Post -Sovyet Petrol İhraç Eden Ülkelerde Petrol Fiyatlarının Dövüz Kuru Haraketleri Üzerinde Etkisi (The Role of Oil Price in Exchange Rate Movements: Evidence from the Oil-Exporting Countries of the Former Soviet Union)

International Scientific and Practical Conference 26 - 27 October 2018 Baku Engineering University

14 Pages Posted: 30 Dec 2018

See all articles by Elchin Suleymanov

Elchin Suleymanov

Baku Engineering University - Department of Finance

Cihan Bulut

Vistula University - Faculty of Business and International Relations; Qafqaz University

Hasanov Fakhri

Qafqaz University - Center for Socio-Economic Research; George Washington University - Research Program on Forecasting; Institute of Cybernetics - Department of Modeling Socio-Economic Processes

Date Written: October 2018

Abstract

Turkish Abstract: Şüphesiz, petrol fiyatı gelişmekte olan petrol ihracatçı ülkelerin makroekonomik performansında büyük rol oynamaktadır. Bu bağlamda, döviz kuru, petrol fiyat dinamikleri temelinde bu ülkelerin araştırması gereken temel makroekonomik göstergelerden biridir. Çalışmamızın amacı, petrol fiyatının eski Sovyetler Birliği'nin petrol ihraç eden ülkelerinin döviz kuru üzerindeki etkisini incelemektir: Azerbaycan, Kazakistan ve Rusya ve elde edilen bulgulara dayanarak politika önerileri verilmiştir. Yirmi yıl boyunca, bu seçilmiş ülkelerin döviz kuru, petrol fiyatı, net yabancı varlıkları ve Balassa-Samuelson etkisine ilişkin yirmi yıllık verilere eş bütünleşme ve hata düzeltme yöntemini uygulanarak hesaplanılmıştır.. Araştirmada şu sorularına cevap vermeye çalışılmıştir: (a) Petrol fiyatı ile döviz kuru arasında uzun vadeli bir ilişki var mı? (b) Petrol fiyat dinamiğinin kısa vadede döviz kuru dalgalanmalarını etkileyip etkilemediği; (c) Kısa süreli dalgalanmalardan uzun dönemli denge yoluna doğru ayarlanma hızının büyüklüğü nedir? İlk sonuçlarımız, petrol fiyatının, ülkelerdeki teorik tahminler ve önceki çalışmalarla tutarlı olan döviz kuru hareketlerinin sürücülerinden biri olduğunu göstermektedir. Çalışmanın sonuçları, seçilen ülkelerdeki döviz kuru hareketlerinin anlaşılmasında yardımcı olmaktadır ve bu nedenle, özellikle son dönemde dünya piyasalarındaki petrol fiyatlarındaki yavaşlama ve söz konusu ülkelerdeki döviz kuru devalüasyonları açısından yararlı politika etkilerine sahiptir. Anahtar kelimeler.

English Abstract: Undoubtedly, oil price plays a great role in the macroeconomic performance of the oil-exporting developing countries. In this regard, exchange rate is one of the key macroeconomic indicators of these countries to investigate in the backdrop of oil price dynamics. The aim of our study is to examine the impact of the oil price on the exchange rate of oil-exporting countries of the former Soviet Union: Azerbaijan, Kazakhstan and Russia and to make policy suggestions based on the obtained findings. We apply co-integration and error correction method to the about two decades’ data of the exchange rate, oil price, net foreign assets and Balassa-Samuelson effect of these selected countries. We try to answer the research questions of: (a) Is there a long-run relationship between the oil price and exchange rate; (b) Whether oil price dynamics influences the exchange rate fluctuations in the short-run; (c) What is the magnitude of speed of adjustment from the shortrun fluctuations towards long-run equilibrium path. Our preliminary results show that oil price is one of the drives of exchange rate of movements in the countries, which is consistent with theoretical predictions and prior studies. Results of the study are helpful in understanding exchange rate movements in the selected countries and therefore, have useful policy implications especially for the recent period of oil price slowdown in world markets and exchange rates devaluations in the mentioned countries.

Note: Downloadable document is in Turkish.

Keywords: Exchange Rate, Oil Price, Oil-Exporting Countries of the Former Soviet Union, Döviz kuru, Petrol Fiyatı, Post Sovyet Petrol İhrac Eden Ülkeler

JEL Classification: Q47, E42, E31

Suggested Citation

Suleymanov, Elchin and Bulut, Cihan and Hasanov, Fakhri, Post -Sovyet Petrol İhraç Eden Ülkelerde Petrol Fiyatlarının Dövüz Kuru Haraketleri Üzerinde Etkisi (The Role of Oil Price in Exchange Rate Movements: Evidence from the Oil-Exporting Countries of the Former Soviet Union) (October 2018). International Scientific and Practical Conference 26 - 27 October 2018 Baku Engineering University, Available at SSRN: https://ssrn.com/abstract=3299974 or http://dx.doi.org/10.2139/ssrn.3299974

Elchin Suleymanov (Contact Author)

Baku Engineering University - Department of Finance ( email )

Baku Sumgait Road 16th km. Hasan Aliyev Str. 120
Baku, AZ0101
Azerbaijan

HOME PAGE: http://beu.edu.az/en/staff_directory/staff/elsuleymanov

Cihan Bulut

Vistula University - Faculty of Business and International Relations ( email )

Stokłosy 3
Warszawa
Poland

Qafqaz University ( email )

Baku-Sumgait Highway 16-km Khirdalan,
Khirdalan, AZ0101
Azerbaijan

Fakhri Hasanov

Qafqaz University - Center for Socio-Economic Research ( email )

Baku Sumgait Road 16th km.
Hasan Aliyev Str. 120
Khirdalan, Baku AZ0101
Azerbaijan
+994 (12) 4482862-66 (Phone)
+994 (12) 4482861,67 (Fax)

HOME PAGE: http://www.qu.edu.az/

George Washington University - Research Program on Forecasting ( email )

1922 F Street, NW
Old Main, Suite 208
Washington, DC 20052
United States
(202) 994-6150 (Phone)
(202) 994-6147 (Fax)

HOME PAGE: http://research.columbian.gwu.edu/cer/research/forecasting

Institute of Cybernetics - Department of Modeling Socio-Economic Processes ( email )

9, F. Agayev Str.
Baku, Az1141
Azerbaijan
(994 12) 5390151 (Phone)
(994 12) 5392633 (Fax)

HOME PAGE: http://www.cyber.az/

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