Is There Any Asymmetry Between Fuel and Crude Oil Prices in Turkey?

17 Pages Posted: 22 Dec 2017

Date Written: September 12, 2014

Abstract

This article examines the relationship between crude oil and fuel prices in Turkey covering the period January 1987 and October 2013. Regime-dependent responses and variance decompositions derived from the TVAR models confirm the asymmetry in the price adjustment process: Diesel and gasoline prices respond more aggressively to oil price increases than to decreases. The results further indicate that exchange rate movements are more important than the change in crude oil prices in the explanation of asymmetric price transmission mechanism.

Keywords: Oil and Fuel Prices, Threshold VAR, Exchange Rate, Asymmetric Price Adjustment

JEL Classification: C32, E31

Suggested Citation

Catik, Abdurrahman Nazif, Is There Any Asymmetry Between Fuel and Crude Oil Prices in Turkey? (September 12, 2014). Available at SSRN: https://ssrn.com/abstract=3089645 or http://dx.doi.org/10.2139/ssrn.3089645

Abdurrahman Nazif Catik (Contact Author)

Ege University Department of Economics ( email )

Bornova, Izmir 35100
Turkey

HOME PAGE: http://akademik.ege.edu.tr/?q=en/bilgiler&id=3270

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