HAM PETROL FİYATLARI VE DÖVİZ KURU: MARKOV-GEÇİŞ HATA DÜZELTME MODELİ

Petrol piyasasında ki olağanüstü fiyat dalgalanmaları küresel ekonomi üzerinde etkili olmaktadır.  Bretton Woods’un çöküşüyle birlikte petrol fiyatları ve döviz kurlarında uzun süreli salınımlar meydana gelmiştir.  Petrol fiyat şokları dolayısıyla enerji piyasasında meydana gelen dengesizlikteki artış döviz kurlarına yönelik ilgiyi arttırmaktadır. Petrol arzı şoklarının ekonomi üzerindeki etkilerinin genellikle dış kaynaklı olması ve fiyatlardaki aşırı değişimler hem petrol ithal/ihraç eden ülkelerdeki politika üreticilerini hem de uluslararası yatırımcıları etkilemektedir. Krizin kapsamı ve süresi ile ilgili belirsizlik arttıkça, petrol fiyatlarındaki dalgalanmaların yükselen piyasalar üzerindeki etkilerinin incelenmesi önemli hale gelmektedir. Ekonomik büyümenin enerji büyümesiyle ilişkili olması nedeniyle gelişmekte olan ülkeler petrol fiyatlarındaki değişimlere karşı daha korunmasızdır. Gelişmiş ekonomiler ve petrol ihraç eden ülkeler genellikle literatürde incelenmesine rağmen, gelişmekte olan ülkelerin kuruna odaklanarak petrol fiyatları ile döviz kuru arasındaki doğrusal olmayan ilişkiyi açıklamaya çalışan çok fazla çalışma bulunmamaktadır. Makale kapsamında, 1980:01-2017:06 aylık dönemleri için ham petrol fiyat seviyeleri ve döviz kuru arasındaki ilişki Markov geçiş vektör hata düzeltme modeli çerçevesinde incelenmektedir. 

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