Kazakhstan's export relies heavily on oil and other natural resources. Therefore, fluctuations in world oil prices have important consequences for Kazakhstan's economy. The effect of fluctuations in oil prices on the real exchange rate is very important for economies trying to develop other sectors as well as oil and natural gas sectors such as Kazakhstan. The purpose of this study is to examine the possible asymmetric relationships between oil prices and real effective exchange rate in Kazakhstan for the period January 2010-December 2020. For this purpose, the asymmetric causality analysis method developed by Hatemi-J and Roca (2014) was used in the study. In the study, it was studied with monthly data for the period from January 2010 to December 2020. According to the results of the study, there is a causality relationship from negative oil price shocks to negative real effective exchange rate shocks in Kazakhstan. However, what is interesting is that a causality relationship from positive shocks in oil prices to real effective exchange rate could not be found.
In this study, by considering the period between January 2010 and December 2019 of BRICS-T countries, the relationship between oil prices and stock prices was examined through the Hatemi-J asymmetric causality test (2012). The stationarity levels of the series were determined by augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) unit root tests. Hatemi (2012) asymmetric causality test, which takes into account the presence of asymmetric information in financial markets by distinguishing positive and negative shocks, was used. Accordingly, hidden relationships that could not be detected using the symmetric causality test were revealed with the help of the asymmetric causality test.
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