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Gürkan Bozma
''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.
Keywords: Oil Price Uncertainty, Inflation, Output, VARMA, GARCH-BEKK
JEL: E3 - Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
C4 - Econometric and Statistical Methods: Special Topics
Manuscript Received : Dec 14 2020 Manuscript Accepted : Dec 14 2020

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