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DOI :10.26650/ekoist.2022.37.1168678   IUP :10.26650/ekoist.2022.37.1168678    Full Text (PDF)

The Asymmetric Relationship Among Food Prices, the Exchange Rate, and Oil Prices in Turkey

Hüseyin İçen, Nimet Melis Esenyel İçen, Buğra Polat

This study examines the short and long-term dynamics among food prices, the exchange rate, and oil prices in Turkey between January 2003-December 2021 using the non-linear autoregressive distributed lag (NARDL) method. The empirical results from the NARDL method, which allows positive and negative decompositions of the effects, reveal the presence of a long-term cointegration relationship. While using the NARDL method in the study, the positive and negative components of oil prices and the exchange rate were seen to decompose in different way. The Hodrick–Prescott (HP; 1997) filter was used with this method to decompose the independent variables (i.e., oil prices and the exchange rate) into their positive and negative components. The study first extracted the trend component of the variables with the HP filter, then constructed the variables according to the positive and negative components regarding this trend. Thus, the NARDL model revealed the estimated food prices to be sensitive to changes in the exchange rate and oil prices and the positive and negative changes around the long-term trend to have different effects, thus revealing the presence of asymmetric effects regarding food prices. In addition, the study has concluded the positive changes regarding the long-term trend in oil prices and the exchange rate to have a greater effect on food prices compared to the negative changes. The positive changes regarding oil prices being more dominant than the negative changes is an expected situation in oil-dependent countries such as Turkey. Other additional reasons why the positive shocks in the exchange rate are higher than the negative shocks result from the inputs used in food production processes (including oil) being obtained through imports and from foreign exchange income being dependent on tourism revenues and short-term foreign direct capital rather than high technology product exports . In general, the effects from positive shocks on the explanatory variables used in the analysis can be said to have deeper impacts on food prices in Turkey compared to the negative shocks.

Keywords: NARDL, Asymmetric relationship, Food prices, Oil prices, Exchange rate, Turkey
DOI :10.26650/ekoist.2022.37.1168678   IUP :10.26650/ekoist.2022.37.1168678    Full Text (PDF)

Türkiye’de Gıda Fiyatları, Döviz Kuru ve Petrol Fiyatları Arasındaki Asimetrik İlişki

Hüseyin İçen, Nimet Melis Esenyel İçen, Buğra Polat

Bu çalışmada Türkiye’deki gıda fiyatları ile döviz kuru ve petrol fiyatları arasındaki kısa ve uzun dönem dinamikleri 2003M1 – 2021M12 dönemleri arasında Doğrusal Olmayan ARDL (NARDL) yöntemi aracılığıyla incelenmektedir. Ampirik sonuçlar pozitif ve negatif değişimlerin etkisinin ayrıştırılmasına olanak sağlayan NARDL yöntemine göre uzun dönemli eşbütünleşme ilişkisi olduğunu göstermektedir. Çalışmada kullanılan NARDL yönteminde petrol fiyatı ve döviz kurundaki pozitif ve negatif bileşenler farklı bir biçimde ayrıştırılmaktadır. Bağımsız değişkenlerin (petrol fiyatı ve döviz kuru) pozitif negatif bileşenlerine ayrıştırılmasında Hodrick–Prescott (HP) (1997) filtresi kullanılmıştır. Değişkenlerin öncelikle HP filtresi ile trend bileşeni oluşturulmuş, daha sonra bu trend etrafındaki pozitif negatif bileşenlerine ayrıştırılmıştır. Böylelikle uzun dönemli trend etrafında pozitif ve negatif değişimlerin aynı etkiye sahip olup olmadığı ve gıda fiyatlarındaki asimetrik etkilerin varlığının incelenmesi amaçlanmaktadır. Analiz sonucunda gıda fiyatları üzerinde, petrol fiyatı ve döviz kurundaki uzun dönem trend etrafında pozitif değişmelerin negatif değişmelere nazaran daha büyük bir etkisinin olduğu sonucuna ulaşılmıştır. Petrol fiyatlarındaki pozitif değişimlerin negatif değişimlerden daha baskın olması, Türkiye gibi petrolde dışa bağımlı ülkelerde görülmesi beklenen bir durumdur. Bu durum gıda üretim süreçlerinde kullanılan (petrol de dahil olmak üzere) girdilerin ithalat yoluyla elde edilmesi, döviz gelirlerinin yüksek teknoloji ürün ihracatından ziyade turizm gelirlerine ve kısa vadeli doğrudan yabancı sermayeye bağlı olması da döviz kurundaki pozitif şokların negatif şoklara göre yüksek olmasını açıklamaktadır. Genel olarak analizde kullanılan açıklayıcı değişkenlerdeki pozitif şoklardan kaynaklanan etkinin Türkiye'deki gıda fiyatları üzerindeki negatif şoklardan daha derin bir etkiye sahip olduğu söylenebilmektedir.

