An asymmetric analysis of the relationship between oil prices and output: The case of Turkey

Basit Öğe Kaydı
dc.contributor.authorCatik, A. Nazif
dc.contributor.authorOnder, A. Ozlem
dc.date.accessioned2019-10-27T21:51:57Z
dc.date.available2019-10-27T21:51:57Z
dc.date.issued2013
dc.departmentEge Üniversitesien_US
dc.description.abstractIn this paper we analyze the asymmetric impact of oil price changes on the economic activity in Turkey. In contrast to previous studies on Turkey, the existence of an asymmetric relationship between economic activity and oil prices is investigated by regime-dependent impulse response functions and forecast error variance decompositions based on a multivariate two-regime Threshold VAR (TVAR) model. Our analysis suggests that the relationship between oil prices and macroeconomic activity is nonlinear and exhibits an asymmetric pattern: oil price changes have a significant effect on inflation and output when the change exceeds a certain threshold level. The lower response of macroeconomic variables to oil price shocks in the low oil price change regime also indicates that only the shocks exceeding the optimal threshold level are able to create a contraction in the economic activity. (C) 2013 Elsevier B.V. All rights reserved.en_US
dc.identifier.doi10.1016/j.econmod.2013.06.004
dc.identifier.endpage892en_US
dc.identifier.issn0264-9993
dc.identifier.issn0264-9993en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.startpage884en_US
dc.identifier.urihttps://doi.org/10.1016/j.econmod.2013.06.004
dc.identifier.urihttps://hdl.handle.net/11454/47411
dc.identifier.volume33en_US
dc.identifier.wosWOS:000323798100100en_US
dc.identifier.wosqualityQ3en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherElsevier Science Bven_US
dc.relation.ispartofEconomic Modellingen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectOutputen_US
dc.subjectOil shocksen_US
dc.subjectInflationen_US
dc.subjectThreshold VAR modelen_US
dc.titleAn asymmetric analysis of the relationship between oil prices and output: The case of Turkeyen_US
dc.typeArticleen_US

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