IDEAS home Printed from https://ideas.repec.org/a/ist/imeder/v0y2022i67p71-81.html
   My bibliography  Save this article

Econometric Analysis of the Effect of Oil Price Volatility on Country Economic Indicators: The Case of Turkey

Author

Listed:
  • Merve Arslan

    (Halic University, Faculty of Business Administration, Department of Business Administration, Istanbul, Turkey)

  • Hamide Arslan

    (Istanbul, Turkey)

  • Ismail Erkan Celik

    (DoguÅŸ University, Faculty of Economics and Administrative Sciences, Department of Economics, Istanbul, Turkey)

Abstract

Developments in crude oil prices are closely followed in world markets and have a significant impact on the conjuncture of world economics. This study aims to investigate the effects of fluctuations in oil prices on the Turkish economy. The data used in this study cover the years 2008-2020. The macroeconomic variables used in the study are GNP, inflation, unemployment, and the current account deficit/GNP ratio. The vector autoregression (VAR) model is used to estimate the effect of volatility observed in oil prices on macroeconomic factors. According to the analysis results, the lagged values of the volatility observed in oil prices were observed to have an effect on Turkey’s inflation level. In addition, the lagged values of Turkey’s unemployment rates were determined to have an effect on its current account deficit and economic growth rates.

Suggested Citation

  • Merve Arslan & Hamide Arslan & Ismail Erkan Celik, 2022. "Econometric Analysis of the Effect of Oil Price Volatility on Country Economic Indicators: The Case of Turkey," Muhasebe Enstitusu Dergisi - Journal of Accounting Institute, Istanbul University Business School, vol. 0(67), pages 71-81, July.
    • Handle: RePEc:ist:imeder:v:0:y:2022:i:67:p:71-81
    DOI: 10.26650/MED.1105715
    as

