ASYMMETRY IN REAL EXCHANGE RATE AND OIL PRICES RELATIONSHIP: AN ANALYSIS FOR AZERBAIJAN

Year 2018, Prof. Dr. Harun TERZI Special Issue, 113 - 126, 19.09.2018

Seymur Ağazade

https://doi.org/10.18092/ulikidince.441278

Cited By: 4

Abstract

Azerbaijan is basically
an oil and natural gas supplier. Therefore, the real exchange rate of this
country is expected to be substantially sensitive to world oil prices. On the
other hand, as in the relationship between many economic variables, the effect
of oil price changes on real exchange rate may differ in price increase and
decrease cases. In addition, oil price changes but only above a certain level
can lead to real exchange rate adjustment. Using monthly data for the period
from January 1995 to September 2017 this study investigates relationship
between Azerbaijan’s manat real exchange rate and real world oil prices. For
this purpose, in analyses TAR and MTAR cointegration methods that allow for
long run asymmetric adjustment and proposed by Enders and Siklos (2001) are
used. The findings of cointegration analyses present weak supports in favour of
asymmetric adjustment of real exchange rate to real oil prices.

Keywords

Real Exchange Rate, Real Oil Prices, Asymmetric Cointegration, Azerbaijan

REEL DÖVİZ KURU VE PETROL FİYATLARI İLİŞKİSİNDE ASİMETRİ: AZERBAYCAN ÖRNEĞİNDE BİR İNCELEME

Abstract

Azerbaycan temelde petrol ve doğalgaz tedarikçisi
bir ülke olduğundan dolayı bu ülke için reel döviz kurunun dünya petrol
fiyatlarına önemli derecede duyarlı olması beklenir. Diğer yandan, birçok
iktisadi değişken arasındaki ilişkide olduğu gibi petrol fiyatında da yükseliş
ve düşüşlerin reel döviz kurunu farklı derecede etkilemesi daha olasıdır. Ayrıca,
reel döviz kuru petrol fiyatının ancak belirli bir düzeyin üzerinde olan değişmelerine
de uyum gösterebilir. Bu çalışmada, Ocak 1995 ile Eylül 2017 dönemine ait aylık
veri kullanılarak Azerbaycan için reel döviz kuru ve dünya reel petrol
fiyatları ilişkisi incelenmiştir. Bunun için değişkenler arasında asimetrik uyarlamayı
da dikkate alan Enders ve Siklos (2001) tarafından önerilen TAR ve MTAR koentegrasyon
yöntemleri kullanılmıştır. Uygulanan koentegrasyon testi reel döviz kurunun
reel petrol fiyatlarına asimetrik şekilde uyarlanmasını destekleyici zayıf bulgular
sunmuştur.

Keywords

Reel Döviz Kuru, Reel Petrol Fiyatları, Asimetrik Koentegrasyon, Azerbaycan

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