SavedAdd your journal

Journals / EKOIST Journal of Econometrics and Statistics / 2017 / Sayı: 27

Analysing the relationship between oil prices and economic growth: A fourier approach

PETROL FİYATLARI İLE EKONOMİK BÜYÜME ARASINDAKİ İLİŞKİNİN İNCELENMESİ: FOURİER YAKLAŞIMI

Veli YILANCI
Pages
51–67
Publication Date
2017-11-30
DOI
—
🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.
DergiPark Record ↗
✨

AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

The results show that there is no long-run relationship between economic growth and oil prices in Turkey.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:In this study, the existence of a long-term relationship between economic growth and oil prices is tested for Turkey over the period 1990-2016 using monthly data.
📊
Key Findings & Data:For this purpose, the stationarity of the variables tested by the Fourier stationarity test, and the Fourier cointegration test used to test the existence of a long-run relationship between the variables since both the variables found to be stationary at the first differences.
💡
Conclusion & Impact:The results show that there is no long-run relationship between economic growth and oil prices in Turkey.
🔬Design:Research Article
📍Scope:2016 Verileri
⚙️Variables:Fourier durağanlık · Fourier eşbütünleşme · Petrol fiyatları

Abstract

In this study, the existence of a long-term relationship between economic growth and oil prices is tested for Turkey over the period 1990-2016 using monthly data. For this purpose, the stationarity of the variables tested by the Fourier stationarity test, and the Fourier cointegration test used to test the existence of a long-run relationship between the variables since both the variables found to be stationary at the first differences. The results show that there is no long-run relationship between economic growth and oil prices in Turkey.

Özet

Bu çalışmada, Türkiye’de ekonomik büyüme ile petrol fiyatları arasındaki uzun dönemli ilişkinin varlığı 1990-2016 arası aylık verilerle test edilmiştir. Bu amaçla öncelikle değişkenlerin durağanlığı Fourier durağanlık testiyle sınanmış, fark durağan bulunan değişkenlerin arasındaki uzun dönemli ilişkinin varlığını sınamak için ise Fourier eşbütünleşme testi kullanılmıştır. Elde edilen sonuçlar, Türkiye’de ekonomik büyüme ile petrol fiyatları arasında uzun dönemli bir ilişki olmadığını ortaya koymaktadır.

🔖

Cite This Article

YILANCI, V. (2017). Analysing the relationship between oil prices and economic growth: A fourier approach. EKOIST Journal of Econometrics and Statistics, Sayı: 27, 51–67. https://ajindex.com/articles/937382

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (17)

  1. Altıntaş, H. (2013). Türkiye’de petrol fiyatları, ihracat ve reel döviz kuru ilişkisi: ARDL sınır testi yaklaşımı ve dinamik nedensellik analizi, Uluslararası Yönetim İktisat ve İşletme Dergisi, 9(19), 1-30.
  2. Atay Polat, M. ve Sancar, C. (2015). Türkiye’de dış ticaret açığı ve petrol ithal fiyatları ilişkisi, Akademik Bakış Dergisi, 48, 555-567.
  3. Banerjee, A., Lumsdaine, R. L. ve Stock, J.H. (1992), Recursive and Sequential Tests of the Unit Root and Trend-Break Hypothesis: Theory and International Evidence, Journal of Business and Economic Statistics, 10, 271-287.
  4. Basher, S. A., Haug, A. A. ve Sadorsky, P. (2012). Oil prices, exchange rates and emerging stock markets, Energy Economics, 34, 227–240.
  5. Basher, S. A. ve Sadorsky, P. (2006). Oil Price Risk and Emerging Stock Markets, Global Finance Journal, 17(2), 224-251.
  6. Becker, R., Enders, W. ve Hurn, S. (2004). A general test for time dependence in parameters, Journal of Applied Econometrics, 19, 899-906.
  7. Becker, R., Enders, W. ve Lee, J. (2006). A stationarity test in the presence of an unknown number of smooth breaks, Journal of Time Series Analysis, 3(5): 381-409.
  8. Christiano, L.J. (1992).
  9. Searching for a Break in GNP, Journal of Business and Economic Statistics, 10, 237-249.
  10. Clemente, J., Montañés, A., ve Reyes, M. (1998). Testing for a unit root in variables with a double change in the mean, Economics Letters, 59, 175-182.
  11. Dickey, D.A. ve Fuller W.A. (1981), Distribution of the estimators for autoregressive time series with a unit root, Econometrica, 49, 1057-72.
  12. Engle, R. F. ve Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation and testing, Econometrica, 55 (2), 251–276.
  13. Gallant, R. (1981). On the bias in flexible functional form and an essentially unbiased form: the flexible fourier form, Journal of Econometrics, 15 (2), 211–245.
  14. Gonzalo J. (2010). The making of estimation of common long-memory components in cointegrated systems, Journal of Financial Econometrics, 8(2), 174–176.
  15. Gregory, A. W. ve Hansen, B.H. (1996). Residual-based tests for cointegration in models with regime shifts, Journal of Econometrics, 70(1), 99-126.
  16. Güler, S., Tunç, R. ve Orçun, Ç. (2010). Petrol Fiyat riski ve hisse senedi fiyatları arasındaki ilişkinin belirlenmesi: Türkiye’de enerji sektörü üzerinde bir uygulama, Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 24(4), 297-315.
  17. Hamilton, J.D. (1983). Oil and the macroeconomy since world war II, Journal of Political Economy, 91, 22