Öz
In this study, the international gold and crude oil prices interaction with the U.S. dollar between the period of 1989:01 and 2013:12 were investigated. In this context, primarily the ADF and DF-GLS unit root tests were conducted. According to the results of this test, all three variables by taking the first difference is becoming stationary. Following the unit root tests Vector Autoregressive (VAR) model impulse-response analysis was carried out. According to impulse-response analysis results, a shock on the U.S. dollar, gold and crude oil prices negative affects. In addition to, gold and crude oil price shocks resulting on the U.S. dollar negative, and positive affect each other
Anahtar Kelimeler
Kaynakça
- Capie, F., Mills, T.C., Wood G., 2005, Gold as a Hedge against the Dollar. Journal of International Financial Markets Institutions and Money, Vol. 15, pp. 343-352.
- Charemza, W.W. and Derek, D.F., 1992, New Directions in Econometric Practise General to Spesific Modelling,Cointegration and Vector Autoregressions, England: Edward Elgar Pub.
- Joy, M., 2011, Gold and the US Dollar: Hedge or Haven? Finance Research Letters, Vol. 8, Issue. 3, pp. 120-131.
- Keating, John, 1990, Identifying VAR Models Under Rational Expectations, Journal of Monetary Economics, Vol: 25, No: 3.
- Kumar, V., Leona, R.P. and Gasking, J. N., 1995, Aggregate and Disaggregate Sector Forecasting Using Consumer Confidence Measures, International Journal of Forecasting.
- Lizardo, R.A., Mollick, A.V., 2010, Oil Price Fluctuations and US. Dollar Exchange Rates, Energy Economics, Vol. 32, pp. 399-408.
- Narayan, P.K., Narayan, S., Zheng, X., 2010, Gold and Oil Futures Markets: Are Markets Efficient? Applied Energy, Vol.87, pp.3299-3303.
- Pukthuanthong, K., Roll, R., 2011, Gold and the Dollar (and the Euro, Pound and Yen). Journal of Banking and Finance, Vol. 35, Issue. 8, pp. 2070-2083.
- Sims, Christopher A., 1980, Macroeconomics and Reality, Econometrica, Vol: 48, Issue:1.
- Sjaastad, L.A., 2008, The Price of Gold and the Exchage Rates: Once Again, Resources Policy, Vol. 33. pp. 118-124.
- Tuly, E., Lucey, B.M., 2007, A Power GARCH Examination of the Gold Market, Research in International Business and Finance, Vol. 21. pp. 316-325.
- Zhang, Y.J., Wei, Y.M., 2010, The Crude Oil Market and the Gold Market: Evidence for Cointegration, Causality and Price Discovery, Resources Policy, Vol. 35. pp. 168-177.
- TCMB, Elektronik Veri Dağıtım Sistemi, evds.tcmb.gov.tr
- U.S. Energy Information Administration (EIA), eia.gov
- Wolrd Gold Council, gold.org
Öz
Bu çalışmada, uluslararası altın ve petrol fiyatlarının Amerikan doları ile etkileşimi 1989:01 ve 2013:12 dönemi için araştırılmıştır. Bu bağlamda öncelikle ADF ve DF-GLS birim kök testleri yapılmıştır. Bu test sonuçlarına göre her üç değişken de birinci farkı alınmak suretiyle durağan hale gelmektedir. Birim kök testlerinin ardından Vektör Otoregresif (VAR) modeli etki tepki analizi gerçekleştirilmiştir. Buna göre, Amerikan dolarında meydana gelen bir standart hatalık şok altın ve petrol fiyatlarını negatif etkilerken, altın ve petrol fiyatlarında meydana gelen bir standart hatalık şok, Amerikan dolarını negatif, birbirlerini ise pozitif etkilemektedir.
Anahtar Kelimeler
Kaynakça
- Capie, F., Mills, T.C., Wood G., 2005, Gold as a Hedge against the Dollar. Journal of International Financial Markets Institutions and Money, Vol. 15, pp. 343-352.
- Charemza, W.W. and Derek, D.F., 1992, New Directions in Econometric Practise General to Spesific Modelling,Cointegration and Vector Autoregressions, England: Edward Elgar Pub.
- Joy, M., 2011, Gold and the US Dollar: Hedge or Haven? Finance Research Letters, Vol. 8, Issue. 3, pp. 120-131.
- Keating, John, 1990, Identifying VAR Models Under Rational Expectations, Journal of Monetary Economics, Vol: 25, No: 3.
- Kumar, V., Leona, R.P. and Gasking, J. N., 1995, Aggregate and Disaggregate Sector Forecasting Using Consumer Confidence Measures, International Journal of Forecasting.
- Lizardo, R.A., Mollick, A.V., 2010, Oil Price Fluctuations and US. Dollar Exchange Rates, Energy Economics, Vol. 32, pp. 399-408.
- Narayan, P.K., Narayan, S., Zheng, X., 2010, Gold and Oil Futures Markets: Are Markets Efficient? Applied Energy, Vol.87, pp.3299-3303.
- Pukthuanthong, K., Roll, R., 2011, Gold and the Dollar (and the Euro, Pound and Yen). Journal of Banking and Finance, Vol. 35, Issue. 8, pp. 2070-2083.
- Sims, Christopher A., 1980, Macroeconomics and Reality, Econometrica, Vol: 48, Issue:1.
- Sjaastad, L.A., 2008, The Price of Gold and the Exchage Rates: Once Again, Resources Policy, Vol. 33. pp. 118-124.
- Tuly, E., Lucey, B.M., 2007, A Power GARCH Examination of the Gold Market, Research in International Business and Finance, Vol. 21. pp. 316-325.
- Zhang, Y.J., Wei, Y.M., 2010, The Crude Oil Market and the Gold Market: Evidence for Cointegration, Causality and Price Discovery, Resources Policy, Vol. 35. pp. 168-177.
- TCMB, Elektronik Veri Dağıtım Sistemi, evds.tcmb.gov.tr
- U.S. Energy Information Administration (EIA), eia.gov
- Wolrd Gold Council, gold.org
Ayrıntılar
| Birincil Dil | Türkçe |
|---|---|
| Bölüm | Makaleler |
| Yazarlar | |
| Yayımlanma Tarihi | 1 Aralık 2013 |
| Gönderilme Tarihi | 19 Haziran 2015 |
| Yayımlandığı Sayı | Yıl 2013 Cilt: 4 Sayı: 2 |