Abstract
This paper examines the short and long term relationship between stocks, bonds, consumer price index (CPI) and production index (PI) by using monthly data from January 2003 to December 2011. First, the dependence of gold return with stock return, bond return and CPI based and PI based inflation is tested by using regression analysis. Second, ADF test is applied to test whether the series are stationary and then Engle-Granger cointegration, Granger causality and Johansen cointegration analysis are applied. Cointegration analysis indicates that series are integrated and there exist a long term relationship between these variables. Since the series are cointegrated, the error correction model (VECM) is applied to see the short-run dynamics. According to regression analysis test results,there is significant negative relation with stocks and positive relation with PI based inflation.
Keywords
Gold stock bond consumer price index production index cointegration. I. Giriş Finansal piyasalar sürekli gelişmektedir. Bu piyasalardaki finansal araçların çeşitliliği ve karmaşıklığı da sürekli artmaktadır. Finansal piyasalar ve fina
References
- Ariovich, G. (1983), “The impact of political tension on the price of gold”, Journal for Studies in Economics and Econometrics, 16, 17-37.
- Aslan, Sinan (2001), Altın ve Gümüş İşlemleri Muhasebesi( Aracı Kurumlar, Bankalar), Türkmen Kitabevi, İstanbul.
- Basu, S., M. L. Clouse (1993), “A comparative analysis of gold market efficiency using derivative market information”, Resources Policy, 19, 217-2
- Capie, F., T.C. Mills, G. Wood (2005), “Gold as a hedge against the dollar”, Journal of International Financial Markets, Institutions and Money, 15, 343–352.
- Chua, J., G. Stick, R. Woodward (1990), “Diversifying with gold stocks”, Financial Analysts Journal, 46, 76-79.
- Ciner, C. (2001), “On the long run relationship between gold and silver: A note”, Global Finance Journal, 12, 299-303.
- Çetinel, Gönül (1992), “Altının Ekonomideki Yeri ve Pazarı”, Jeoloji Mühendisliği Dergisi, Sayı 41, s. 154-160.
- Dickey, D.A., W.A. Fuller (1979), “Distribution of the Estimators for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, 74, s. 427–431.
- Dickey, D.A., W.A. Fuller (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, 49, 4, 1057- 1072.
- Dooley Michael P., Peter Isard, Mark P. Taylor (1995), “Exchange rates, country-specific shocks, and gold”, Applied Financial Economics, Volume 5 Issue 3, 121-129.
- Enders, W (1995), Applied Econometric Time Series, United States of America: John Wiley &Sons Press.
- Engle, R. F., C. W. J., Granger (1987), “Co-Integration and Error Correction: Representation, Estimation and Testing”, Econometrica, Vol. 55, No. 1, s.251-276.
- Ghosh, D., E.J. Levin, P. Macmillan, R.E. Wright (2002), “Gold as an inflation hedge?”, University of St. Andrews Discussion Paper Series, Department of Economics, No. 21, January.
- Granger C. W. J. (1988), “Some Recent Developments in a Concept of Causality”, Journal of Econometrics. 39, 199-211.
- Granger, C. W. J., P. Newbold (1974), “Spurious regressions in econometrics”, Journal of Econometrics 2 (2): 111–120.
- Granger, C. W. J. (1969), “Investigating causal relations by econometric models and cross-spectral methods”, Econometrica 37: 424- 438.
- Gujarati, D. N. (2004), Economics Basic Econometrics, Mcgraw Hill s.696-698 ,797-820.
- Hillier, D., P. Draper, R. Faff (2006), “Do Precious Metals Shine? An Investment Perspective”, Financial Analysts Journal 62, 98 . 106.
- Ho, Y.K. (1985), “Test of the incrementally efficient market hypothesis for the London gold market”, Economics Letters, 19, 67-70.
- Jaffe, J. (1989), “Gold and gold stocks as investments for institutional portfolios”, Financial Analysts Journal, March . April, 53 . 59.
- Johansen, Sİren, Katarina Juselius (1990), “Maximum Likelihood Estimation and Inferences on Cointegration—with applications to the demand for money”, Oxford Bulletin of Economics and Statistics, 52: 169–210. Kaplan, Kemal (2003), Türkiye’de Kuyumculuk ve Altın, İstanbul Ticaret Odası Yayınları, İstanbul.
- Kolluri, B.R. (1981), “Gold as a hedge against inflation: An empirical investigation”, Quarterly Review of Economics and Business, 21, 13
- Koutsoyiannis, A. (1983), “A short-run pricing model for a speculative asset, tested with data from the gold bullion market”, Applied Economics, 15, 563-5
- Laurent, R.D. (1994), “Is there a role for gold in monetary policy?”, Economic Perspectives, 18, 2-14.
