HAM PETROL FİYATLARI VE DÖVİZ KURU: MARKOV-GEÇİŞ HATA DÜZELTME MODELİ

Year 2018, Volume: 3 Issue: 1, 339 - 347, 31.03.2018

Mehmet Kenan Terzioğlu

https://doi.org/10.29106/fesa.405987

Cited By: 2

Abstract

Petrol piyasasında ki olağanüstü fiyat dalgalanmaları küresel ekonomi
üzerinde etkili olmaktadır.  Bretton Woods’un
çöküşüyle birlikte petrol fiyatları ve döviz kurlarında uzun süreli salınımlar meydana
gelmiştir.  Petrol
fiyat şokları dolayısıyla enerji piyasasında meydana gelen dengesizlikteki
artış döviz kurlarına yönelik ilgiyi arttırmaktadır. Petrol arzı
şoklarının ekonomi üzerindeki etkilerinin genellikle dış kaynaklı olması ve
fiyatlardaki aşırı değişimler hem petrol
ithal/ihraç eden ülkelerdeki politika üreticilerini hem de uluslararası
yatırımcıları etkilemektedir. Krizin kapsamı ve süresi
ile ilgili belirsizlik arttıkça, petrol fiyatlarındaki dalgalanmaların yükselen
piyasalar üzerindeki etkilerinin incelenmesi önemli hale gelmektedir. Ekonomik
büyümenin enerji büyümesiyle ilişkili olması nedeniyle gelişmekte olan ülkeler
petrol fiyatlarındaki değişimlere karşı daha korunmasızdır. Gelişmiş ekonomiler
ve petrol ihraç eden ülkeler genellikle literatürde incelenmesine rağmen, gelişmekte olan
ülkelerin kuruna odaklanarak petrol fiyatları ile döviz kuru arasındaki doğrusal
olmayan ilişkiyi açıklamaya çalışan çok fazla çalışma bulunmamaktadır. Makale
kapsamında, 1980:01-2017:06 aylık dönemleri için ham petrol fiyat seviyeleri ve
döviz kuru arasındaki ilişki Markov geçiş vektör hata düzeltme modeli
çerçevesinde incelenmektedir. 

Keywords

: Markov geçiş modeli, hata düzeltme, petrol fiyatları, döviz kuru

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