INDUSTRIAL PRODUCTION INDEX - CRUDE OIL PRICE NEXUS: RUSSIA, KAZAKHSTAN AND AZERBAIJAN
Fatih Kaplan and
Ayşe E. Ünal
Economic Annals, 2020, vol. 65, issue 227, 119 - 142
The study aims to examine the causality between industrial produc-tion index and crude oil price for Rus-sia, Kazakhstan and Azerbaijan by using Frequency Domain Causality Analysis. For this purpose, the monthly data of the industrial production index and Brent oil price data over the period 1993-2019 are used. The Frequency Domain Causality Analysis suggests that the uni-directional causality relationship runs from oil prices to industrial production index is valid in the medium run for Russia and Azerbaijan and in the short run for Kazakhstan. How-ever, there is no uni-directional causality linkage between oil prices and industrial production index in the long run for any of the countries. We hope to contribute to the literature by using frequency-domain cau-sality test which examines the interrelation of crude oil prices on industrial production with the periodicity in these countries. The finding of this study is expected to serve as a tool for industrial production policy.
Keywords: oil prices; industrial pro-duction index; frequency domain causal-ity; Russia; Kazakhstan; Azerbaijan (search for similar items in EconPapers)
JEL-codes: C32 F41 P20 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:beo:journl:v:65:y:2020:i:227:p:119-142
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