ASYMMETRIC EFFECTS OF OIL PRICE SHOCKS ON ECONOMIC GROWTH: EVIDENCE FOR TÜRKİYE USING A NONLINEAR ARDL APPROACH

Abstract

This study investigates the asymmetric effects of oil price shocks on economic growth in Türkiye using a nonlinear autoregressive distributed lag (NARDL) framework. Unlike linear models that impose symmetry in the transmission of oil price movements, the NARDL approach allows positive and negative changes in oil prices to exert heterogeneous short- and long-run effects on economic growth. Using quarterly data covering the period 1998Q3–2023Q3, changes in oil prices are decomposed into positive and negative partial sums, and both short-run dynamics and long-run relationships are estimated. The results indicate strong evidence of cointegration among economic growth, oil price shocks, and the exchange rate. BDS nonlinearity tests confirm the appropriateness of the NARDL framework, while structural break tests identify major shocks in 2001, 2008, and 2018. While Wald tests do not support long-run coefficient asymmetry, dynamic multiplier analysis reveals pronounced asymmetries in the adjustment paths following positive and negative oil price shocks. In particular, negative oil price shocks generate sharper and more volatile growth responses in the short and medium run, whereas positive shocks lead to smoother and more gradual adjustments. Comprehensive diagnostic tests confirm model adequacy, with stable parameters throughout the sample period. These findings suggest that asymmetries primarily operate through transitional dynamics rather than permanent level effects, highlighting the importance of nonlinear modeling in assessing the macroeconomic consequences of oil price fluctuations.