ASYMMETRIC OIL PRICE AND EXCHANGE RATE PASS-THROUGH INTHE TURKISH OIL-GASOLINE MARKETS

SEKMEN T., TOPUZ S. G.

ROMANIAN JOURNAL OF ECONOMIC FORECASTING, cilt.24, sa.2, ss.74-93, 2021 (SSCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 24 Sayı: 2
  • Basım Tarihi: 2021
  • Dergi Adı: ROMANIAN JOURNAL OF ECONOMIC FORECASTING
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, EconLit
  • Sayfa Sayıları: ss.74-93
  • Anahtar Kelimeler: asymmetric effects, oil price, NARDL, exchange rate, RETAIL GASOLINE, CRUDE-OIL, UNITED-STATES, COINTEGRATION, ADJUSTMENT, TRANSMISSION, FEATHERS, ROCKETS, SEARCH, UK
  • Eskişehir Osmangazi Üniversitesi Adresli: Evet

Özet

In this study, we examine the asymmetric effects of crude oil prices and exchange rate on retail gasoline and diesel prices in Turkey during the period of 2005-2018. We use nonlinear autoregressive distributed lags (NARDL) model to explore the pass-through of crude oil prices and the exchange rate to the retail gasoline and diesel prices. Our findings suggest that the effect of crude oil prices on retail gasoline and diesel prices varies for the short and long term. We determine the asymmetric relationship between crude oil and retail prices, especially on short term. The positive and negative shocks to oil prices have an increasing and decreasing impact on retail prices, respectively, on long term. However, both positive and negative shocks to oil prices have an increasing effect on retail prices on short term. We also obtain that there is a short-term asymmetric relationship between the exchange rate and retail prices in the Brent and WTI models. These findings imply that the increase in crude oil prices is reflected to consumers more rapidly, especially on short term.