Oil Prices and Monetary Policy in Emerging Markets: Structural Shifts in Causal Linkages

Date

2019-01-01

Author

NAZLIOĞLU, ŞABAN
Gormus, Alper
Soytaş, Uğur

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This study tests the causal relationships between oil prices and monetary policy for the emerging markets (Brazil, India, Indonesia, South Africa, and Turkey). In particular, we explore the role of exchange rates, inflation, and interest rates. First, we utilize the commonly used Toda-Yamamoto causality framework and later augment the model to account for structural shiftsincluding gradual/smooth shifts. The empirical findings show that (i) accounting for gradual structural shifts matter for the causal linkages between oil prices and the monetary policy variables and (ii) employing a bivariate or multivariate frameworks is not important (with few exceptions) as much as controlling for structural breaks in these causal linkages.

Subject Keywords

General Economics, Econometrics and Finance, Finance

URI

https://hdl.handle.net/11511/44132

Journal

EMERGING MARKETS FINANCE AND TRADE

DOI

https://doi.org/10.1080/1540496x.2018.1434072

Collections

Department of Business Administration, Article

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Citation Formats

Ş. NAZLIOĞLU, A. Gormus, and U. Soytaş, “Oil Prices and Monetary Policy in Emerging Markets: Structural Shifts in Causal Linkages,” EMERGING MARKETS FINANCE AND TRADE, pp. 105–117, 2019, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/44132.