    Download full text from publisher

    File URL: https://cdn.istanbul.edu.tr/file/JTA6CLJ8T5/77996CB789144DA38FE7DEC13471B068
    Download Restriction: no
    File URL: https://iupress.istanbul.edu.tr/en/journal/jai/article/petrol-fiyat-volatilitesinin-ulke-ekonomik-gostergelerine-etkisinin-ekonometrik-analizi-turkiye-ornegi
    Download Restriction: no
    File URL: https://libkey.io/10.26650/MED.1105715?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Hamilton, James D., 2003. "What is an oil shock?," Journal of Econometrics, Elsevier, vol. 113(2), pages 363-398, April.
    2. Lutz Kilian, 1998. "Small-Sample Confidence Intervals For Impulse Response Functions," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 218-230, May.
    3. Pagan, Adrian, 1987. "Three Econometric Methodologies: A Critical Appraisal," Journal of Economic Surveys, Wiley Blackwell, vol. 1(1), pages 3-24.
    4. Farzanegan, Mohammad Reza & Markwardt, Gunther, 2009. "The effects of oil price shocks on the Iranian economy," Energy Economics, Elsevier, vol. 31(1), pages 134-151, January.
    5. Surender Kumar, 2009. "The Macroeconomic Effects of Oil Price Shocks: Empirical Evidence for India," Economics Bulletin, AccessEcon, vol. 29(1), pages 15-37.
    6. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    7. repec:bla:scandj:v:83:y:1981:i:2:p:269-76 is not listed on IDEAS
    8. Burbidge, John & Harrison, Alan, 1984. "Testing for the Effects of Oil-Price Rises Using Vector Autoregressions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(2), pages 459-484, June.
    9. Jayaraman, T.K. & Choong, Chee-Keong, 2009. "Growth and oil price: A study of causal relationships in small Pacific Island countries," Energy Policy, Elsevier, vol. 37(6), pages 2182-2189, June.
    10. Ewing, Bradley T. & Thompson, Mark A., 2007. "Dynamic cyclical comovements of oil prices with industrial production, consumer prices, unemployment, and stock prices," Energy Policy, Elsevier, vol. 35(11), pages 5535-5540, November.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Aktas, Erkan & Özenç, Çiğdem & Arıca, Feyza, 2010. "The Impact of Oil Prices in Turkey on Macroeconomics," MPRA Paper 8658, University Library of Munich, Germany, revised 15 Jun 2010.
    2. Tuzova, Yelena & Qayum, Faryal, 2016. "Global oil glut and sanctions: The impact on Putin’s Russia," Energy Policy, Elsevier, vol. 90(C), pages 140-151.
    3. Alom, Fardous, 2011. "Economic Effects of Oil and Food Price Shocks in Asia and Pacific Countries: An Application of SVAR Model," 2011 Conference, August 25-26, 2011, Nelson, New Zealand 115346, New Zealand Agricultural and Resource Economics Society.
    4. Hamdi, Helmi & Sbia, Rashid, 2013. "Dynamic relationships between oil revenues, government spending and economic growth in an oil-dependent economy," Economic Modelling, Elsevier, vol. 35(C), pages 118-125.
    5. Farid Zulfigarov & Matthias Neuenkirch, 2019. "Azerbaijan and its Oil Resources: Curse or Blessing?," Research Papers in Economics 2019-11, University of Trier, Department of Economics.
    6. Zulfigarov, Farid & Neuenkirch, Matthias, 2020. "The impact of oil price changes on selected macroeconomic indicators in Azerbaijan," Economic Systems, Elsevier, vol. 44(4).
    7. Aastveit, Knut Are, 2014. "Oil price shocks in a data-rich environment," Energy Economics, Elsevier, vol. 45(C), pages 268-279.
    8. Chuku, Chuku & Effiong, Ekpeno & Sam, Ndifreke, 2010. "Oil price distortions and their short- and long-run impacts on the Nigerian economy," MPRA Paper 24434, University Library of Munich, Germany.
    9. Rebeca Jiménez-Rodríguez, 2004. "Oil Price Shocks: Testing for Non-linearity," CSEF Working Papers 115, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    10. Lizardo, Radhamés A. & Mollick, André V., 2010. "Oil price fluctuations and U.S. dollar exchange rates," Energy Economics, Elsevier, vol. 32(2), pages 399-408, March.
    11. Jaime Casassus & Freddy Higuera, 2011. "Stock Return Predictability and Oil Prices," Documentos de Trabajo 406, Instituto de Economia. Pontificia Universidad Católica de Chile..
    12. Stock, J.H. & Watson, M.W., 2016. "Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 415-525, Elsevier.
    13. Lang, Korbinian & Auer, Benjamin R., 2020. "The economic and financial properties of crude oil: A review," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    14. María Dolores Gadea & Ana Gómez-Loscos & Antonio Montañés, 2016. "Oil Price and Economic Growth: A Long Story?," Econometrics, MDPI, vol. 4(4), pages 1-28, October.
    15. Sylwia Nowak, 2008. "How Do Public Announcements Affect The Frequency Of Trading In U.S. Airline Stocks?," CAMA Working Papers 2008-38, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    16. Erhan Cankal, 2015. "Relationship Between Stock Market Returns and Macroeconomic Variables: Evidence from Turkey," Journal of Economics and Behavioral Studies, AMH International, vol. 7(5), pages 6-18.
    17. Hilde C. Bjørnland & Yoosoon Chang & Jamie L. Cross, 2023. "Oil and the Stock Market Revisited: A Mixed Functional VAR Approach," CAMA Working Papers 2023-18, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    18. Troug, Haytem & Murray, Matt, 2015. "The Effects of Asymmetric Shocks in Oil Prices on the Performance of the Libyan Economy," MPRA Paper 68705, University Library of Munich, Germany.
    19. Muhammad Arshad Khan & Ayaz Ahmed, 2011. "Macroeconomic Effects of Global Food and Oil Price Shocks to the Pakistan Economy: A Structural Vector Autoregressive (SVAR) Analysis," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 50(4), pages 491-511.
    20. Farzanegan, Mohammad Reza & Markwardt, Gunther, 2009. "The effects of oil price shocks on the Iranian economy," Energy Economics, Elsevier, vol. 31(1), pages 134-151, January.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ist:imeder:v:0:y:2022:i:67:p:71-81. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ertugrul YASAR (email available below). General contact details of provider: https://edirc.repec.org/data/isisttr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.