Dynamic Relationships between Oil Price, Inflation and Economic Growth: A VARMA, GARCH-in-mean, asymmetric BEKK Model for Turkey

Gurkan Bozma, Murat Akadg () and Rahman Aydin ()
Additional contact information
Murat Akadg: IÄŸdir University
Rahman Aydin: Ataturk University

Economics Bulletin, 2021, vol. 41, issue 3, 1266-1281

Abstract: In this research, we examine the relationships among economic growth, inflation, and oil prices using monthly data from the period 1990 to 2017 for Turkey. To reveal the relations we use multivariate VARMA, GARCH-in-Mean, asymmetric BEKK model. We present evidence that oil price uncertainty increases economic growth uncertainty and inflation uncertainty. Moreover, decreased average economic growth is involved with high inflation and oil price uncertainty. We also find that economic growth uncertainty is influenced by mostly inflation uncertainty instead of its own. In addition, we show that the Holland hypothesis is valid for Turkey.

Keywords: Oil Price Uncertainty; Inflation; Output; VARMA; GARCH-BEKK (search for similar items in EconPapers)
JEL-codes: C4 E3 (search for similar items in EconPapers)
Date: 2021-09-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2021/Volume41/EB-21-V41-I3-P107.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-21-00827

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().