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Dynamic Interrelationships among Energy Prices, Exchange Rates, and Inflation: An Empirical Analysis for the Turkic Republics
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Dynamic Interrelationships among Energy Prices, Exchange Rates, and Inflation: An Empirical Analysis for the Turkic Republics
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Journal Article
Dynamic Interrelationships among Energy Prices, Exchange Rates, and Inflation: An Empirical Analysis for the Turkic Republics
2025
Overview
The dynamic interrelationships among energy, goods and financial
markets in Eurasian economies are not empirically analyzed, yet; and
this study attempts to handle this gap in the literature. It examines
the dynamic interrelationships for energy (oil and natural gas) prices,
inflation rate, and exchange rate in Türkiye, Azerbaijan, Kazakhstan,
Kyrgyzstan, and Uzbekistan, covering the period from January
2010 to April 2022, by means of the Toda and Yamamoto approach
to Granger causality, impulse-response functions, and variance
decompositions. The empirical findings unveil that (i) inflation is
mainly driven by natural gas prices, (ii) oil prices cause inflation
through natural gas prices, (iii) the exchange rate pass-through to
inflation seems country-specific, and (iv) there is a weak dependence
between energy prices and exchange rates. Accounting for smooth
structural breaks in causality analysis based on the Fourier Toda-
Yamamoto approach reinforces these findings.
Publisher
Ahmet Yesevi Üniversitesi Yayınları
Subject
