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Petrol Fiyatları, GSYİH ve Döviz Kuru Arasındaki Nedensellik: Azerbaycan ve Kazakistan Örneği

Year 2017, Issue: 83 - Special Issue on Eurasian Political Economy, 79 - 98, 31.10.2017

Abstract

Bağımsızlıklarının ardından petrol endüstrisine büyük önem
atfeden Azerbaycan ve Kazakistan, bu endüstriye yabancı yatırımları da çekmeyi başarmıştır. Ekonomi için kilit rol üstlenen
bu endüstri, ekonomiyi özellikle petrol fiyatlarına karşı hassas
hale getirmiştir. Bu bağlamda, mevcut çalışmada hem Azerbaycan hem de Kazakistan için petrol fiyatı, GSYİH ve döviz kuru
değişkenlerine ait çeyreklik zaman serileri arasındaki nedensellik
ilişkileri ayrı ayrı incelenmektedir. Toda-Yamamoto nedensellik
testi sonuçları, Azerbaycan için döviz kurundan petrol fiyatlarına, petrol fiyatlarından GSYİH’ya ve GSYİH’dan döviz kuruna
işleyen tek yönlü nedenselliklere işaret ederken nedenselliklerin
yönü Kazakistan için petrol fiyatlarından GSYİH’ya, döviz kurundan GSYİH’ya ve petrol fiyatlarından döviz kuruna şeklinde
ortaya çıkmıştır.

