Asymmetric Oil Price and Exchange Rate Pass-Through in the Turkish Oil-Gasoline Markets

Taner Sekmen () and Seher Gülşah Topuz ()
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Taner Sekmen: Eskisehir Osmangazi University, Faculty of Economics and Administrative Sciences, Department of Economics, 26040, Eskisehir, Turkey
Seher Gülşah Topuz: (Corresponding author) Eskisehir Osmangazi University, Faculty of Economics and Administrative Sciences, Department of Economics, 26040, Eskisehir, Turkey

Journal for Economic Forecasting, 2021, issue 2, 74-93

Abstract: In this study, we examine the asymmetric effects of crude oil prices and exchange rate on retail gasoline and diesel prices in Turkey during the period of 2005-2018. We use nonlinear autoregressive distributed lags (NARDL) model to explore the pass-through of crude oil prices and the exchange rate to the retail gasoline and diesel prices. Our findings suggest that the effect of crude oil prices on retail gasoline and diesel prices varies for the short and long term. We determine the asymmetric relationship between crude oil and retail prices, especially on short term. The positive and negative shocks to oil prices have an increasing and decreasing impact on retail prices, respectively, on long term. However, both positive and negative shocks to oil prices have an increasing effect on retail prices on short term. We also obtain that there is a short-term asymmetric relationship between the exchange rate and retail prices in the Brent and WTI models. These findings imply that the increase in crude oil prices is reflected to consumers more rapidly, especially on short term.

Keywords: asymmetric effects; oil price; NARDL; exchange rate (search for similar items in EconPapers)
JEL-codes: C22 E3 Q43 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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