THE RELATIONSHIP BETWEEN EXCHANGE RATE, OIL PRICES, AND FOREIGN DIRECT INVESTMENTS: AN ANALYSIS ON G7 COUNTRIES

Yıl 2023, Sayı: 65, 23 - 29, 31.08.2023

Hakan Bakkal

https://doi.org/10.18070/erciyesiibd.1209724

Öz

This study aims to examine the relationship between the exchange rate, oil prices and foreign direct investment. To the end, cointegration and causality relations between the variables are investigated with the data for the period of 1980-2019 for the G7 countries, which have the largest share in oil consumption and foreign direct capital inflows. In the study, it is used SOR unit root test, Fourier ADL cointegration and Fourier Granger causality tests developed in recent years and not need to know the form of the structural break beforehand. The findings indicate that there is a long-run relationship for Germany, France, Italy and Japan. Additionally, a causal links exist between oil prices and exchange rates, and between oil prices and foreign direct investment. There is the bidirectional causality between the real exchange rate and oil prices for Canada, the unidirectional causality from real exchange rate to oil prices for USA, and from oil price to real exchange rate for Germany. In France and England, a unidirectional relationship exists between oil prices and foreign direct investment. To relieve pressure on exchange rate volatility and production costs from oil price shocks, the dependence on oil should be reduced. In order to minimize the adverse impacts of oil shocks, it is important that countries implement strategies increasing the diversity of energy resources.

Anahtar Kelimeler

Exchange Rate, Foreign Direct Investments, Unit Root Test, FADL Cointegration Test, Fourier granger Casuality Test

DÖVİZ KURU, PETROL FİYATLARI VE DOĞRUDAN YABANCI SERMAYE YATIRIMLARI ARASINDAKİ İLİŞKİ: G7 ÜLKELERİ ÜZERİNE BİR ANALİZ

Öz

Bu çalışma döviz kuru, petrol fiyatları ve doğrudan yabancı sermaye yatırımları arasındaki ilişkiyi inceleme amacını taşımaktadır. Bu amaçla, petrol tüketiminde ve doğrudan yabancı sermaye
girişlerinde en büyük paya sahip G7 ülkeleri için 1980-2019 dönemine ait verilerle değişkenler arasında eşbütünleşme ve nedensellik ilişkileri araştırılmaktadır. Çalışmada son yıllarda geliştirilen, yapısal kırılmanın formuna ve önceden bilinmesine gerek duyulmayan SOR birim kök testi, Fourier ADL eşbütünleşme ve Fourier Granger nedensellik testleri kullanılmıştır. Elde edilen sonuçlar Almanya, Fransa, İtalya ve Japonya’da değişkenler arasında uzun dönemli bir ilişkiyi göstermektedir. Ayrıca, petrol fiyatları ile döviz kuru ve petrol fiyatları ile doğrudan yabancı yatırım arasında nedensellik ilişkileri mevcuttur. Kanada için reel döviz kuru ile petrol fiyatları arasında çift yönlü nedensellik varken, ABD için reel döviz kurundan petrol fiyatlarına doğru, Almanya için ise petrol fiyatından reel döviz kuruna doğru nedensellik bulunmaktadır. Fransa ve İngiltere’de ise petrol fiyatlarından doğrudan yabancı sermaye yatırımlarına doğru tek yönlü bir nedensellik bulunmaktadır. Petrol fiyat şoklarının yol açtığı döviz kurundaki oynaklık ve üretim maliyetleri üzerindeki baskıyı azaltmak için petrole olan bağımlılığın azaltılması gerekmektedir. Petrol fiyat şoklarının olumsuz etkilerini minimize etmede ülkelerin enerji kaynaklarının çeşitliliğini artırıcı stratejileri uygulaması önem taşımaktadır

Anahtar Kelimeler

Doğrudan Yabancı Sermaye Yatırımları, Döviz Kuru, Birim Kök Testi, FADL Eşbütünleşme Testi, Fourier Granger Nedensellik Testi

Kaynakça

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