References

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  • Aliyu, Shehu Usman Rano (2009). “Impact of Oil Price Shock and Exchange Rate Volatility on Economic Growth in Nigeria: An Empirical Investigation”. Munich Personal RePEc Archive: 1-20.
  • Amano, Robert A. and Simon van Norden (1998). “Oil prices and the rise and fall of the US real exchange rate”. Journal of International Money and Finance 17: 299-316.
  • Bal, Debi Prasad and Badri Narayan Rath (2015). “Nonlinear causality between crude oil price and exchange rate: A comparative study of China and India”. Energy Economics 51: 149-156. doi: 10.1016/j.eneco.2015.06.013.
  • Basher, Syed Abul et al. (2012). “Oil prices, exchange rates and emerging stock markets”. Energy Economics 34: 227–240.
  • Bénassy-Quéré, Agnѐs et al. (2007). “China and the relationship between the oil price and the dollar”. Energy Policy 35 (11): 5795-5805. doi: 10.1016/j.enpol.2007.05.035.
  • BP. (2015). BP Statistical Review of World Energy https://www.bp.com/content/dam/bp/pdf/energy-economics/statistical-review-2015/bp-statistical-review-of-world-energy-2015-full-report.pdf. (Accessed: 17.08.2016).
  • Brahmasrene, Tantatape et al. (2014). “Crude oil prices and exchange rates: Causality, variance decomposition and impulse response”. Energy Economics 44: 407-412. doi: 10.1016/j.eneco.2014.05.011.
  • Cunado, Juncal and Fernando Perez de Gracia (2005). “Oil prices, economic activity and inflation: evidence for some Asian countries”. The Quarterly Review of Economics and Finance 45 (1): 65-83. doi:10.1016/j.qref.2004.02.003.
  • Dickey, David A. and A. Fuller Wayne (1981). “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”. Econometrica 49 (4): 1057-1072.
  • Ebrahim, Zoheir et al. (2014). “Macroeconomic impacts of oil price volatility: mitigation and resilience”. Frontiers in Energy 8 (1): 9-24. doi:10.1007/s11708-014-0300-3.
  • Fagan, Alphonsus (1991). “An Introduction to the petroleum industry”. Terminology 1: 1.
  • Granger, Clive William John (1969). “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods”. Econometrica 37 (3): 424-438.
  • Güneş, Sevcan et al. (2013). “Diş Ticaret Hadleri, Dünya Petrol Fiyatlari ve Döviz Kuru İlişkisi, Yapısal VAR Analizi: Türkiye Örneği”. Uluslararası Yönetim İktisat ve İşletme Dergisi 9 (20): 1-17.
  • Hasanov, Fakhri (2010). “The Impact of Real Oil Price on Real Effective Exchange Rate: The Case of Azerbaijan”. Deutsches Institut für Wirtschaftsforschung Discussion Papers: 1-26.
  • IEA (2015). Key World Energy Statistics. https://www.iea.org/publications/freepublications/publication/KeyWorld_Statistics_2015.pdf. (Accessed: 17.08.2016).
  • IMF (2016). International Money Found International Financial Statistics. http://www.imf.org/en/data (Accessed: 07.08.2016).
  • Köse, Nezir and Sabit Baimaganbetov (2015). “The Asymmetric Impact of Oil Price Shocks on Kazakhstan Macroeconomic Dynamics: A Structural Vector Autoregression Approach”. International Journal of Energy Economics and Policy 5 (4): 1058-1064.
  • Kutan, Ali M. and Michael L. Wyzan (2005). “Explaining the real exchange rate in Kazakhstan, 1996–2003: Is Kazakhstan vulnerable to the Dutch disease?”. Economic Systems 29: 242–255.
  • Narayan, Paresh Kumar et al. (2008). “Understanding the oil price-exchange rate nexus for the Fiji Islands”. Energy Economics 30 (5): 2686-2696. doi:10.1016/j.eneco.2008.03.003.
  • Osigwe, Augustine C. (2015). “Exchange Rate Fluctuations, Oil Prices and Economic Performance: Empirical Evidence from Nigeria”. International Journal of Energy Economics and Policy 5 (2): 502-506.
  • Öksüzler, Oktay ve Evren İpek (2011). “Dünya petrol fiyatlarındaki değişimin büyüme ve enflasyon üzerindeki etkisi: Türkiye örneği”. Zonguldak Karaelmas Üniversitesi Sosyal Bilimler Dergisi 7 (14): 15-34.
  • Öztürk, İlhan et al. (2008). “Do oil prices affect the USD/YTL exchange rate: Evidence from Turkey”. Privredna kretanja i ekonomska politika 115: 49-61.
  • Phillips, Peter C. B. and Pierre Perron (1988). “Testing for a Unit Root in Time Series Regression”. Biometrika 75 (2): 335-346.
  • Pradhan, Rudra P. et al. (2015). “The dynamics of economic growth, oil prices, stock market depth, and other macroeconomic variables: Evidence from the G-20 countries”. International Review of Financial Analysis 39: 84-95. doi:10.1016/j.irfa.2015.03.006.
  • Rautava, Jouko (2004). “The role of oil prices and the real exchange rate in Russia’s economy—a cointegration approach”. Journal of Comparative Economics 32 (2): 315-327. doi: 10.1016/j.jce.2004.02.006.
  • theglobaleonomy.com. (2014). Oil revenue - country rankings. http://www.theglobaleconomy.com/rankings/Oil_revenue/. (Accessed: 19.08.2016).
  • Toda, Hiro Y. and Taku Yamamoto (1995). “Statistical inference in vector autoregressions with possibly integrated processes”. Journal of Econometrics 66: 225-250.
  • Tuğcu, Can Tansel (2014). “Tourism and economic growth nexus revisited: A panel causality analysis for the case of the Mediterranean Region”. Tourism Management 42: 207-212. doi: 10.1016/j.tourman.2013.12.007.
  • Yardımcıoğlu, Fatih ve Ahmet Gülmez (2013). “OPEC Ülkelerinde Hollanda Hastalığı: Petrol Fiyatları ve Ekonomik Büyüme İlişkisinin Ekonometrik Bir Analizi”. Sosyoekonomi 1: 117-140.
  • Yavuz, Nilgün Çil (2006). “Türkiye’de turizm gelirlerinin ekonomik büyümeye etkisinin testi: yapısal kırılma ve nedensellik analizi”. Doğuş Üniversitesi Dergisi 7 (2): 162-171.

Causality Among Oil Prices, GDP and Exchange Rate: Evidence from Azerbaijan and Kazakhstan

Year 2017, Issue: 83 - Special Issue on Eurasian Political Economy, 79 - 98, 31.10.2017

Abstract

Following their independence, Azerbaijan and Kazakhstan,
which place great importance to oil industry, have also succeeded in attracting foreign investments to this industry. Over
time, this industry, which has become a key to the economy, has
made the economy vulnerable particularly to oil prices. In this
regard, current paper investigates causal relationships between
quarterly time series of oil prices, GDP and exchange rate for
both Azerbaijan and Kazakhstan separately. Toda-Yamamoto
causality test results for Azerbaijan suggest that there are unidirectional causalities from exchange rate to oil prices, from oil
prices to GDP and from GDP to exchange rate. As for Kazakhstan, causalities run from oil prices to GDP, exchange rate to
GDP and oil prices to exchange rate.

