The Relationship Between Commodity Prices and Selected Macroeconomic Variables in Turkey: Evidence From Fourier Cointegration Test

The Relationship Between Commodity Prices and Selected Macroeconomic Variables in Turkey: Evidence From Fourier Cointegration Test

Mustafa Uysal (Artvin Çoruh University, Turkey) and Zafer Adalı (Artvin Çoruh University, Turkey)
Copyright: © 2020 |Pages: 19
DOI: 10.4018/978-1-7998-2559-3.ch024

Abstract

This chapter determines whether there is a long-run relationship among oil, copper, natural gas, export figures and import figures, and BIST 100. Within this context, the study employs monthly periods from January 2006 to June 2019. ADF, Fourier ADF, and Banerjee Cointegration Test were applied. Banerjee Cointegration Test revealed that copper, oil, and natural gas and import figures move together in the long run but the existence of the long-run relationship between the selected inputs and export figures and BIST 100 has not been found. This evidence can be interpreted as the change in oil, copper, and natural gas may influence the amount of Turkish import figures.
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Literature Review

The studies which analyzing the effects of the change in oil, natural gas and copper prices on export, import and stock prices has been taken huge interest by researchers and there are a great number of studies in the literature. Some of these studies are presented on table 1.

Key Terms in this Chapter

Cointegration Analysis: It aims to determine whether the series are cointegrated in the long run or not.

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