Asymmetric Frequency Domain Causality Analysis between Oil Prices and Inflation: Evidence from BRICS-T Countries

Year 2021, , 1090 - 1111, 29.07.2021

Hande Çalışkan , Tuğba Kantarcı , Emrah İsmail Çevik

https://doi.org/10.21547/jss.852358

Cited By: 2

Abstract

In this study, the presence of causality relation between oil price and inflation is examined for the BRICS-T (Brazil, Russia, India, China, South Africa, and Turkey) countries, which are known to have a high growth rate among global economies. These countries have an important position in the world both as a net oil exporter and as an importer. In this study, the causality relationship between the variables is examined by means of the frequency domain causality test suggested by Breitung and Candelon (2006). In addition, we employ asymmetric causality tests to determine the effect of positive and negative oil price shocks on inflation. Empirical results suggest that the causality relation between the oil price and inflation varies over the countries. The conventional Granger causality test results show that there is a causality relation from oil price to inflation in only China and South Africa. On the other hand, although positive oil price shocks are determined as Granger cause of inflation in Brazil, both positive and negative oil price shocks are Granger cause of inflation in Russia. We cannot determine any causal link between the variables in India and Turkey. Frequency domain Granger causality test results indicate that oil price is Granger cause of inflation in Russia, China, and South Africa. However, there is a causal link running from positive oil price shocks to inflation in the long-run in all countries except for India. On the other hand, negative oil price shocks are found to be Granger cause of inflation in all countries except for Brazil and Turkey.

Keywords

Oil Prices, Inflation, BRICS-T, Causality, Frequency Domain Causality Analysis

Petrol Fiyatları ve Enflasyon Arasında Frekans Alanında Asimetrik Nedensellik Analizi: BRICS-T Ülkeleri Üzerine Bir Uygulama

Abstract

Bu çalışmada küresel ekonomiler içerisinde hızla büyüdüğü bilinen BRICS-T ülkeleri (Brezilya, Rusya, Hindistan, Çin, Güney Afrika ve Türkiye) için petrol fiyatları ile enflasyon arasındaki nedensellik ilişkisi araştırılmıştır. Söz konusu ülkeler hem net petrol ihracatçısı hem de ithalatçı olarak dünyada önemli bir konuma sahiptir. Bu çalışmada ilgili değişkenler arasındaki nedensellik ilişkisi Breitung ve Candelon (2006) tarafından önerilen frekans alanındaki nedensellik testi ile incelenmiştir. Ayrıca pozitif ve negatif petrol fiyat şoklarının enflasyon üzerindeki etkisini belirlemek amacıyla asimetrik nedensellik testi yapılmıştır. Analiz sonuçları petrol fiyatları ile enflasyon arasındaki nedensellik ilişkisinin ülkelere göre farklılaştığını göstermektedir. Geleneksel Granger nedensellik testinde petrol fiyatlarının enflasyon üzerindeki asimetrik etkisini dikkate almadığımızda, sadece Çin ve Güney Afrika için nedensellik ilişkisi tespit edilmektedir. Diğer taraftan, Brezilya’da pozitif petrol fiyat şokunun enflasyonun Granger nedeni olduğu belirlenirken, Rusya’da pozitif ve negatif petrol fiyat şokundan enflasyona yönelik nedensellik ilişkisi bulunmuştur. Hindistan ve Türkiye için ise petrol fiyatları ile enflasyon arasında herhangi bir nedensellik ilişkisi bulunamamıştır. Frekans alanında nedensellik testi sonuçlarına göre, Rusya, Çin ve Güney Afrika’da petrol fiyatlarından enflasyon oranına yönelik nedensellik ilişkisi belirlenmiştir. Bununla birlikte, Hindistan dışındaki tüm ülkeler için pozitif petrol fiyat şokları uzun dönemde enflasyonun Granger nedeni olarak bulunmuştur. Diğer taraftan, Brezilya ve Türkiye dışında tüm ülkelerde negatif petrol fiyat şoklarından enflasyona yönelik nedensellik olduğu sonucuna ulaşılmıştır.

Keywords

Petrol Fiyatları, Enflasyon, BRICS-T, Nedensellik, Frekans Alanında Nedensellik

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