caa a22 4500 605534446 CHVBK 20210128100842.0 cr unu---uuuuu 210128e20151101xx s 000 0 eng 10.1007/s10663-014-9274-y doi (NATIONALLICENCE)springer-10.1007/s10663-014-9274-y Determining the asymmetric effects of oil price changes on macroeconomic variables: a case study of Turkey [Elektronische Daten] [Yeliz Yalcin, Cengiz Arikan, Furkan Emirmahmutoglu] This paper aims to investigate the effects of unanticipated oil price changes on the Turkish economy using quarterly gross domestic product (GDP) and monthly consumer price index (CPI) and real exchange rate (RER) for the period 2002-2013 . While the bulk of previous studies have employed the standard methodology without true data generating process knowledge, in this study asymmetric Vector Autoregressive methodology proposed by Kilian and Vigfusson (Quant Econ 2(3): 419-453, 2011) is used to analyze the asymmetric impact of oil prices on macroeconomic aggregates. This method allows the researcher to investigate the asymmetric effects of innovations in oil prices on variables without knowing data generating process is linear or not. Empirical findings that, the oil prices changes have asymmetric effects on CPI and RER at one standard deviation shocks in different periods unlike GDP. These asymmetric effects are also statistically significant at 10% significance level. Specifically, when oil price increases, CPI and RER increases but GDP decreases in the long term. Springer Science+Business Media New York, 2014 Oil price nationallicence Turkish economy nationallicence Asymmetric effect nationallicence VAR nationallicence Yalcin Yeliz Department of Econometrics, Gazi University, 06500, Ankara, Turkey aut Arikan Cengiz Department of Econometrics, Gazi University, 06500, Ankara, Turkey aut Emirmahmutoglu Furkan Department of Econometrics, Gazi University, 06500, Ankara, Turkey aut Empirica Springer US; http://www.springer-ny.com 42/4(2015-11-01), 737-746 0340-8744 42:4<737 2015 42 10663 https://doi.org/10.1007/s10663-014-9274-y text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s10663-014-9274-y text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Yalcin Yeliz Department of Econometrics, Gazi University, 06500, Ankara, Turkey aut NATIONALLICENCE 700 1- Arikan Cengiz Department of Econometrics, Gazi University, 06500, Ankara, Turkey aut NATIONALLICENCE 700 1- Emirmahmutoglu Furkan Department of Econometrics, Gazi University, 06500, Ankara, Turkey aut NATIONALLICENCE 773 0- Empirica Springer US; http://www.springer-ny.com 42/4(2015-11-01), 737-746 0340-8744 42:4<737 2015 42 10663