Asymmetric effects of oil prices on macroeconomic variables: A case study of Turkey

Fluctuations in markets, government and policy changes, endogenous or exogenous crises may cause important breakups in energy prices. The energy price shocks may affect the macroeconomic aggregates asymmetrically. According to literature, positive energy price shocks have larger effects than the negative energy price shocks. This paper aims to investigate the effects of unanticipated oil price changes on macroeconomic aggregates by employing Kilian and Vigfusson (2011) Asymmetric VAR methodology in Turkey. For this purpose, brent oil price as an energy price and GDP, CPI (2005=100), Non-Oil Import and Non-Oil Export as macro-economic variables are used for monthly or quarterly data for the period 1998 to 2011. According to results, the oil prices have asymmetric effects for Net Oil price Change on GDP, CPI and Non-Oil Export at one standart deviation shocks unlike employment level and Non-Oil Import. And also, when oil price increases, CPI also increases and the other variables decreases in long term. Key Words: 1. Asymmetric Effect 2. Oil Price 3. Macro Economy 4. Turkish Economy