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Asymmetric and Nonlinear Pass-Through of Global Crude Oil Price to Inflation in Turkey

Year 2019, Volume: 6 Issue: 1, 17 - 32, 15.01.2019
https://doi.org/10.17541/optimum.466150

Abstract

Since
the fluctuations in oil prices have important economic consequences, it is one
of the most frequently investigated topics by scholars and policymakers.
Although increase in oil prices
is good for oil exporting countries, it is bad for countries like Turkey who
meet energy needs by importing crude oil. The effect of global crude oil prices
on domestic inflation is not very clear. In this study, based on the augmented
Phillips curve framework, linear and nonlinear ARDL methods are used to examine
the asymmetric effects of oil price fluctuations on consumer and producer
prices in Turkey.  According to the
empirical results, the effects of fluctuations in oil prices on consumer and
producer prices are asymmetrical in the long run and symmetrical in the short
run. A %100 increase in oil price increases CPI by %13,05 and PPI by %14,7. A
%100 decrease in oil price decrease CPI by %11,27 and PPI by %7,24.

References

  • Bala, U., & Chin, L. (2018). Asymmetric Impacts of Oil Price on Inflation : An Empirical Study of African OPEC Member Countries, (August). https://doi.org/10.20944/preprints201808.0064.v1
  • Blanchard, O. J., & Galí, J. (2007). The Macroeconomic Effects of Oil Price Shocks: Why are the 2000s so different from the 1970s? NBER Chapters. https://doi.org/10.1017/CBO9781107415324.004
  • Çatik, A. N., & Karaçuka, M. (2012). Oil pass-through to domestic prices in Turkey: Does the change in inflation regime matter? Ekonomska Istrazivanja, 25(2), 277–296. https://doi.org/10.1080/1331677X.2012.11517508
  • Chen, S. S. (2009). Oil price pass-through into inflation. Energy Economics. https://doi.org/10.1016/j.eneco.2008.08.006
  • Chinn, M., & Leblanc, M. (2004). Do High Oil Prices Presage Inflation ? Business Economics. https://doi.org/4aabcd045a8ec14c0d08ecd330968821
  • Choi, B. S., Furceri, D., Loungani, P., Mishra, S., & Poplawski-Ribeiro, M. (2017). Oil Prices and Inflation Dynamics: Evidence from Advanced and Developing Economies. IMF Working Paper, 55.
  • Conflitti, C., & Luciani, M. (2017). Oil Price Pass-Through into Core Inflation. Ssrn. https://doi.org/10.2139/ssrn.3082191
  • Dedeoǧlu, D., & Kaya, H. (2014). Pass-through of oil prices to domestic prices: Evidence from an oil-hungry but oil-poor emerging market. Economic Modelling, 43(February 2001), 67–74. https://doi.org/10.1016/j.econmod.2014.07.038
  • ECB. (2010). Oil Prices – Their Determinants and Impact on Euro Area Inflation and the Macroeconomy. Monthly Bulletin, (August), 75–92.
  • Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica. https://doi.org/10.2307/1912773
  • Engle, R. F., & Granger, C. W. J. (1987). Co-Integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55(2), 251. https://doi.org/10.2307/1913236
  • Hamilton, J. D., & Herrera, A. M. (2004). Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy: A Comment. Journal of Money, Credit, and Banking. https://doi.org/10.1353/mcb.2004.0012
  • Hooker, M. A. (2000). Are Oil Shocks Inflationary? Asymmetric and Nonlinear Specifications Versus Changes in Regime. Ssrn. https://doi.org/10.2139/ssrn.208890
  • Lacheheb, M., & Sirag, A. (2016). Oil Price and inflation in Algeria : A nonlinear ARDL approach. Topics in Middle Eastern and African Economics, 18(2), 45–60.
  • Long, S., & Liang, J. (2018). Asymmetric and nonlinear pass-through of global crude oil price to China’s PPI and CPI inflation. Economic Research-Ekonomska Istrazivanja, 31(1), 240–251. https://doi.org/10.1080/1331677X.2018.1429292
  • Mork, K. A. (1989). Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton’s Results. Journal of Political Economy. https://doi.org/10.1086/261625
  • Öztürkler, H., Demir, F., & Yılmaz, S. (2015). Crude Oil Price Pass-Through to Domestic Prices in Turkey: Asymmetric Nonlinear ARDL Approach. EY International Congress on Economics II, (256), 1–14.
  • Pesaran, M. H., Shin, Y. (1999). An autoregressive distributed lag modelling approach to cointegration analysis. In Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium. (pp. 1–31). https://doi.org/10.1017/CCOL521633230
  • Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. https://doi.org/10.1002/jae.616
  • Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2013). Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework. SSRN. https://doi.org/10.2139/ssrn.1807745
  • Zhao, L., Zhang, X., Wang, S., & Xu, S. (2016). The effects of oil price shocks on output and inflation in China. Energy Economics, 53, 101–110. https://doi.org/10.1016/j.eneco.2014.11.017

