S., Abdullahi, I. S., Tukur, D., Barda, S. I., & Adams, Y. J. (2020). Asymmetric impact of oil price on inflation in Nigeria. CBN Journal of Applied Statistics, 11(2), 85-113.
  • Brown, S. P., Oppedahl, D. B., & Yücel, M. K. (1995). Oil prices and inflation (No. 9510). Federal Reserve Bank of Dallas, Research Department, Working Paper ,95(10), 1-28.
  • Dünya Bankası: Data Bank. (2022). Erişim Adresi: https://databank.worldbank.org/home.aspx
  • Dinler, Z. (2014) İktisada Giriş. Ekin Yayınevi, ISBN:978-605-327-055-3, 20. Baskı, Ekim 2014, 458.
  • Federal Reserve Bank Of St. Louis (Fred). (2022). Erişim Adresi: https://fred.stlouisfed.org/series/DCOILBRENTEU
  • Friedman, M. (1989). Quantity theory of money. In Money (pp. 1-40). Palgrave Macmillan, London. In The New Palgrave: A Dictionary of Economics, edited by John Eatwell, Murray Milgate, and Peter Newman, 3-20. New York: Stockton Press; and London: Macmillan, 7
  • Granger, C.W.J., Huang, B., Yang, C.W. (2000). A bivariate causality between stock prices and exchange rates: Evidence from recent Asian flu. The Quarterly Review of Economics and Finance, 40, 337‑354.
  • Johansen S, & Juselius, K. (1990). “Maximum Likelihood Estimation and Inference on Cointegration with Application to the Demand for Money,” Oxford Bulletin of Economics and Statistics, Vol.52:165-178.
  • Karacan, R., & Yardım Kılıçkan, Z. (2018). Türkiye’de enflasyonun, petrol fiyatları, döviz kuru açısından değerlendirilmesi. Turkish Studies, 13(23), 185-194.
  • Keynes, J.M. (1936). The General Theory of Employment, Interest, and Money. International Relations and Security Network, Primary Resources, ETH Zurich, February 1936, 146-150.
  • Koçak, S., Balan, F., & Albayrak, B. (2017). Türkiye ekonomisinde petrol fiyatlari ve enflasyon ilişkisi: ampirik analiz. Journal of Life Economics, 4(4), 261-273.
  • Köse, N., & Ünal, E. (2021). The effects of the oil price and oil price volatility on inflation in Türkiye . Energy, 226, 120392.
  • Kutlar, A. (2019). Stata İle Uygulamalı Çok Denklemli Zaman Serileri. 1. Baskı. İzmit: Umuttepe Yayınları, ISBN: 9786057858108.
  • Kutlar, A. (2019). Stata ile Uygulamalı Zaman Serileri, Doğrusal ve Doğrusal Olmayan. 1. Baskı, Ankara: Nobel Akademik Yayıncılık, ISBN: 9786057846198.
  • Malik, A. (2016). The impact of oil price changes on inflation in Pakistan. International journal of energy economics and policy, 6(4), 727-737.
  • Mpofu, R. T. (2011). Money supply, interest rate, exchange rate and oil price influence on inflation in South Africa. Corporate Ownership and Control, 8(3), 594-605.
  • Mukhtarov, S., Mammadov, J., and Ahmadov, F. (2019). The impact of oil prices on inflation: The case of Azerbaijan. International Journal of Energy Economics and Policy, (4), 97-102.
  • Sek, S. K., Teo, X. Q., & Wong, Y. N. (2015). A comparative study on the effects of oil price changes on inflation. Procedia Economics and Finance, 26, 630-636.
  • Shadab, S., & Gholami, A. (2014). Analysis of the relationship between oil prices and exchange rates in Tehran stock exchange. International Journal of Research in Business Studies and Management, 1(2), 8-18.
There are 21 citations in total.

Details

Primary Language English
Subjects Economics
Journal Section Research Articles
Authors

Duygu Çelik 0000-0003-3298-2152

Early Pub Date July 28, 2023
Publication Date August 2, 2023
Acceptance Date May 3, 2023
Published in Issue Year 2023 Volume: 5 Issue: 3

Cite

APA Çelik, D. (2023). Examination of The Impact of Exchange Rate and Petroleum Prices On Inflation with The VAR Model: The Case of Turkey. BİLTÜRK Journal of Economics and Related Studies, 5(3), 154-166. https://doi.org/10.47103/bilturk.1218022
AMA Çelik D. Examination of The Impact of Exchange Rate and Petroleum Prices On Inflation with The VAR Model: The Case of Turkey. BILTURK. August 2023;5(3):154-166. doi:10.47103/bilturk.1218022
Chicago Çelik, Duygu. “Examination of The Impact of Exchange Rate and Petroleum Prices On Inflation With The VAR Model: The Case of Turkey”. BİLTÜRK Journal of Economics and Related Studies 5, no. 3 (August 2023): 154-66. https://doi.org/10.47103/bilturk.1218022.
EndNote Çelik D (August 1, 2023) Examination of The Impact of Exchange Rate and Petroleum Prices On Inflation with The VAR Model: The Case of Turkey. BİLTÜRK Journal of Economics and Related Studies 5 3 154–166.
IEEE D. Çelik, “Examination of The Impact of Exchange Rate and Petroleum Prices On Inflation with The VAR Model: The Case of Turkey”, BILTURK, vol. 5, no. 3, pp. 154–166, 2023, doi: 10.47103/bilturk.1218022.
ISNAD Çelik, Duygu. “Examination of The Impact of Exchange Rate and Petroleum Prices On Inflation With The VAR Model: The Case of Turkey”. BİLTÜRK Journal of Economics and Related Studies 5/3 (August 2023), 154-166. https://doi.org/10.47103/bilturk.1218022.
JAMA Çelik D. Examination of The Impact of Exchange Rate and Petroleum Prices On Inflation with The VAR Model: The Case of Turkey. BILTURK. 2023;5:154–166.
MLA Çelik, Duygu. “Examination of The Impact of Exchange Rate and Petroleum Prices On Inflation With The VAR Model: The Case of Turkey”. BİLTÜRK Journal of Economics and Related Studies, vol. 5, no. 3, 2023, pp. 154-66, doi:10.47103/bilturk.1218022.
Vancouver Çelik D. Examination of The Impact of Exchange Rate and Petroleum Prices On Inflation with The VAR Model: The Case of Turkey. BILTURK. 2023;5(3):154-66.

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