Dynamic Relationships between Oil Price, Inflation and Economic Growth: A VARMA, GARCH-in-mean, asymmetric BEKK Model for Turkey

In this research, we examine the relationships among economic growth, inflation, and oil prices using monthly data from the period 1990 to 2017 for Turkey. To reveal the relations we use multivariate VARMA, GARCH-in-Mean, asymmetric BEKK model. We present evidence that oil price uncertainty increases economic growth uncertainty and inflation uncertainty. Moreover, decreased average economic growth is involved with high inflation and oil price uncertainty. We also find that economic growth uncertainty is influenced by mostly inflation uncertainty instead of its own. In addition, we show that the Holland hypothesis is valid for Turkey.

Journal

ECONOMICS BULLETIN

Year

2021

Volume

41

Issue

3

ISSN

1545-2921

WoS UID

WOS:001038989100001