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The impacts of oil price shocks in Turkey: sectoral evidence from the FAVAR approach

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Abstract

This paper investigates the effects of crude oil price shocks on the Turkish economy from 2005:01 to 2018:04 using a relatively new technique: the factor-augmented vector autoregressive (FAVAR) approach. The findings indicate the importance of crude oil prices to inflation, sectoral growth, and monetary policy. The main results of the impulse response analyses are as follows: (1) Oil price shocks did not explain changes in industrial production growth or its subsectors; (2) the responses of different price indices to positive oil price shocks are statistically significant and persistent. The largest number of price increases occurs in the transportation and food and beverage sectors; (3) monetary policy does not respond to oil price shocks. One can claim that the interest rate does not respond to oil price and allow the prices to adjust. Afterward, the price adjustment neutralizes the production effects of the oil price shocks.

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Notes

  1. See Brown and Yücel (2002) for detailed theoretical approaches concerning the effects of oil price changes on economies.

  2. Test results are available from the authors upon request.

  3. A lag length of five ensures the whiteness of the residuals. The results of the LM and heteroskedasticity tests are available upon request.

  4. We used the first difference of the industrial production, real effective exchange rate, and interest rate to achieve the stationarity.

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Acknowledgements

We would like to thank editor and the anonymous reviewers for their constructive comments and suggestions on the earlier draft of this manuscript. The reviews contributed to the improvement in the quality of the article.

Author information

Authors and Affiliations

  1. FEAS, Pamukkale University, Denizli, Turkey

    Uğur Akkoç

  2. Faculty of Political Sciences, Ankara University, 06590, Ankara, Turkey

    Anıl Akçağlayan

  3. Faculty of Political Sciences, Ankara Yıldırım Beyazıt University, Ankara, Turkey

    Gamze Kargın Akkoç

Authors
  1. Uğur Akkoç
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  2. Anıl Akçağlayan
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Correspondence to Uğur Akkoç.

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Appendix A. Description of the series

Appendix A. Description of the series

 

Series

ID

Unit

Seasonally Adjusted

Transformation

Slow

Production Index

1

Total Industry

TP.SANAYREV4.Y1

Index

Y

2

S

2

Intermediate Goods

TP.SANAYREV4.Y2

Index

Y

2

S

3

Durable Consumer Goods

TP.SANAYREV4.Y3

Index

Y

2

S

4

Nondurable Consumer Goods

TP.SANAYREV4.Y4

Index

Y

2

S

5

Energy

TP.SANAYREV4.Y5

Index

Y

2

S

6

Capital Goods

TP.SANAYREV4.Y6

Index

Y

2

S

7

Mining and Quarrying

TP.SANAYREV4.Y11

Index

Y

2

S

8

Mining of Coal and Lignite

TP.SANAYREV4.Y12

Index

Y

2

S

9

Extraction of Crude Petroleum and Natural Gas

TP.SANAYREV4.Y13

Index

Y

2

S

10

Mining of Metal Ores

TP.SANAYREV4.Y14

Index

Y

2

S

11

Other Mining

TP.SANAYREV4.Y15

Index

Y

2

S

12

Manufacturing

TP.SANAYREV4.Y16

Index

Y

2

S

13

Manufacture of Food Products

TP.SANAYREV4.Y17

Index

Y

2

S

14

Manufacture of Beverages

TP.SANAYREV4.Y18

Index

Y

2

S

15

Manufacture of Tobacco Products

TP.SANAYREV4.Y19

Index

Y

2

S

16

Manufacture of Textiles

TP.SANAYREV4.Y20

Index

Y

2

S

17

Manufacture of Clothing Apparel

TP.SANAYREV4.Y21

Index

Y

2

S

18

Manufacture of Leather

TP.SANAYREV4.Y22

Index

Y

2

S

19

Manufacture of Wood and Products

TP.SANAYREV4.Y23

Index

Y

2

S

20

Manufacture of Paper and Paper Products

TP.SANAYREV4.Y24

Index

Y

2

S

21

Printing and Reproduction of Recorded Media

TP.SANAYREV4.Y25

Index

Y

2

S

22

Manufacture of Coke and Refined Petroleum Products

TP.SANAYREV4.Y26

Index

Y

2

S

23

Manufacture of Chemicals and Chemical Products

TP.SANAYREV4.Y27

Index

Y

2

S

24

Basic Pharmaceutical Products and Pharmaceutical Preparations

TP.SANAYREV4.Y28

Index

Y

2

S

25

Rubber and Plastic Products

TP.SANAYREV4.Y29

Index

Y

2

S

26

Other Nonmetallic Mineral Products

TP.SANAYREV4.Y30

Index

Y

2

S

27

Basic Metals

TP.SANAYREV4.Y31

Index

Y

2

S

28

Fabricated Metal Products

TP.SANAYREV4.Y32

Index

Y

2

S

29

Computer, Electronic, and Optical Products

TP.SANAYREV4.Y33

Index

Y

2

S

30

Electrical Equipment

TP.SANAYREV4.Y34

Index

Y

2

S

31

Machinery and Equipment N.E.C.

