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OIL PRICES AND MACROECONOMIC VARIABLES IN A VAR MODEL: THE CASE OF TURKEY

Düz, Selin LU (2010) NEKM01 20101
Department of Economics
Abstract
This study analyzes the effects of real crude oil prices on the macroeconomic variables in Turkey by discussing the effects in the short run (3-6 months) and more persistent effects (2-5 years) on business cycles using Hodrick-Prescott filter method. There is an investigation about the relationship between world crude oil prices and real aggregate output, inflation, monetary aggregate, short term interest rate and nominal exchange rate of a small, open, oil importing economy, Turkey. The effects of real crude oil price on macroeconomic variables change for short run-mid run and oil price shocks have more persistent effect on business cycles. The analysis results reveal a negative relationship between oil price shocks and changes in real... (More)
This study analyzes the effects of real crude oil prices on the macroeconomic variables in Turkey by discussing the effects in the short run (3-6 months) and more persistent effects (2-5 years) on business cycles using Hodrick-Prescott filter method. There is an investigation about the relationship between world crude oil prices and real aggregate output, inflation, monetary aggregate, short term interest rate and nominal exchange rate of a small, open, oil importing economy, Turkey. The effects of real crude oil price on macroeconomic variables change for short run-mid run and oil price shocks have more persistent effect on business cycles. The analysis results reveal a negative relationship between oil price shocks and changes in real gross domestic product during 1987-2001. Further, the analysis shows that there is a positive relationship between changes in real crude oil price and changes in consumer price index, especially during 2002-2009. Even though Central Bank of the Republic of Turkey uses inflation targeting within these years, with significant increases in world oil prices after 2002, it seems plausible to observe that consumer price index responds to crude oil price increases. (Less)
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author
Düz, Selin LU
supervisor
organization
course
NEKM01 20101
year
type
H1 - Master's Degree (One Year)
subject
keywords
Oil price shock, Vector Autoregressive Model, Impulse Response, Turkey
language
English
id
1613014
date added to LUP
2010-06-18 14:22:26
date last changed
2010-06-18 14:22:26
@misc{1613014,
  abstract     = {This study analyzes the effects of real crude oil prices on the macroeconomic variables in Turkey by discussing the effects in the short run (3-6 months) and more persistent effects (2-5 years) on business cycles using Hodrick-Prescott filter method. There is an investigation about the relationship between world crude oil prices and real aggregate output, inflation, monetary aggregate, short term interest rate and nominal exchange rate of a small, open, oil importing economy, Turkey. The effects of real crude oil price on macroeconomic variables change for short run-mid run and oil price shocks have more persistent effect on business cycles. The analysis results reveal a negative relationship between oil price shocks and changes in real gross domestic product during 1987-2001. Further, the analysis shows that there is a positive relationship between changes in real crude oil price and changes in consumer price index, especially during 2002-2009. Even though Central Bank of the Republic of Turkey uses inflation targeting within these years, with significant increases in world oil prices after 2002, it seems plausible to observe that consumer price index responds to crude oil price increases.},
  author       = {Düz, Selin},
  keyword      = {Oil price shock,Vector Autoregressive Model,Impulse Response,Turkey},
  language     = {eng},
  note         = {Student Paper},
  title        = {OIL PRICES AND MACROECONOMIC VARIABLES IN A VAR MODEL: THE CASE OF TURKEY},
  year         = {2010},
}