Türkiye ve Dünya Gıda Fiyatları İlişkisi: Dinamik Korelasyon ve Dinamik Regresyon Analizi

Muhammed Veysel Kaya; Şeyda Yıldız Ertuğrul

doi:10.17233/sosyoekonomi.2024.03.19

Araştırma Makalesi

The Relationship between Türkiye’s and World Food Prices: Dynamic Correlation and Dynamic Regression Analysis

Yıl 2024, Cilt: 32 Sayı: 61, 413 - 426, 30.07.2024

Muhammed Veysel Kaya , Şeyda Yıldız Ertuğrul

https://doi.org/10.17233/sosyoekonomi.2024.03.19

Cited By: 1

Öz

The study employed a rigorous methodology to analyse the relationship between Türkiye’s and international food prices. Monthly data from 2005.1 to 2023.3 was used. Initially, the linearity of the series was examined, and upon discovering its nonlinear properties, the study was completed with nonlinear time series models. The applied analysis examined the dynamic correlation between Türkiye’s and world food prices using the DCC-GARCH method. This was followed by using MSR and Kalman filter models for dynamic regression analysis, providing a comprehensive understanding of the relationship.

Anahtar Kelimeler

CPI, Food Price, Consumption

Kaynakça

Baffes, J. & A. Dennis (2013), “Long-Term Drivers of Food Prices”, World Bank Policy Research Working Paper No. 6455.
Bollerslev, T. (1990), “Modeling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Model”, Review of Economics and Statistics, 72, 498-505.
Broock, W.A. et al. (1996), “A test for Independence Based on the Correlation Dimension”, Econometric Reviews, 15(3), 197-235.
Cabrera, B.L. & F. Schulz (2016), “Volatility Linkages Between Energy and Agricultural Commodity Prices”, Energy Economics, 54, 190-203.
Canova, F. & B.E. Hansen (1995), “Are seasonal patterns constant over time? A test for seasonal stability”, Journal of Business and Economic Statistics, 13, 237-252.
Chan, K.F. et al. (2011), “Asset Market Linkages: Evidence From Financial, Commodity and Real Estate Assets”, Journal of Banking & Finance, 35, 1415-1426.
Chiang, T.C. et al. (2007), “Dynamic Correlation Analysis of Financial Contagion: Evidence from Asian Markets”, Journal of International Money and Finance, 26(7), 1026-1228.
Chowdhury, M.A.F. et al. (2020), “Asymmetric Effect of Energy Price on Commodity Price: New Evidence from NARDL and Time Frequency Wavelet Approaches”, Energy, 119461.
Çınar, G. & A. Hushmat (2016), “Impact of Volatility of World Oil Prices on Turkey’s Food Prices: Garch Approach”, Küresel İktisat ve İşletme Çalışmaları Dergisi, 5(9), 1-8.
Dillon, B.M. & C.B. Barrett (2016), “Global Oil Prices and Local Food Prices: Evidence From East Africa”, American Journal of Agricultural Economics, 98(1), 154-171.
Engle, R. (2002), “Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroscedasticity Models”, Journal of Business & Economic Statistics, 20(3), 339-350.
Ertuğrul, H.M. & Ü. Seven (2023), “Dynamic Spillover Analysis of İnternational and Turkish Food Prices”, International Journal of Finance and Economics, 28(2), 1918-1928.
Ertuğrul, H.M. (2021), “The Local Currency Oil Price and Food Price Relationship for Turkey: A Dynamic Correlation and Time-Frequency Dependency Analysis”, International Journal of Monetary Economics and Finance, 14(3), 233-248.
FAO (2011), The State of Food Insecurity in the World: How Does International Price Volatility Affect Domestic Economies and Food Security, FAO.
Harvey, A.C. (1990), Forecasting, Structural Time Series Models and the Kalman Filter, University Press, Cambridge.
Kartal, M.T. & Ö. Depren (2023). “Asymmetric Relationship Between Global and National Factors And Domestic Food Prices: Evidence From Turkey With Novel Nonlinear Approaches”, Financial Innovation, 9(11).
Koirala, K.H. et al. (2015), “Energy Prices and Agricultural Commodity Prices:Testing Correlation Using Copulas Method”, Energy, 81, 430-436.
Mensi, W. et al. (2013), “Correlations and Volatility Spillovers Across Commodity and Stock Markets: Linking Energies, Food, and Gold”, Economic Modelling, 32, 15-22.
Narayan, S. & P.K. Narayan (2004), “Determinants of Demand for Fiji’s Exports: An Empirical Investigation”, The Developing Economies, 42(1), 95-112.
Nazlıoğlu, S. & U. Soytaş (2011), “World Oil Prices and Agricultural Commodity Prices: Evidence From an Emerging Market”, Energy Economics, 33(3), 488-496.
Nazlıoğlu, S. et al. (2013), “Volatility Spillover Between Oil and Agricultural Commodity Markets”, Energy Economics, 36, 658-665.
Ng, S. & P. Perron (2001), “Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power”, Econometrica, 69(6), 1519-1554.
Pesaran, M.H. et al. (2001), “Bounds Testing Approaches to the Analysis of Level Relationships”, Journal of Applied Econometrics, 16(3), 289-326.
Shin, Y. et al. (2014), “Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework”, in: R. Sickles & W. Horrace (eds.), Festschrift in Honor of Peter Schmidt, Springer, New York, NY.
Tekin, H. et al. (2017), “The Relationship between Conventional Deposit and Islamic Profit Share Rates: An Analysis of the Turkish Banking Sector”, JKAU: Islamic Economics, 30, 103-117.
TÜİK (2023), Hane Halkı Tüketim Harcaması Raporu 2022, <https://data.tuik.gov.tr/Bulten/Index?p=Hanehalki-Tuketim-Harcamasi-2022-49690>, 25.05.2023.
Uçak, H. et al. (2022), “The Role of Energy on the Price Volatility of Fruits and Vegetables: Evidence from Turkey”, Bio-based and Applied Economics, 11(1), 37-54.
Wen, J. et al. (2021), “Symmetric and Asymmetric Impact of Economic Policy Uncertainty on Food Prices in China: A New Evidence”, Resources Policy, 74, 102247.
Yao, Q. & B.M. Cao (2015), “Research on the Price of Soybean Affected by its Volumes of China’s Export and Import”, Journal of Chuzhou University, 1, 32-35.
Zivot, E. & D.W.K. Andrews (1992), “Further Evidence on The Great Crash, The Oil-Price Shocok and The Unit-Root Hypothesis”, Journal of Business & Economic Statistics, 10(3), 251-270.