- Alanya Akademik Bakış
- Vol: 4 Issue: 2
- The Causal Relationship between Oil Prices and Sector Indices: An Analysis from Turkey
The Causal Relationship between Oil Prices and Sector Indices: An Analysis from Turkey
Authors : Meryem Filiz Baştürk
Pages : 245-259
Doi:10.29023/alanyaakademik.664959
View : 9 | Download : 5
Publication Date : 2020-05-31
Article Type : Research
Abstract :Since oil is one of the basic inputs in economies, changes in oil prices are important to countries, particularly oil importing countries. In this regard, this paper analyzes the causal relationship between oil prices and sector indices (BIST-Industrial, BIST-Service, BIST-Financial, and BIST-Technology) in the aftermath of the 2008 financial crisis in Turkey. First, the Johansen cointegration test is employed to analyze whether there are long-run relations between oil prices and sector indices over the period from 2008-10-2018:10. Then, the long-run relationships between oil prices and the sector indices was investigated using the Granger causality test based on the Vector Error Correction Model (VECM), and the Standard Granger test is used to analyze the causality between the variables without a long-run relationship. According to the results, there are long-run bidirectional relations between oil prices and the BIST-Industrial, the BIST-Service, and the BIST-Technology sector indices, respectively. -In the short-run period, however, there is a unidirectional relation running from oil prices to the BIST-Technology sector index. There is neither a short-run or long-run relation between oil prices and the BIST-Financial sector index.Keywords : Oil Prices, Sector Indices, Cointegration, VECM, Causality