- Levin, E., A. Abhyankar, D. Ghosh (1994), “Does the gold market reveal real interest rates?”, Manchester School, 62, 93-103.
- Lucey, B., E. Tully, V. Poti (2004), “International portfolio formation, skewness and the role of gold”, Institute for International Integration Studies Discussion Paper, No. 30, July.
- Mahdavi, S., S. Zhou (1997), “Gold and commodity prices as leading indicators of inflation: Tests of long-run relationship and predictive performance”, Journal of Economics and Business, 49, 475-489.
- Oygür, Vedat (1990), “Altın Madenciliğinin Yeniden Doğuşu”, Jeoloji Mühendisliği Dergisi, Sayı 41, s.17-22.
- Özgül, Handan (1992), Dünyada ve Türkiye’de Altın, Türkiye İş Bankası Yayınları, İktisadi Araştırmalar Müdürlüğü.
- Sherman, E. (1986), Gold Investment: Theory and Application, New York, Prentice Hall.
- Smith, G. (2002), “Tests of the random walk hypothesis for London gold prices”, Applied Economics Letters, 2002, 9, 671-674.
- Solt, M. E., P. J. Swanson (1981), “On the efficiency of the markets for gold and silver”, Journal of Business, 54, 453-78.
- Tschoegl, A. E. (1980), “Efficiency in the gold market”, Journal of Banking and Finance, 4, 371-379.
- Vural, M. Göknil (2003), Altın Piyasası ve Altın Fiyatlarını Etkileyen Faktörler, Uzmanlık Yeterlilik Tezi. www.altinmadencileri.org.tr , Altın Madencileri Derneği (08/16/2012) www.enerji.gov.tr , T. C. Enerji ve Tabii Kaynaklar Bakanlığı (08/16/2012) www.iab.gov.tr, İstanbul Altın Borsası (08/16/2012)
Abstract
Çalışmada bir yatırım aracı olarak altın ile hisse senedi, devlet iç borçlanma senetleri (DİBS), tüketici fiyat endeksi (TÜFE) ve üretici fiyat endeksi (ÜFE) arasındaki kısa ve uzun dönemli ilişkiler analiz edilmiştir. Analizin gerçekleştirildiği dönem, Ocak 2003 ve Aralık 2011 tarih aralığıdır ve aylık veri kullanılmıştır. Çalışmada ilk olarak altın getirisi ile hisse senedi getirileri, DİBS getirileri, TÜFE ve ÜFE serilerinden hesaplanmış olan enflasyon arasındaki ilişki, regresyon analizi kullanılarak incelenmiştir. İkinci olarak altın ile hisse senedi, DİBS, TÜFE ve ÜFE endeks serileri arasındaki ilişki, serilerin durağanlık testleri ADF ile yapıldıktan sonra eşbütünleşme modelleri arasında yer alan, Engle-Granger eşbütünleşme testi, Granger nedensellik testi ve Johansen eşbütünleşme testleri yapılarak incelenmiştir. Altın, hisse senedi, DİBS, ÜFE ve TÜFE’yi yönlendiren, uzun vadede dengeye getiren bir eşbütünleşme vektörü bulunup, değişkenler arasında uzun dönemli bir ilişkinin var olduğu, Johansen eşbütünleşme analizi ile belirlendikten sonra, vektör hata düzeltme modeli (VECM) ile değişkenlerin kısa dönemli dengeden sapmaları analiz edilmiştir. Regresyon analizi sonuçları altın getirisi ile hisse senedi getirileri arasında negatif, ÜFE temelli hesaplanmış enflasyon ile pozitif bir ilişki olduğunu göstermiştir.
Keywords
Altın hisse senedi devlet iç borçlanma senetleri tüketici fiyat endeksi üretici fiyat endeksi eşbütünleşme
References
- Ariovich, G. (1983), “The impact of political tension on the price of gold”, Journal for Studies in Economics and Econometrics, 16, 17-37.
- Aslan, Sinan (2001), Altın ve Gümüş İşlemleri Muhasebesi( Aracı Kurumlar, Bankalar), Türkmen Kitabevi, İstanbul.
- Basu, S., M. L. Clouse (1993), “A comparative analysis of gold market efficiency using derivative market information”, Resources Policy, 19, 217-2
- Capie, F., T.C. Mills, G. Wood (2005), “Gold as a hedge against the dollar”, Journal of International Financial Markets, Institutions and Money, 15, 343–352.
- Chua, J., G. Stick, R. Woodward (1990), “Diversifying with gold stocks”, Financial Analysts Journal, 46, 76-79.
- Ciner, C. (2001), “On the long run relationship between gold and silver: A note”, Global Finance Journal, 12, 299-303.
- Çetinel, Gönül (1992), “Altının Ekonomideki Yeri ve Pazarı”, Jeoloji Mühendisliği Dergisi, Sayı 41, s. 154-160.
