Is There Any Asymmetry Between Fuel and Crude Oil Prices in Turkey?
17 Pages Posted: 22 Dec 2017
Date Written: September 12, 2014
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
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