Türkiye’de Petrol Fiyatlarından Enflasyona Asimetrik ve Doğrusal Olmayan Geçişkenlik

Year 2019, Volume: 6 Issue: 1, 17 - 32, 15.01.2019
https://doi.org/10.17541/optimum.466150

Abstract

Petrol fiyatlarındaki
dalgalanmaların önemli ekonomik sonuçları olduğundan akademisyenler ve politika
yapıcılar tarafından sıkça araştırılan konuların başında gelmektedir. Petrol
fiyatlarındaki artışlar petrol ihraç eden ülkeler için iyi olsa da, Türkiye gibi
Petrol yoksunu ve enerji ihtiyacının büyük bölümünü petrol ithal ederek
karşılayan ülkeler için kötüdür. Bu alandaki kapsamlı araştırmalar, küresel ham
petrol fiyatlarının yerel enflasyon üzerindeki etkisinin çok net olmadığını
göstermektedir. Bu çalışmada Genişletilmiş Phillips eğrisi yaklaşımına
dayanarak, doğrusal ve doğrusal olmayan ARDL yöntemleriyle dünya petrol
fiyatlarındaki değişimlerin Türkiye’de tüketici ve üretici fiyatları üzerindeki
asimetrik etkisi incelenmektedir. Elde edilen sonuçlara göre petrol
fiyatlarındaki dalgalanmaların tüketici ve üretici fiyatları üzerindeki etkisi
uzun dönemde asimetrikken, kısa dönemde ise simetriktir. Dünya petrol
fiyatlarındaki %100’lük bir artış sonucunda yurtiçi tüketici fiyat endeksi
(CPI) %13,05 üretici fiyat endeksi (PPI) %14,7 artarken,  petrol fiyatlarındaki %100’lük bir azalış
tüketici fiyat endeksini %11,27, üretici fiyat endeksini  %7,24 azaltmaktadır.

References

  • Bala, U., & Chin, L. (2018). Asymmetric Impacts of Oil Price on Inflation : An Empirical Study of African OPEC Member Countries, (August). https://doi.org/10.20944/preprints201808.0064.v1
  • Blanchard, O. J., & Galí, J. (2007). The Macroeconomic Effects of Oil Price Shocks: Why are the 2000s so different from the 1970s? NBER Chapters. https://doi.org/10.1017/CBO9781107415324.004
  • Çatik, A. N., & Karaçuka, M. (2012). Oil pass-through to domestic prices in Turkey: Does the change in inflation regime matter? Ekonomska Istrazivanja, 25(2), 277–296. https://doi.org/10.1080/1331677X.2012.11517508
  • Chen, S. S. (2009). Oil price pass-through into inflation. Energy Economics. https://doi.org/10.1016/j.eneco.2008.08.006
  • Chinn, M., & Leblanc, M. (2004). Do High Oil Prices Presage Inflation ? Business Economics. https://doi.org/4aabcd045a8ec14c0d08ecd330968821
  • Choi, B. S., Furceri, D., Loungani, P., Mishra, S., & Poplawski-Ribeiro, M. (2017). Oil Prices and Inflation Dynamics: Evidence from Advanced and Developing Economies. IMF Working Paper, 55.
  • Conflitti, C., & Luciani, M. (2017). Oil Price Pass-Through into Core Inflation. Ssrn. https://doi.org/10.2139/ssrn.3082191
  • Dedeoǧlu, D., & Kaya, H. (2014). Pass-through of oil prices to domestic prices: Evidence from an oil-hungry but oil-poor emerging market. Economic Modelling, 43(February 2001), 67–74. https://doi.org/10.1016/j.econmod.2014.07.038
  • ECB. (2010). Oil Prices – Their Determinants and Impact on Euro Area Inflation and the Macroeconomy. Monthly Bulletin, (August), 75–92.
  • Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica. https://doi.org/10.2307/1912773
  • Engle, R. F., & Granger, C. W. J. (1987). Co-Integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55(2), 251. https://doi.org/10.2307/1913236
  • Hamilton, J. D., & Herrera, A. M. (2004). Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy: A Comment. Journal of Money, Credit, and Banking. https://doi.org/10.1353/mcb.2004.0012
  • Hooker, M. A. (2000). Are Oil Shocks Inflationary? Asymmetric and Nonlinear Specifications Versus Changes in Regime. Ssrn. https://doi.org/10.2139/ssrn.208890
  • Lacheheb, M., & Sirag, A. (2016). Oil Price and inflation in Algeria : A nonlinear ARDL approach. Topics in Middle Eastern and African Economics, 18(2), 45–60.
  • Long, S., & Liang, J. (2018). Asymmetric and nonlinear pass-through of global crude oil price to China’s PPI and CPI inflation. Economic Research-Ekonomska Istrazivanja, 31(1), 240–251. https://doi.org/10.1080/1331677X.2018.1429292
  • Mork, K. A. (1989). Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton’s Results. Journal of Political Economy. https://doi.org/10.1086/261625
  • Öztürkler, H., Demir, F., & Yılmaz, S. (2015). Crude Oil Price Pass-Through to Domestic Prices in Turkey: Asymmetric Nonlinear ARDL Approach. EY International Congress on Economics II, (256), 1–14.
  • Pesaran, M. H., Shin, Y. (1999). An autoregressive distributed lag modelling approach to cointegration analysis. In Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium. (pp. 1–31). https://doi.org/10.1017/CCOL521633230
  • Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. https://doi.org/10.1002/jae.616
  • Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2013). Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework. SSRN. https://doi.org/10.2139/ssrn.1807745
  • Zhao, L., Zhang, X., Wang, S., & Xu, S. (2016). The effects of oil price shocks on output and inflation in China. Energy Economics, 53, 101–110. https://doi.org/10.1016/j.eneco.2014.11.017
There are 21 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Erkan Özata 0000-0001-6468-4040

