Research Article
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DEĞERLİ METALLER VE MAKROEKONOMİK DEĞİŞKENLER: TÜRKİYE İÇİN BİR FOURIER EŞBÜTÜNLEŞME TESTİ UYGULAMASI

Year 2018, , 527 - 542, 14.08.2018

Sümeyra Gazel

https://doi.org/10.18657/yonveek.310335
Cited By: 4

Abstract

Emtialar ve ekonomik aktiviteler
arasındaki ilişki son yılların dikkat çeken konuları arasında yer almaktadır.
Altın, gümüş ve platin gibi değerli metalleri içeren emtialar en fazla işlem
gören varlıklar arasında yer aldığından bu varlıkların makroekonomik
değişkenlerle ilişkisi hem politika yapıcılar hem de yatırımcılar açısından
büyük önem arz etmektedir. Bu çalışmada kıymetli metaller ile makroekonomik
değişkenler arasındaki uzun dönemli ilişki Fourier eşbütünleşme testi ile
Mart-1999 ile Ekim-2016 dönemi için incelenmiştir. Kıymetli metal olarak en
fazla işlem gören altın, gümüş ve platin, makroekonomik değişken olarak faiz ve
döviz kuru dikkate alınmıştır. Ayrıca önemli finansal makro göstergelerden biri
olarak BIST 100 endeks verisi de analize dahil edilmiştir. Çalışma sonuçlarına
göre incelenen kıymetli metaller ile makroekonomik değişkenler arasında uzun
dönemli ilişkinin olduğunu doğrulayan eşbütünleşmenin varlığına ilişkin hipotez
kabul edilmiştir. 

