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Discerning Granger-causal chain between oil prices, exchange rates and inflation rates: Evidence from Turkey

Yusuf Ensar Citak and Abul Masih

MPRA Paper from University Library of Munich, Germany

Abstract: The purpose of this study is to investigate the Granger-causal relationship between oil prices, exchange rates and inflation rates using Turkey as a case study. Revealing this relationship will give us a roadmap to cure fragile Turkish economy. Standard time-series approaches are used to investigate this relation. Our empirical findings tend to indicate that there is a long run relationship between these variables and that the CPI appears to be the variable leading exchange rate and oil prices. The results are plausible and have strong policy implications.

Keywords: Oil Price; Exchange Rate; CPI; PPI; Turkey; cointegration; exogeneity; endogeneity (search for similar items in EconPapers)
JEL-codes: C58 E44 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ara, nep-cwa, nep-dcm, nep-ene, nep-mac and nep-mon
Date: 2017-05-12
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