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Abstract


THE EFFECTS OF CHANGES IN OIL PRICES ON INFLATION AND UNEMPLOYMENT: VAR, COINTEGRATION AND GRANGER CAUSALITY ANALYSES - EUROZONE CASE STUDY

In this study, the effects of changes in oil prices on macroeconomic indicators such as inflation and unemployment have been investigated. In the study, inflation and unemployment rates in the Euro Zone during 2001: Q1 and 2019: Q4 and the natural logarithm of world oil prices were taken and included in the model. After determining that the series were stationary at the level value, the effect–response function, variance decomposition, Johansen cointegration and Granger causality analysis were studied using the Vector Autoregressive Model (VAR). As a result of the analysis, a cointegration was found between oil prices with inflation and unemployment rates. In addition, the fluctuations in world oil prices cause inflation and unemployment in the Euro Zone, while inflation and unemployment in the Euro Zone don’t affect world oil prices.



Keywords
Oil Prices, İnflation, Unemployment, VAR, Johansen Cointegration, Granger Causality, Euro Zone.



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