Keywords

Faiz Oranı Döviz Kuru Eşbütünleşme Kıymetli Metaller Eşbütünleşme

References

  • Abanomey, W., Mathur, I. (2001). International Portfolios with Commodity Futures and Currency Forward Contracts. The Journal of Investing, 10(3), 61-68. Doi: 10.3905/joi.2001.319474
  • Aksoy, M., Topcu, N. (2013). Altın ile Hisse Senedi ve Enflasyon Arasındaki İlişki. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 27 (1), 59-78. http://e-dergi.atauni.edu.tr/atauniiibd/article/view/1025008108/1025007206 Batten, J., Ciner, Ç., Lucey, B. M. (2010). The Macroeconomic Determinants Of Volatility İn Precious Metals Markets. Resources Policy, 35, 65-71. http://www.sciencedirect.com/science/article/pii/S0301420709000543
  • Baur, D. G., Tran, D. T. (2014). The Long-Run Relationship of Gold and Silver and The Influence Of Bubles And Financial Crises. Empirical Economics, 47 (4), 1525-1541. Doi: 10.1007/s00181-013-0787-1
  • Bernard, J.T., Khalat, L., Kichian, M., McMahon, S. (2006). Forecasting Commodity Prices: GARCH, Jumps and Mean Reversiton. Working Paper, Bank of Canada. Ciner, C. (2001). On The Long Run Relationship Between Gold and Silver Prices A Note. Global Finance Journal, 12, 299-303. http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.584.1917&rep=rep1&type=pdf
  • David, R. C., Chaudhry, M., Koch, T. W. (2000). Do Macroeconomics News Releases Affect Gold and Silver Prices?. Journal of Economics and Business, 52, 405-421. http://www.sciencedirect.com/science/article/pii/S0148619500000291
  • Doğanalp, N., Konya, S., Kabaloğlu, G. (2016). Türkiye’de Altın Fiyatlarının Belirleyicileri Üzerine Ampirik Bir Uygulama. Ordu Üniversitesi Sosyal Bilimler Araştırmaları Dergisi, Temmuz, 412-424. Doi: 10.1155/2012/490647
  • Engle, R. F, Granger, C.W.J. (1987). Cointegration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55 (2), 251-276. http://www.jstor.org/stable/pdf/1913236.pdf
  • Gorton, G., Rouwenhorst, K.G. (2006). Facts And Fantasies About Commodity Futures, Financial Analysts Journal, 62, 47-68. Doi: 10.3386/w10595 Granger, C.W.J. (1981). Some Properties Of Time Series Data And Their Use in Econometric Model Specification. Journal of Econometrics, 16 (1), 121-130. http://www.jstor.org/stable/pdf/1913236.pdf
  • Gültekin, E. Ö., Hayat, A.E. (2016). Altın Fiyatlarını Etkileyen Faktörlerin VAR modeli ile Analizi: 2005-2015 Dönemi. Ege Akademik Bakış, 16 (4), 611-625. http://www.onlinedergi.com/MakaleDosyalari/51/PDF2016_4_4.pdf
  • Hammoudeh, S., Yuan, Y. (2008). Metal Volatility in Presence of Oil and Interest Rate Shocks. Energy Economics, 30, 606-620. http://www.sciencedirect.com/science/article/pii/S0140988307001156
  • Hammoudeh, S. M., Yuan, Y., McAleer, M., Thompson, M. (2010). Precious Metals-Exchange Rate Volatility Transmissions And Hedging Strategies. International Review of Economics and Finance, 19, 633-647. http://www.sciencedirect.com/science/article/pii/S1059056010000201
  • Hammoudeh, S., Malik, F., McAleer, M. (2011). Risk Management of Precious Metals. The Quarterly Review of Economics and Finance, 51, 435-441. http://www.sciencedirect.com/science/article/pii/S1062976911000251
  • Hammoudeh, S., Sarı, R., Ewing, T. (2009). Relationship Among Strategic Commodities and With Financial Variables: A New Look. Comtemporary Economic Policy, 27 (2), 251-264. Doi: 10.1111/j.1465-7287.2008.00126.x
  • Lucey, B. M., Li, S. (2015). What Precious Metals Acts as Safe Havens, and When? Some US Evidence. Applied Economics Letters, 22(1), 35-45. Doi: 10.1080/13504851.2014.920471
  • Mahdavi, S., Zhou, S. (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. http://www.sciencedirect.com/science/article/pii/S0148619597000349
  • Mensi, W., Hammoudeh, S. M., Kank, S. H. (2015). Precious Metals, Cereal, Oil, And Stock Market Linkages and Portfolio Risk Management: Evidence From Saudi Arabia. Economic Modelling, 51, 340-358. http://www.sciencedirect.com/science/article/pii/S0264999315002096
  • Özkan, T., Kolay, Ç. (2016). Türkiye’de Altın Fiyatlarına Etki Eden Temel Faktörlerin Analizi. International Conference on Eurasian Economies, Conference Paper, 573-582. https://www.avekon.org/papers/1728.pdf
  • Pukthuanthong, K., Roll, R. (2011). Gold and Dolar (and Euro, Pound and Yen), Journal of Banking&Finance, 35, 2070-2083. http://www.sciencedirect.com/science/article/pii/S0378426611000355
  • Sadorsky, P. (2014). Modeling Volatility And Correlations Between Emerging Market Stock Prices And The Prices Of Copper, Oil And Wheat. Energy Economics, 43, 72-81. http://www.sciencedirect.com/science/article/pii/S0140988314000413
  • Sarı, R., Hammoudeh, S., Ewing, B.T. (2007). Dynamic Relationship Between Oil and Metal Commodity Futures Prices. Geopolitics of Energy, 29 (7), 2-13. Sarı, E. (2014). Makroekonomik Veri Açıklamalarının Altın Fiyatlarına Etkisi, Türkiye Cumhuriyet Merkez Bankası, Uzmanlık Tezi, Ankara.
  • Soytaş, U., Sarı, R., Hammoudeh, S., Hacıhasanoğlu, E. (2009). World Oil Prices, Precious Metal Prices And Macroeconomy in Turkey. Energy Policy, 37, 5557-5566. http://www.sciencedirect.com/science/article/pii/S0301421509006065
  • Silvennoinen, A., Thorp, S. (2016). Crude Oil And Agricultural Futures: An Analysis Of İntegration Dynamics. The Journal of Futres Markets, 36 (6), 522-544. Doi: 10.1002/fut.21770
  • Simpson, M. J., Svendsen, A., Chan, P. L. (2007) Gold, Platinum, Silver; Demand and Supply in the International Finance Market An Empirical Analysis, http://lbms03.cityu.edu.hk/oaps/ef2007-5070-cpl067.pdf
  • Şensoy, A. (2013). Dynamic Relationship between Precious Metals. Resources Policy, 38, 504-511. http://www.sciencedirect.com/science/article/pii/S0301420713000706
  • Tsong, C-C., Lee, C-F., Tsai, L-J, Hu, T-C. (2016). The Fourier Approximation And Testing Fort He Null Of Cointegration. Empirical Economics, 51 (3),1085-1113. Doi: 10.1007/s00181-015-1028-6
  • Yıldırım, M., Belen, M., Kütük, Y. (2014). Küresel Emtia Fiyatları ile Hisse Senedi Getirileri Arasındaki İlişkinin İncelenmesi: Karademir ve İzdemir Üzerine Bir Uygulama. Finansal Araştırmalar ve Çalışmalar Dergisi, 5 (10), 107-138. Doi: 10.14784/JFRS.2014104502
  • Zhu, X-H., Chen, J-Y., Zhong, M-R. (2015). Dynamic Interacting Relationship Among İnternational Oil Prices, Macroeconomic Variables And Precious Metal Prices. Transaction of Nonferrous Metals Society of China, Vol. 25, 669-676. Doi: 10.1016/S1003-6326(15)63651-2

