Causality Among Oil Prices, GDP and Exchange Rate: Evidence from Azerbaijan and Kazakhstan

Following their independence, Azerbaijan and Kazakhstan, which place great importance to oil industry, have also succeeded in attracting foreign investments to this industry. Over time, this industry, which has become a key to the economy, has made the economy vulnerable particularly to oil prices....

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Bibliographic Details
Published inBilig (Ankara) Vol. 83; pp. 79 - 98
Main Authors Dikkaya, Mehmet, Doyar, Bayram Veli
Format Journal Article
LanguageEnglish
Published Ankara Ahmet Yesesvi Universitesi, Management Center 01.10.2017
Subjects
Causality
Crude oil prices
Foreign exchange rates
Gasoline
GDP
Gross Domestic Product
Petroleum
Prices
Time series
Kazakhstan
Azerbaijan
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Summary:Following their independence, Azerbaijan and Kazakhstan, which place great importance to oil industry, have also succeeded in attracting foreign investments to this industry. Over time, this industry, which has become a key to the economy, has made the economy vulnerable particularly to oil prices. In this regard, current paper investigates causal relationships between quarterly time series of oil prices, GDP and exchange rate for both Azerbaijan and Kazakhstan separately. Toda-Yamamoto causality test results for Azerbaijan suggest that there are unidirectional causalities from exchange rate to oil prices, from oil prices to GDP and from GDP to exchange rate. As for Kazakhstan, causalities run from oil prices to GDP, exchange rate to GDP and oil prices to exchange rate.
ISSN:1301-0549