References

  • Akıncı, Merter et al. (2012). “Petrol fiyatları ile ekonomik büyüme arasındaki ilişki: OPEC ve petrol ithalatçısı ülkeler için panel veri analizi”. Uludağ Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 31 (2): 1-17.
  • Aliyu, Shehu Usman Rano (2009). “Impact of Oil Price Shock and Exchange Rate Volatility on Economic Growth in Nigeria: An Empirical Investigation”. Munich Personal RePEc Archive: 1-20.
  • Amano, Robert A. and Simon van Norden (1998). “Oil prices and the rise and fall of the US real exchange rate”. Journal of International Money and Finance 17: 299-316.
  • Bal, Debi Prasad and Badri Narayan Rath (2015). “Nonlinear causality between crude oil price and exchange rate: A comparative study of China and India”. Energy Economics 51: 149-156. doi: 10.1016/j.eneco.2015.06.013.
  • Basher, Syed Abul et al. (2012). “Oil prices, exchange rates and emerging stock markets”. Energy Economics 34: 227–240.
  • Bénassy-Quéré, Agnѐs et al. (2007). “China and the relationship between the oil price and the dollar”. Energy Policy 35 (11): 5795-5805. doi: 10.1016/j.enpol.2007.05.035.
  • BP. (2015). BP Statistical Review of World Energy https://www.bp.com/content/dam/bp/pdf/energy-economics/statistical-review-2015/bp-statistical-review-of-world-energy-2015-full-report.pdf. (Accessed: 17.08.2016).
  • Brahmasrene, Tantatape et al. (2014). “Crude oil prices and exchange rates: Causality, variance decomposition and impulse response”. Energy Economics 44: 407-412. doi: 10.1016/j.eneco.2014.05.011.
  • Cunado, Juncal and Fernando Perez de Gracia (2005). “Oil prices, economic activity and inflation: evidence for some Asian countries”. The Quarterly Review of Economics and Finance 45 (1): 65-83. doi:10.1016/j.qref.2004.02.003.
  • Dickey, David A. and A. Fuller Wayne (1981). “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”. Econometrica 49 (4): 1057-1072.
  • Ebrahim, Zoheir et al. (2014). “Macroeconomic impacts of oil price volatility: mitigation and resilience”. Frontiers in Energy 8 (1): 9-24. doi:10.1007/s11708-014-0300-3.
  • Fagan, Alphonsus (1991). “An Introduction to the petroleum industry”. Terminology 1: 1.
  • Granger, Clive William John (1969). “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods”. Econometrica 37 (3): 424-438.
  • Güneş, Sevcan et al. (2013). “Diş Ticaret Hadleri, Dünya Petrol Fiyatlari ve Döviz Kuru İlişkisi, Yapısal VAR Analizi: Türkiye Örneği”. Uluslararası Yönetim İktisat ve İşletme Dergisi 9 (20): 1-17.
  • Hasanov, Fakhri (2010). “The Impact of Real Oil Price on Real Effective Exchange Rate: The Case of Azerbaijan”. Deutsches Institut für Wirtschaftsforschung Discussion Papers: 1-26.
  • IEA (2015). Key World Energy Statistics. https://www.iea.org/publications/freepublications/publication/KeyWorld_Statistics_2015.pdf. (Accessed: 17.08.2016).
  • IMF (2016). International Money Found International Financial Statistics. http://www.imf.org/en/data (Accessed: 07.08.2016).
  • Köse, Nezir and Sabit Baimaganbetov (2015). “The Asymmetric Impact of Oil Price Shocks on Kazakhstan Macroeconomic Dynamics: A Structural Vector Autoregression Approach”. International Journal of Energy Economics and Policy 5 (4): 1058-1064.
  • Kutan, Ali M. and Michael L. Wyzan (2005). “Explaining the real exchange rate in Kazakhstan, 1996–2003: Is Kazakhstan vulnerable to the Dutch disease?”. Economic Systems 29: 242–255.
  • Narayan, Paresh Kumar et al. (2008). “Understanding the oil price-exchange rate nexus for the Fiji Islands”. Energy Economics 30 (5): 2686-2696. doi:10.1016/j.eneco.2008.03.003.
  • Osigwe, Augustine C. (2015). “Exchange Rate Fluctuations, Oil Prices and Economic Performance: Empirical Evidence from Nigeria”. International Journal of Energy Economics and Policy 5 (2): 502-506.
  • Öksüzler, Oktay ve Evren İpek (2011). “Dünya petrol fiyatlarındaki değişimin büyüme ve enflasyon üzerindeki etkisi: Türkiye örneği”. Zonguldak Karaelmas Üniversitesi Sosyal Bilimler Dergisi 7 (14): 15-34.
  • Öztürk, İlhan et al. (2008). “Do oil prices affect the USD/YTL exchange rate: Evidence from Turkey”. Privredna kretanja i ekonomska politika 115: 49-61.
  • Phillips, Peter C. B. and Pierre Perron (1988). “Testing for a Unit Root in Time Series Regression”. Biometrika 75 (2): 335-346.
  • Pradhan, Rudra P. et al. (2015). “The dynamics of economic growth, oil prices, stock market depth, and other macroeconomic variables: Evidence from the G-20 countries”. International Review of Financial Analysis 39: 84-95. doi:10.1016/j.irfa.2015.03.006.
  • Rautava, Jouko (2004). “The role of oil prices and the real exchange rate in Russia’s economy—a cointegration approach”. Journal of Comparative Economics 32 (2): 315-327. doi: 10.1016/j.jce.2004.02.006.
  • theglobaleonomy.com. (2014). Oil revenue - country rankings. http://www.theglobaleconomy.com/rankings/Oil_revenue/. (Accessed: 19.08.2016).
  • Toda, Hiro Y. and Taku Yamamoto (1995). “Statistical inference in vector autoregressions with possibly integrated processes”. Journal of Econometrics 66: 225-250.
  • Tuğcu, Can Tansel (2014). “Tourism and economic growth nexus revisited: A panel causality analysis for the case of the Mediterranean Region”. Tourism Management 42: 207-212. doi: 10.1016/j.tourman.2013.12.007.
  • Yardımcıoğlu, Fatih ve Ahmet Gülmez (2013). “OPEC Ülkelerinde Hollanda Hastalığı: Petrol Fiyatları ve Ekonomik Büyüme İlişkisinin Ekonometrik Bir Analizi”. Sosyoekonomi 1: 117-140.
  • Yavuz, Nilgün Çil (2006). “Türkiye’de turizm gelirlerinin ekonomik büyümeye etkisinin testi: yapısal kırılma ve nedensellik analizi”. Doğuş Üniversitesi Dergisi 7 (2): 162-171.
There are 31 citations in total.