Publication Date January 15, 2019
Submission Date October 1, 2018
Published in Issue Year 2019 Volume: 6 Issue: 1

Cite

APA Özata, E. (2019). Türkiye’de Petrol Fiyatlarından Enflasyona Asimetrik ve Doğrusal Olmayan Geçişkenlik. Optimum Ekonomi Ve Yönetim Bilimleri Dergisi, 6(1), 17-32. https://doi.org/10.17541/optimum.466150
AMA Özata E. Türkiye’de Petrol Fiyatlarından Enflasyona Asimetrik ve Doğrusal Olmayan Geçişkenlik. OJEMS. January 2019;6(1):17-32. doi:10.17541/optimum.466150
Chicago Özata, Erkan. “Türkiye’de Petrol Fiyatlarından Enflasyona Asimetrik Ve Doğrusal Olmayan Geçişkenlik”. Optimum Ekonomi Ve Yönetim Bilimleri Dergisi 6, no. 1 (January 2019): 17-32. https://doi.org/10.17541/optimum.466150.
EndNote Özata E (January 1, 2019) Türkiye’de Petrol Fiyatlarından Enflasyona Asimetrik ve Doğrusal Olmayan Geçişkenlik. Optimum Ekonomi ve Yönetim Bilimleri Dergisi 6 1 17–32.
IEEE E. Özata, “Türkiye’de Petrol Fiyatlarından Enflasyona Asimetrik ve Doğrusal Olmayan Geçişkenlik”, OJEMS, vol. 6, no. 1, pp. 17–32, 2019, doi: 10.17541/optimum.466150.
ISNAD Özata, Erkan. “Türkiye’de Petrol Fiyatlarından Enflasyona Asimetrik Ve Doğrusal Olmayan Geçişkenlik”. Optimum Ekonomi ve Yönetim Bilimleri Dergisi 6/1 (January 2019), 17-32. https://doi.org/10.17541/optimum.466150.
JAMA Özata E. Türkiye’de Petrol Fiyatlarından Enflasyona Asimetrik ve Doğrusal Olmayan Geçişkenlik. OJEMS. 2019;6:17–32.
MLA Özata, Erkan. “Türkiye’de Petrol Fiyatlarından Enflasyona Asimetrik Ve Doğrusal Olmayan Geçişkenlik”. Optimum Ekonomi Ve Yönetim Bilimleri Dergisi, vol. 6, no. 1, 2019, pp. 17-32, doi:10.17541/optimum.466150.
Vancouver Özata E. Türkiye’de Petrol Fiyatlarından Enflasyona Asimetrik ve Doğrusal Olmayan Geçişkenlik. OJEMS. 2019;6(1):17-32.

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