- Dickey, D.A., W.A. Fuller (1979), “Distribution of the Estimators for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, 74, s. 427–431.
- Dickey, D.A., W.A. Fuller (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, 49, 4, 1057- 1072.
- Dooley Michael P., Peter Isard, Mark P. Taylor (1995), “Exchange rates, country-specific shocks, and gold”, Applied Financial Economics, Volume 5 Issue 3, 121-129.
- Enders, W (1995), Applied Econometric Time Series, United States of America: John Wiley &Sons Press.
- Engle, R. F., C. W. J., Granger (1987), “Co-Integration and Error Correction: Representation, Estimation and Testing”, Econometrica, Vol. 55, No. 1, s.251-276.
- Ghosh, D., E.J. Levin, P. Macmillan, R.E. Wright (2002), “Gold as an inflation hedge?”, University of St. Andrews Discussion Paper Series, Department of Economics, No. 21, January.
- Granger C. W. J. (1988), “Some Recent Developments in a Concept of Causality”, Journal of Econometrics. 39, 199-211.
- Granger, C. W. J., P. Newbold (1974), “Spurious regressions in econometrics”, Journal of Econometrics 2 (2): 111–120.
- Granger, C. W. J. (1969), “Investigating causal relations by econometric models and cross-spectral methods”, Econometrica 37: 424- 438.
- Gujarati, D. N. (2004), Economics Basic Econometrics, Mcgraw Hill s.696-698 ,797-820.
- Hillier, D., P. Draper, R. Faff (2006), “Do Precious Metals Shine? An Investment Perspective”, Financial Analysts Journal 62, 98 . 106.
- Ho, Y.K. (1985), “Test of the incrementally efficient market hypothesis for the London gold market”, Economics Letters, 19, 67-70.
- Jaffe, J. (1989), “Gold and gold stocks as investments for institutional portfolios”, Financial Analysts Journal, March . April, 53 . 59.
- Johansen, Sİren, Katarina Juselius (1990), “Maximum Likelihood Estimation and Inferences on Cointegration—with applications to the demand for money”, Oxford Bulletin of Economics and Statistics, 52: 169–210. Kaplan, Kemal (2003), Türkiye’de Kuyumculuk ve Altın, İstanbul Ticaret Odası Yayınları, İstanbul.
- Kolluri, B.R. (1981), “Gold as a hedge against inflation: An empirical investigation”, Quarterly Review of Economics and Business, 21, 13
- Koutsoyiannis, A. (1983), “A short-run pricing model for a speculative asset, tested with data from the gold bullion market”, Applied Economics, 15, 563-5
- Laurent, R.D. (1994), “Is there a role for gold in monetary policy?”, Economic Perspectives, 18, 2-14.
- Levin, E., A. Abhyankar, D. Ghosh (1994), “Does the gold market reveal real interest rates?”, Manchester School, 62, 93-103.
- Lucey, B., E. Tully, V. Poti (2004), “International portfolio formation, skewness and the role of gold”, Institute for International Integration Studies Discussion Paper, No. 30, July.
- Mahdavi, S., S. Zhou (1997), “Gold and commodity prices as leading indicators of inflation: Tests of long-run relationship and predictive performance”, Journal of Economics and Business, 49, 475-489.
- Oygür, Vedat (1990), “Altın Madenciliğinin Yeniden Doğuşu”, Jeoloji Mühendisliği Dergisi, Sayı 41, s.17-22.
- Özgül, Handan (1992), Dünyada ve Türkiye’de Altın, Türkiye İş Bankası Yayınları, İktisadi Araştırmalar Müdürlüğü.
- Sherman, E. (1986), Gold Investment: Theory and Application, New York, Prentice Hall.
- Smith, G. (2002), “Tests of the random walk hypothesis for London gold prices”, Applied Economics Letters, 2002, 9, 671-674.
- Solt, M. E., P. J. Swanson (1981), “On the efficiency of the markets for gold and silver”, Journal of Business, 54, 453-78.
- Tschoegl, A. E. (1980), “Efficiency in the gold market”, Journal of Banking and Finance, 4, 371-379.
- Vural, M. Göknil (2003), Altın Piyasası ve Altın Fiyatlarını Etkileyen Faktörler, Uzmanlık Yeterlilik Tezi. www.altinmadencileri.org.tr , Altın Madencileri Derneği (08/16/2012) www.enerji.gov.tr , T. C. Enerji ve Tabii Kaynaklar Bakanlığı (08/16/2012) www.iab.gov.tr, İstanbul Altın Borsası (08/16/2012)
Details
| Primary Language | Turkish |
|---|---|
| Journal Section | Makaleler |
| Authors | |
| Publication Date | January 30, 2013 |
| Published in Issue | Year 2013 Volume: 27 Issue: 1 |