Details

Primary Language English
Journal Section Articles
Authors

Mehmet Dikkaya

Bayram Veli Doyar

Publication Date October 31, 2017
Published in Issue Year 2017 Issue: 83 - Special Issue on Eurasian Political Economy

Cite

APA Dikkaya, M., & Doyar, B. V. (2017). Causality Among Oil Prices, GDP and Exchange Rate: Evidence from Azerbaijan and Kazakhstan. Bilig(83), 79-98.
AMA Dikkaya M, Doyar BV. Causality Among Oil Prices, GDP and Exchange Rate: Evidence from Azerbaijan and Kazakhstan. Bilig. October 2017;(83):79-98.
Chicago Dikkaya, Mehmet, and Bayram Veli Doyar. “Causality Among Oil Prices, GDP and Exchange Rate: Evidence from Azerbaijan and Kazakhstan”. Bilig, no. 83 (October 2017): 79-98.
EndNote Dikkaya M, Doyar BV (October 1, 2017) Causality Among Oil Prices, GDP and Exchange Rate: Evidence from Azerbaijan and Kazakhstan. Bilig 83 79–98.
IEEE M. Dikkaya and B. V. Doyar, “Causality Among Oil Prices, GDP and Exchange Rate: Evidence from Azerbaijan and Kazakhstan”, Bilig, no. 83, pp. 79–98, October 2017.
ISNAD Dikkaya, Mehmet - Doyar, Bayram Veli. “Causality Among Oil Prices, GDP and Exchange Rate: Evidence from Azerbaijan and Kazakhstan”. Bilig 83 (October 2017), 79-98.
JAMA Dikkaya M, Doyar BV. Causality Among Oil Prices, GDP and Exchange Rate: Evidence from Azerbaijan and Kazakhstan. Bilig. 2017;:79–98.
MLA Dikkaya, Mehmet and Bayram Veli Doyar. “Causality Among Oil Prices, GDP and Exchange Rate: Evidence from Azerbaijan and Kazakhstan”. Bilig, no. 83, 2017, pp. 79-98.
Vancouver Dikkaya M, Doyar BV. Causality Among Oil Prices, GDP and Exchange Rate: Evidence from Azerbaijan and Kazakhstan. Bilig. 2017(83):79-98.

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