Mehmet BAYRAMOĞLU, Arzu BAYRAMOĞLU, Mehmet ERGÜN

DÖVİZ KURU VE PETROL FİYATLARI ARASINDAKİ İLİŞKİNİN ORTALAMADA VE VARYANSTA NEDENSELLİK TESTİ İLE ANALİZİ

Bu çalışmada, Euro/Dolar kuru ile petrol fiyatları arasındaki nedensellik ilişkisi ortalamada ve varyansta nedensellik testleri ile analiz edilmiştir. Hacker-Hatemi-J (2006) tarafından geliştirilen Bootstrap temelli Toda- Yamamoto nedensellik testine göre döviz kuru ile petrol fiyatı arasında doğrusal bir nedensellik ilişkisi mevcut değildir. Hatemi-J (2012) tarafından geliştirilen asimetrik nedensellik test bulgularına göre ise petrol fiyatındaki negatif şoklardan döviz kurundaki pozitif şoklara doğru ve döviz kurundaki pozitif şoklardan petrol fiyatındaki negatif şoklara doğru nedensellik tespit edilmiştir. Böylece petrol fiyatı ve Euro/Dolar kurunun asimetrik olarak zıt yönlü hareket ettiği sonucuna varılmıştır. Döviz kuru varyansı ile petrol fiyatı varyansı arasındaki nedenselliğin incelendiği Hafner-Herwartz varyans nedensellik test bulguları ise petrol fiyatındaki volatiliteden Euro/Dolar kurundaki volatiliteye doğru nedenselliğe işaret etmektedir.

ASYMMETRIC CAUSALITY TEST IN MEAN AND IN VARIANCE OF EXCHANGE RATE AND OIL PRICES

In this study, the causality relationship between Euro / Dollar exchange rate and oil prices was analyzed by causality tests on average and variance. According to the Toda-Yamamoto causality test based on Bootstrap developed by Hacker-Hatemi-J (2006), there is no linear causality between exchange rate and oil price. According to the Hatemi-J (2012) asymmetric causality test findings, causality was determined from negative shocks in oil prices to positive shocks in exchange rates, and from positive shocks in exchange rate to negative shocks in oil prices. Thus, it is concluded that the oil price and Euro/dollar exchange rate move asymmetrically opposite direction. The Hafner-Herwartz variance causality test findings, which examine the causality between exchange rate variance and oil price variance, point to causality from volatility in oil price to volatility in Euro / Dollar exchange rate.

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