Discerning Granger-causal chain between oil prices, exchange rates and inflation rates: Evidence from Turkey

Citak, Yusuf Ensar and Masih, Mansur (2017): Discerning Granger-causal chain between oil prices, exchange rates and inflation rates: Evidence from Turkey.

Abstract

The purpose of this study is to investigate the Granger-causal relationship between oil prices, exchange rates and inflation rates using Turkey as a case study. Revealing this relationship will give us a roadmap to cure fragile Turkish economy. Standard time-series approaches are used to investigate this relation. Our empirical findings tend to indicate that there is a long run relationship between these variables and that the CPI appears to be the variable leading exchange rate and oil prices. The results are plausible and have strong policy implications.

• Item Type: MPRA Paper
• Language: English
• Keywords: Oil Price, Exchange Rate, CPI, PPI, Turkey, cointegration, exogeneity, endogeneity
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics; E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

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