TP.SANAYREV4.Y35

Index

Y

2

S

32

Motor Vehicles, Trailers, and Semi-Trailers

TP.SANAYREV4.Y36

Index

Y

2

S

33

Other Transport Equipment

TP.SANAYREV4.Y37

Index

Y

2

S

34

Furniture

TP.SANAYREV4.Y38

Index

Y

2

S

35

Other Manufacturing

TP.SANAYREV4.Y39

Index

Y

2

S

36

Repair and İnstallation of Machinery and Equipment

TP.SANAYREV4.Y40

Index

Y

2

S

37

Electricity, Gas, Steam, and Air-Conditioning Supply

TP.SANAYREV4.Y41

Index

Y

2

S

Employment

38

Labor Force Participation

TP.TIG06

Percent

Y

2

S

39

Unemployment

TP.TIG07

Percent

Y

2

S

40

Non-agricultural Unemployment

TP.TIG08

Percent

Y

2

S

41

Employment

TP.TIG09

Percent

Y

2

S

Price Indices

42

CPI

TP.FG.J0

Percent

Y

2

S

43

Food and Non-Alcoholic Beverages

TP.FG.J01

Percent

Y

2

S

44

Alcoholic Beverages and Tobacco

TP.FG.J02

Percent

Y

2

S

45

Clothing and Footwear

TP.FG.J03

Percent

Y

2

S

46

Housing

TP.FG.J04

Percent

Y

2

S

47

Furnishings, Household Equipment

TP.FG.J05

Percent

Y

2

S

48

Health

TP.FG.J06

Percent

Y

2

S

49

Transport

TP.FG.J07

Percent

Y

2

S

50

Communications

TP.FG.J08

Percent

Y

2

S

51

Entertainment

TP.FG.J09

Percent

Y

2

S

52

Education

TP.FG.J10

Percent

Y

2

S

53

Hotels, Cafes and Restaurants

TP.FG.J11

Percent

Y

2

S

54

Miscellaneous Goods and Services

TP.FG.J12

Percent

Y

2

S

55

CPIA (Excluding Seasonal Products)

TP.FE.OKTG02

Percent

Y

2

S

56

CPIB (Excluding Unprocessed Food, Energy, Alcoholic Beverages, Tobacco, and Gold)

TP.FE.OKTG03

Percent

Y

2

S

57

CPIC (Excluding Energy, Food, and Non-Alcoholic Beverages, Alcoholic Beverages, Tobacco, and Gold)

TP.FE.OKTG04

Percent

Y

2

S

58

CPID (Excluding Unprocessed Food, Alcoholic Beverages, and Tobacco)

TP.FE.OKTG05

Percent

Y

2

S

59

PPI Domestic Producer Price Index

TP.TFYI01

Percent

Y

2

S

60

PPI Mining and Quarrying

TP.TFYI02

Percent

Y

2

S

61

PPI Manufacturing

TP.TFYI07

Percent

Y

2

S

62

PPI Electricity, Gas, Steam and Air-Conditioning

TP.TFYI31

Percent

Y

2

S

63

Crude Oil Price

Europe Brent Spot Price FOB

Dollars per Barrel

 

1

–

Exchange Rates

64

CPI-Based REER

TP.RK.T1.Y

Index

 

2

F

65

CPI Developing Countries-Based REER

TP.RK.T1.Y

Index

 

2

F

66

CPI Developed Countries-Based REER

TP.RK.T1.Y

Index

 

2

F

67

Domestic PPI-Based REER

TP.RK.U01.Y

Index

 

2

F

105

Dollar

TP.DK.USD.A

TL

 

2

F

106

Euro

TP.DK.EUR.A

TL

 

2

F

107

Sterling

TP.DK.GBP.A

TL

 

2

F

108

Japanese Yen

TP.DK.JPY.A

TL

 

2

F

109

Norwegian Crone

TP.DK.NOK.A

TL

 

2

F

110

Canadian Dollar

TP.DK.CAN.A

TL

 

2

F

111

Swiss Franc

TP.DK.CHF.A

TL

 

2

F

112

Danish Crone

TP.DK.DKK.A

TL

 

2

F

113

S. Arabian Riyal

TP.DK.SAR.A

TL

 

2

F

114

Swedish Crone

TP.DK.SEK.A

TL

 

2

F

Stock Market

68

BIST-100

TP.MK.F.BILESIK

Index

 

2

F

69

BIST-100 Services

TP.MK.F.HIZMET

Index

 

2

F

70

BIST-100 Financial

TP.MK.F.MALI

Index

 

2

F

71

BIST-100 Industrials

TP.MK.F.SINAI

Index

 

2

F

72

BIST-100 Technology

TP.MK.F.TEKNOLOJI

Index

 

2

F

Money Market

73

Real M1

TP.PR.ARZ01

TL

 

2

F

74

Real M2

TP.PR.ARZ13

TL

 

2

F

75

Real M3

TP.PR.ARZ22

TL

 

2

F

84

Personal Credit Rate

TP.KTF10

Percent

 