Keywords: NARDL, Asimetrik İlişki, Gıda Fiyatları, Petrol Fiyatları, Döviz Kuru, Türkiye

EXTENDED ABSTRACT


Increases in food and commodity prices in recent years have accelerated throughout the world, and the concerns of economists and policy makers regarding food accessibility have also grown because of these increases. The continuous increases in agricultural commodity prices since 2006 has led policy makers to discuss issues such as global food shortages and inflationary pressure. This increase in global food prices is also a relatively new phenomenon. According to Food and Agricultural Organization of the United Nations’ (FAO, 2021) Grain Supply and Demand Summary Report, expectations regarding global grain production for 2022 indicate that it will decrease for the first time in the past four years compared to the record production rates of 2021. The effect of this supply-side decline may eventually put pressure on food prices. Many studies have been carried out recently on how to bring this pressure on food prices under control, on the need to make policy recommendations, and on revealing the factors affecting the changes in food prices. Multiple researchers have additionally examined the possible causes and consequences of fluctuations in different commodities in recent years. The increases in oil prices have been revealed to have an indirect effect on global food prices for various reasons. Due to how the increase in crude oil prices increases production costs, producers will either restrict their production to reduce the cost of items or reflect these costs onto their prices. In this case, the issue of accessibility to food emerges due to a shortage of supply or high prices. Moreover, this effect is not limited only to the production stage of food products but also causes higher energy costs as well as higher food processing, packaging, and distribution costs. When considering increased costs, an increase in oil prices causes an increase in food import costs in food importing countries and accordingly an upward pressure regarding the domestic prices of foodstuffs. Therefore, predicting how much of a greater impact the positive changes in crude oil prices will have compared to negative changes is important for policy makers in preparing the appropriate macroeconomic policies regarding such fluctuations.

This study examines the short-term and long-term dynamics among food prices, the exchange rate, and oil prices in Turkey between January 2003-December 2021 using the non-linear autoregressive distribute lag (NARDL) method. Compared to other linear techniques, the NARDL method decomposes the changes in oil prices and exchange rate into their partial sums and then provides separate estimates for the impact changes in these variables have on food prices. This study focuses on the nonlinear relationship among food prices, oil prices, and the exchange rate in Turkey and reveals the effects from oil prices and exchange rates on food prices by taking into account the asymmetric effects. The empirical results from the NARDL method, which allows decomposition of the effects from positive and negative changes, reveal the presence of a long-term cointegration relationship. While using the NARDL method in the study, the positive and negative components in oil prices and the exchange rate were seen to decompose in different ways. The study uses the Hodrick–Prescott (HP, 1997) filter alongside this method to decompose the independent variables (i.e., oil prices and exchange rate) into their positive and negative components. The study first extracted the trend component of the variables using the HP filter then constructs the variables according to the positive and negative components regarding this trend. The results from the NARDL model have revealed the estimated food prices to be sensitive to changes in the exchange rate and oil prices, the positive and negative changes regarding the long-term trend to not have the same effects; therefore, asymmetric effects are present regarding food prices. Positive changes regarding the long-term trend in oil prices and the exchange rate were additionally concluded to have a greater effect on food prices compared to the negative changes. The fact that positive changes in oil prices are more dominant than negative changes is an expected situation in oil-dependent countries such as Turkey. Other additional reasons why the positive shocks in the exchange rate are higher than the negative shocks result from the inputs used in food production processes (including oil) being obtained through imports and from foreign exchange income being dependent on tourism revenues and short-term foreign direct capital rather than high technology product exports. The effects from positive shocks on the explanatory variables used in the analysis can be said to generally have deeper impacts on food prices in Turkey compared to negative shocks. 