Year 2018, , 527 - 542, 14.08.2018

Sümeyra Gazel

https://doi.org/10.18657/yonveek.310335
Cited By: 4

Abstract

References

  • Abanomey, W., Mathur, I. (2001). International Portfolios with Commodity Futures and Currency Forward Contracts. The Journal of Investing, 10(3), 61-68. Doi: 10.3905/joi.2001.319474
  • Aksoy, M., Topcu, N. (2013). Altın ile Hisse Senedi ve Enflasyon Arasındaki İlişki. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 27 (1), 59-78. http://e-dergi.atauni.edu.tr/atauniiibd/article/view/1025008108/1025007206 Batten, J., Ciner, Ç., Lucey, B. M. (2010). The Macroeconomic Determinants Of Volatility İn Precious Metals Markets. Resources Policy, 35, 65-71. http://www.sciencedirect.com/science/article/pii/S0301420709000543
  • Baur, D. G., Tran, D. T. (2014). The Long-Run Relationship of Gold and Silver and The Influence Of Bubles And Financial Crises. Empirical Economics, 47 (4), 1525-1541. Doi: 10.1007/s00181-013-0787-1
  • Bernard, J.T., Khalat, L., Kichian, M., McMahon, S. (2006). Forecasting Commodity Prices: GARCH, Jumps and Mean Reversiton. Working Paper, Bank of Canada. Ciner, C. (2001). On The Long Run Relationship Between Gold and Silver Prices A Note. Global Finance Journal, 12, 299-303. http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.584.1917&rep=rep1&type=pdf
  • David, R. C., Chaudhry, M., Koch, T. W. (2000). Do Macroeconomics News Releases Affect Gold and Silver Prices?. Journal of Economics and Business, 52, 405-421. http://www.sciencedirect.com/science/article/pii/S0148619500000291
  • Doğanalp, N., Konya, S., Kabaloğlu, G. (2016). Türkiye’de Altın Fiyatlarının Belirleyicileri Üzerine Ampirik Bir Uygulama. Ordu Üniversitesi Sosyal Bilimler Araştırmaları Dergisi, Temmuz, 412-424. Doi: 10.1155/2012/490647
  • Engle, R. F, Granger, C.W.J. (1987). Cointegration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55 (2), 251-276. http://www.jstor.org/stable/pdf/1913236.pdf
  • Gorton, G., Rouwenhorst, K.G. (2006). Facts And Fantasies About Commodity Futures, Financial Analysts Journal, 62, 47-68. Doi: 10.3386/w10595 Granger, C.W.J. (1981). Some Properties Of Time Series Data And Their Use in Econometric Model Specification. Journal of Econometrics, 16 (1), 121-130. http://www.jstor.org/stable/pdf/1913236.pdf
  • Gültekin, E. Ö., Hayat, A.E. (2016). Altın Fiyatlarını Etkileyen Faktörlerin VAR modeli ile Analizi: 2005-2015 Dönemi. Ege Akademik Bakış, 16 (4), 611-625. http://www.onlinedergi.com/MakaleDosyalari/51/PDF2016_4_4.pdf
  • Hammoudeh, S., Yuan, Y. (2008). Metal Volatility in Presence of Oil and Interest Rate Shocks. Energy Economics, 30, 606-620. http://www.sciencedirect.com/science/article/pii/S0140988307001156
  • Hammoudeh, S. M., Yuan, Y., McAleer, M., Thompson, M. (2010). Precious Metals-Exchange Rate Volatility Transmissions And Hedging Strategies. International Review of Economics and Finance, 19, 633-647. http://www.sciencedirect.com/science/article/pii/S1059056010000201
  • Hammoudeh, S., Malik, F., McAleer, M. (2011). Risk Management of Precious Metals. The Quarterly Review of Economics and Finance, 51, 435-441. http://www.sciencedirect.com/science/article/pii/S1062976911000251
  • Hammoudeh, S., Sarı, R., Ewing, T. (2009). Relationship Among Strategic Commodities and With Financial Variables: A New Look. Comtemporary Economic Policy, 27 (2), 251-264. Doi: 10.1111/j.1465-7287.2008.00126.x
