REEL DÖVİZ KURU VE PETROL FİYATLARI İLİŞKİSİNDE ASİMETRİ: AZERBAYCAN ÖRNEĞİNDE BİR İNCELEME

Azerbaycan temelde petrol ve doğalgaz tedarikçisi bir ülke olduğundan dolayı bu ülke için reel döviz kurunun dünya petrol fiyatlarına önemli derecede duyarlı olması beklenir. Diğer yandan, birçok iktisadi değişken arasındaki ilişkide olduğu gibi petrol fiyatında da yükseliş ve düşüşlerin reel döviz kurunu farklı derecede etkilemesi daha olasıdır. Ayrıca, reel döviz kuru petrol fiyatının ancak belirli bir düzeyin üzerinde olan değişmelerine de uyum gösterebilir. Bu çalışmada, Ocak 1995 ile Eylül 2017 dönemine ait aylık veri kullanılarak Azerbaycan için reel döviz kuru ve dünya reel petrol fiyatları ilişkisi incelenmiştir. Bunun için değişkenler arasında asimetrik uyarlamayı da dikkate alan Enders ve Siklos (2001) tarafından önerilen TAR ve MTAR koentegrasyon yöntemleri kullanılmıştır. Uygulanan koentegrasyon testi reel döviz kurunun reel petrol fiyatlarına asimetrik şekilde uyarlanmasını destekleyici zayıf bulgular sunmuştur.

Anahtar Kelimeler:

Reel Döviz Kuru, Reel Petrol Fiyatları, Asimetrik Koentegrasyon, Azerbaycan

ASYMMETRY IN REAL EXCHANGE RATE AND OIL PRICES RELATIONSHIP: AN ANALYSIS FOR AZERBAIJAN

Azerbaijan is basically an oil and natural gas supplier. Therefore, the real exchange rate of this country is expected to be substantially sensitive to world oil prices. On the other hand, as in the relationship between many economic variables, the effect of oil price changes on real exchange rate may differ in price increase and decrease cases. In addition, oil price changes but only above a certain level can lead to real exchange rate adjustment. Using monthly data for the period from January 1995 to September 2017 this study investigates relationship between Azerbaijan’s manat real exchange rate and real world oil prices. For this purpose, in analyses TAR and MTAR cointegration methods that allow for long run asymmetric adjustment and proposed by Enders and Siklos (2001) are used. The findings of cointegration analyses present weak supports in favour of asymmetric adjustment of real exchange rate to real oil prices.

Keywords:

Real Exchange Rate, Real Oil Prices, Asymmetric Cointegration, Azerbaijan,

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