1

F

85

Vehicle Credit Rate

TP.KTF11

Percent

 

1

F

86

Housing Credit Rate

TP.KTF12

Percent

 

1

F

87

Commercial Credit Rate

TP.KTF17

Percent

 

1

F

88

Up to 1-Month Deposit Rate

TP.TRY.MT01

Percent

 

1

F

89

Up to 3-Month Deposit Rate

TP.TRY.MT02

Percent

 

1

F

90

Up to 6-Month Deposit Rate

TP.TRY.MT03

Percent

 

1

F

91

Up to 1-Year Deposit Rate

TP.TRY.MT04

Percent

 

1

F

92

1-Year and More Deposit Rate

TP.TRY.MT05

Percent

 

1

F

93

Reserve Requirement Ratio (Up to 1-Month Deposit)

RR1*

Percent

 

1

F

94

Reserve Requirement Ratio (Up to 3-Month Deposit)

RR3*

Percent

 

1

F

95

Reserve Requirement Ratio (Foreign Currency Deposit)

RRF*

Percent

 

1

F

96

Overnight Borrow Rate

ONB*

Percent

 

1

F

97

Overnight Lending Rate

ONL*

Percent

 

1

F

98

Late Liquidity Borrow

LONB*

Percent

 

1

F

99

Late Liquidity Lending

LONL*

Percent

 

1

F

100

Rediscount Rate

RI1*

Percent

 

1

F

101

Advance Interest

RI2*

Percent

 

1

F

102

CB Money

TP.AB.A15

TL

 

2

F

103

Reserve Money

TP.AB.A16

Percent

 

2

F

104

Interbank ON Weighted Interest Rate

ON

Percent

  

F

Foreign Trade

76

Intermediate Goods Exports

TP.DT.ARA.IH.B

TL

Y

2

S

77

Intermediate Goods Imports

TP.DT.ARA.IT.B

TL

Y

2

S

78

Total Exports

TP.DT.GEN.IH.B

TL

Y

2

S

79

Total Imports

TP.DT.GEN.IT.B

TL

Y

2

S

80

Capital Goods Exports

TP.DT.SER.IH.B

TL

Y

2

S

81

Capital Goods Imports

TP.DT.SER.IT.B

TL

Y

2

S

82

Consumption Goods Exports

TP.DT.TUK.IH.B

TL

Y

2

S

83

Consumption Goods Imports

TP.DT.TUK.IT.B

TL

Y

2

S

115

Export Unit Index

TP.DT.IH.FIY.D01.2010

Index

 

2

S

116

Capital Goods Export Unit Index

TP.DT.IH.FIY.D02.2010

Index

 

2

S

117

Intermediate Goods Export Unit Index

TP.DT.IH.FIY.D05.2010

Index

 

2

S

118

Consumption Goods Export Unit Index

TP.DT.IH.FIY.D12.2010

Index

 

2

S

119

Manufacture Export Unit Index

TP.DT.IH.FIY.F08.2010

Index

 

2

S

120

Export Volume Index

TP.DT.IH.MIK.D01.2010

Index

 

2

S

121

Capital Goods Export Volume Index

TP.DT.IH.MIK.D02.2010

Index

 

2

S

122

Intermediate Goods Export Volume Index

TP.DT.IH.MIK.D05.2010

Index

 

2

S

123

Consumption Goods Export Volume Index

TP.DT.IH.MIK.D12.2010

Index

 

2

S

124

Manufacture Export Volume Index

TP.DT.IH.MIK.F08.2010

Index

 

2

S

125

Imports Unit Index

TP.DT.IT.FIY.D01.2010

Index

 

2

S

126

Capital Goods Imports Unit Index

TP.DT.IT.FIY.D02.2010

Index

 

2

S

127

Intermediate Goods Imports Unit Index

TP.DT.IT.FIY.D04.2010

Index

 

2

S

128

Consumption Goods Imports Unit Index

TP.DT.IT.FIY.D13.2010

Index

 

2

S

129

Manufacture Imports Unit Index

TP.DT.IT.FIY.F11.2010

Index

 

2

S

130

Imports Volume Index

TP.DT.IT.MIK.D01.2010

Index

 

2

S

131

Capital Goods Imports Volume Index

TP.DT.IT.MIK.D02.2010

Index

 

2

S

132

Intermediate Goods Imports Volume Index

TP.DT.IT.MIK.D04.2010

Index

 

2

S

133

Consumption Goods Imports Volume Index

TP.DT.IT.MIK.D13.2010

Index

 

2

S

134

Real Sector Confidence Index

TP.GY1.N2

Index

Y

2

S

  1. Abbreviations and codes in the table about the transformations are: Y: yes; N: no; 1: no transformation; 2: first differences in the logarithms; S: slow; F: fast

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Akkoç, U., Akçağlayan, A. & Kargın Akkoç, G. The impacts of oil price shocks in Turkey: sectoral evidence from the FAVAR approach. Econ Change Restruct 54, 1147–1171 (2021). https://doi.org/10.1007/s10644-020-09295-4

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  • DOI: https://doi.org/10.1007/s10644-020-09295-4

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