  • Lucey, B. M., Li, S. (2015). What Precious Metals Acts as Safe Havens, and When? Some US Evidence. Applied Economics Letters, 22(1), 35-45. Doi: 10.1080/13504851.2014.920471
  • Mahdavi, S., Zhou, S. (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. http://www.sciencedirect.com/science/article/pii/S0148619597000349
  • Mensi, W., Hammoudeh, S. M., Kank, S. H. (2015). Precious Metals, Cereal, Oil, And Stock Market Linkages and Portfolio Risk Management: Evidence From Saudi Arabia. Economic Modelling, 51, 340-358. http://www.sciencedirect.com/science/article/pii/S0264999315002096
  • Özkan, T., Kolay, Ç. (2016). Türkiye’de Altın Fiyatlarına Etki Eden Temel Faktörlerin Analizi. International Conference on Eurasian Economies, Conference Paper, 573-582. https://www.avekon.org/papers/1728.pdf
  • Pukthuanthong, K., Roll, R. (2011). Gold and Dolar (and Euro, Pound and Yen), Journal of Banking&Finance, 35, 2070-2083. http://www.sciencedirect.com/science/article/pii/S0378426611000355
  • Sadorsky, P. (2014). Modeling Volatility And Correlations Between Emerging Market Stock Prices And The Prices Of Copper, Oil And Wheat. Energy Economics, 43, 72-81. http://www.sciencedirect.com/science/article/pii/S0140988314000413
  • Sarı, R., Hammoudeh, S., Ewing, B.T. (2007). Dynamic Relationship Between Oil and Metal Commodity Futures Prices. Geopolitics of Energy, 29 (7), 2-13. Sarı, E. (2014). Makroekonomik Veri Açıklamalarının Altın Fiyatlarına Etkisi, Türkiye Cumhuriyet Merkez Bankası, Uzmanlık Tezi, Ankara.
  • Soytaş, U., Sarı, R., Hammoudeh, S., Hacıhasanoğlu, E. (2009). World Oil Prices, Precious Metal Prices And Macroeconomy in Turkey. Energy Policy, 37, 5557-5566. http://www.sciencedirect.com/science/article/pii/S0301421509006065
  • Silvennoinen, A., Thorp, S. (2016). Crude Oil And Agricultural Futures: An Analysis Of İntegration Dynamics. The Journal of Futres Markets, 36 (6), 522-544. Doi: 10.1002/fut.21770
  • Simpson, M. J., Svendsen, A., Chan, P. L. (2007) Gold, Platinum, Silver; Demand and Supply in the International Finance Market An Empirical Analysis, http://lbms03.cityu.edu.hk/oaps/ef2007-5070-cpl067.pdf
  • Şensoy, A. (2013). Dynamic Relationship between Precious Metals. Resources Policy, 38, 504-511. http://www.sciencedirect.com/science/article/pii/S0301420713000706
  • Tsong, C-C., Lee, C-F., Tsai, L-J, Hu, T-C. (2016). The Fourier Approximation And Testing Fort He Null Of Cointegration. Empirical Economics, 51 (3),1085-1113. Doi: 10.1007/s00181-015-1028-6
  • Yıldırım, M., Belen, M., Kütük, Y. (2014). Küresel Emtia Fiyatları ile Hisse Senedi Getirileri Arasındaki İlişkinin İncelenmesi: Karademir ve İzdemir Üzerine Bir Uygulama. Finansal Araştırmalar ve Çalışmalar Dergisi, 5 (10), 107-138. Doi: 10.14784/JFRS.2014104502
  • Zhu, X-H., Chen, J-Y., Zhong, M-R. (2015). Dynamic Interacting Relationship Among İnternational Oil Prices, Macroeconomic Variables And Precious Metal Prices. Transaction of Nonferrous Metals Society of China, Vol. 25, 669-676. Doi: 10.1016/S1003-6326(15)63651-2
There are 27 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Sümeyra Gazel

Publication Date August 14, 2018
Published in Issue Year 2018

Cite

APA Gazel, S. (2018). DEĞERLİ METALLER VE MAKROEKONOMİK DEĞİŞKENLER: TÜRKİYE İÇİN BİR FOURIER EŞBÜTÜNLEŞME TESTİ UYGULAMASI. Journal of Management and Economics, 25(2), 527-542. https://doi.org/10.18657/yonveek.310335

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