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APA

İçen, H., Esenyel İçen, N.M., & Polat, B. (2022). The Asymmetric Relationship Among Food Prices, the Exchange Rate, and Oil Prices in Turkey. EKOIST Journal of Econometrics and Statistics, 0(37), 149-169. https://doi.org/10.26650/ekoist.2022.37.1168678


AMA

İçen H, Esenyel İçen N M, Polat B. The Asymmetric Relationship Among Food Prices, the Exchange Rate, and Oil Prices in Turkey. EKOIST Journal of Econometrics and Statistics. 2022;0(37):149-169. https://doi.org/10.26650/ekoist.2022.37.1168678


ABNT

İçen, H.; Esenyel İçen, N.M.; Polat, B. The Asymmetric Relationship Among Food Prices, the Exchange Rate, and Oil Prices in Turkey. EKOIST Journal of Econometrics and Statistics, [Publisher Location], v. 0, n. 37, p. 149-169, 2022.


Chicago: Author-Date Style

İçen, Hüseyin, and Nimet Melis Esenyel İçen and Buğra Polat. 2022. “The Asymmetric Relationship Among Food Prices, the Exchange Rate, and Oil Prices in Turkey.” EKOIST Journal of Econometrics and Statistics 0, no. 37: 149-169. https://doi.org/10.26650/ekoist.2022.37.1168678


Chicago: Humanities Style

İçen, Hüseyin, and Nimet Melis Esenyel İçen and Buğra Polat. “The Asymmetric Relationship Among Food Prices, the Exchange Rate, and Oil Prices in Turkey.” EKOIST Journal of Econometrics and Statistics 0, no. 37 (Sep. 2024): 149-169. https://doi.org/10.26650/ekoist.2022.37.1168678


Harvard: Australian Style

İçen, H & Esenyel İçen, NM & Polat, B 2022, 'The Asymmetric Relationship Among Food Prices, the Exchange Rate, and Oil Prices in Turkey', EKOIST Journal of Econometrics and Statistics, vol. 0, no. 37, pp. 149-169, viewed 11 Sep. 2024, https://doi.org/10.26650/ekoist.2022.37.1168678


Harvard: Author-Date Style

İçen, H. and Esenyel İçen, N.M. and Polat, B. (2022) ‘The Asymmetric Relationship Among Food Prices, the Exchange Rate, and Oil Prices in Turkey’, EKOIST Journal of Econometrics and Statistics, 0(37), pp. 149-169. https://doi.org/10.26650/ekoist.2022.37.1168678 (11 Sep. 2024).


MLA

İçen, Hüseyin, and Nimet Melis Esenyel İçen and Buğra Polat. “The Asymmetric Relationship Among Food Prices, the Exchange Rate, and Oil Prices in Turkey.” EKOIST Journal of Econometrics and Statistics, vol. 0, no. 37, 2022, pp. 149-169. [Database Container], https://doi.org/10.26650/ekoist.2022.37.1168678


Vancouver

İçen H, Esenyel İçen NM, Polat B. The Asymmetric Relationship Among Food Prices, the Exchange Rate, and Oil Prices in Turkey. EKOIST Journal of Econometrics and Statistics [Internet]. 11 Sep. 2024 [cited 11 Sep. 2024];0(37):149-169. Available from: https://doi.org/10.26650/ekoist.2022.37.1168678 doi: 10.26650/ekoist.2022.37.1168678


ISNAD

İçen, Hüseyin - Esenyel İçen, NimetMelis - Polat, Buğra. “The Asymmetric Relationship Among Food Prices, the Exchange Rate, and Oil Prices in Turkey”. EKOIST Journal of Econometrics and Statistics 0/37 (Sep. 2024): 149-169. https://doi.org/10.26650/ekoist.2022.37.1168678



TIMELINE


Submitted31.08.2022
Accepted08.11.2022
Published Online29.12.2022

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