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Türkiye’de Döviz Kuru Bağlamında Dana Karkas, Kuzu Karkas ve Yemlik Buğday Piyasalarının Koşullu Varyanslarındaki Oynaklığın VAR (2)-Asimetrik BEKK-GARCH (1, 1) Modeli ile Tahmin Edilmesi

Year 2022, Volume: 53 Issue: 1, 31 - 41, 01.01.2022

Faruk Urak Abdulbaki Bilgiç Vedat Dağdemir Hüseyin Özer

Abstract

Bu çalışmada, Türkiye’de dana ve kuzu karkas piyasaları ile yemlik buğay piyasası arasındaki uzun dönem belirsizlik geçişkenliklerinin ortaya çıkarılması ve bu geçişkenliğin simetrik olup olmadığı ortaya konulmuştur. Bu çalışmada 2005:01-2019:06 dönemi günlük verileri ile VAR(2)-Asymmetric BEKK-GARCH(1,1) modeli kullanılarak analiz edilmiştir. Çalışmada dana karkas, kuzu karkas ve yemlik buğday getirilerinin koşullu varyanslarının döviz kurundaki artışlarından ve ithalatın yapılmadığı dönemlere göre ithalatın yapıldığı dönemlerden anlamlı bir şekilde etkilendikleri tespit edilmiştir. Çalışmada kuzu karkasın dana karkasa göre daha fazla risk taşıdığı belirlenmiştir. Dana karkas, kuzu karkas ve yemlik buğday getirilerinin koşullu varyansları hem kısa dönemde doğrudan ve dolaylı şoklardan hem de getiri serilerinin koşullu varyansları doğrudan ve dolaylı olarak diğer getiri serilerinin uzun dönem kalıcı oynaklığından istatistiki olarak anlamlı düzeyde etkilendiği gözlemlenmiştir. Çalışmadan elde edilen bulgular neticesinde, politika yapıcılara üretici fiyat belirsizliklerini azaltacak tarım politikalarına yönelmesi gerektiği ifade edilebilir.

Keywords

Dana ve kuzu karkas döviz kuru yemlik buğday fiyatlar oynaklık

Thanks

Çalışmanın tüm aşamalarında bilgilerini, tecrübelerini ve değerli zamanlarını esirgemeyerek bana her fırsatta yardımcı olan ve engin bilgi ve tecrübelerinden yararlandığım değerli danışmanım Sayın Prof. Dr. Abdulbaki BİLGİÇ’e teşekkür ederim.

References

  • Abbott, P.C., Borot de Battisti. A., 2011. Recent global food price shocks. causes. consequences and lessons for african governments and donors. J. Afr. Econ., 20 (Suppl.1): 12-62.
  • Adom, P.K., 2014. Determinants of food availability and access in Ghana. what can we learn beyond the regression results? Studies in Agricultural Economics, 116(3): 153-164.
  • Ait Sidhoum, A., Serra. T., 2016. Volatility spillovers in the Spanish food marketing chain. The case of tomato. Agribusiness, 32(1): 45-63.
  • Askan, E., Urak, F., Bilgic, A., 2020. Revealing asymmetric spillover effects in hazelnut, gasoline, and exchange rate markets in Turkey: The VECM-BEKK MGARCH Approach. Panoeconomicus, 1-24.
  • Baffes, J., Haniotis, T., 2010. Placing the 2006/08 Commodity Price Boom into Perspective. The World Bank Development Prospects Group July 2010.
  • Barsky, R.B., Kilian, L., 2001. Do we really know that oil caused the great stagflation? A monetary alternative. NBER Macroeconomics annual, 16: 137-183.
  • Bollerslev, T., 1986. Generalized autoregressive conditional heteroscedasticity. J. Econ., 31: 307-327.
  • Buguk, C., Hudson, D., Hanson, D., 2003. Price volatility in agricultural markets. An examination of U.S. catfish markets. Journal of Agricultural and Resource Economics, 28(1): 86-99.
  • Burakov, D., 2016. Oil Prices. Exchange Rate and Prices for Agricultural Commodities. Empirical Evidence from Russia. AGRIS on-line Papers in Economics and Informatics, 8(2): 33.
  • Cabrera, B.L., Schulz, F., 2016. Volatility linkages between energy and agricultural commodity prices. Energy Economics, 54: 190-203.
  • de Gorter, H., Drabik, D., Just, D.R., 2013. The Perverse Effects of Biofuel Public-Sector Policies, Charles H. Dyson School of Applied Economics and Management, Cornell University, Ithaca, New York 14853-7801.
  • Engle, R.F., Kroner, K., 1995. Multivariate simultaneous generalized ARCH. Econometric Theory, 11: 122-150.
  • Ezekiel, M., 1938. The cobweb theorem. The Quarterly Journal of Economics, 52(2), 255-280.
  • Fakari, B., Aliabadi, M.M.F., Mahmoudi, H., Kojori, M., 2016. Volatility spillover and price shocks in Iran’s meat market. Custos e Agronegocio, 12(2): 84-98.
  • Fernández, J.M., 2014. Long Run Dynamics of World Food, Crude Oil Prices and Macroeconomic Variables, A Cointegration VAR Analysis, Bristol Economics Discussion, 14: 646.
  • Fiszeder, P., Orzeszko, W., 2018. Nonlinear Granger causality between grains and livestock. Agric. Econ., 64(7): 328-336.
  • Gilbert, C.L., 2010a. How to understand high food prices. J. Agric. Econ., 61: 398-425.
  • Grier, K.B., Henry, T.O., Olekalns, N., Shields, K., 2004. The Asymmetric Effects of Uncertainty on inflation and Output Growth, J. Appl. Econ., 19: 551- 565.
  • Guillen, J., Artes, R. F., 2015. Price transmission and volatility along the Spanish fresh fish market chain. New Medit, 14(1): 4-11.
  • Karemera, D., Koo, W., Smalls, G., Whiteside, L., 2015. Trade Creation and Diversion Effects and Exchange Rate Volatility in the Global Meat Trade. Journal of Economic Integration, 30(2): 240-268.
  • Kesavan, T., Aradhyula, S.V., Johnson, S.R., 1992. Dynamics and price volatility in farmretail livestock price relationships. Journal of Agricultural and Resource Economics, 17(2): 348-361.
  • Khiyavi, P.K., Moghaddasi, R., Eskandarpur, B., Mousavi, N., 2012. Spillover effects of agricultural products price volatilities in Iran. Journal of Basic and Applied Scientific Research, 2: 7906-7914.
  • Kou, H.H., Ho, L.H., Lin, W.H., 2015. Do hog breeds matter? Investigating the price volatility in the Taiwan’s auction market. Agric.Econ – Czech, 7(61): 314-325.
  • Mitchell, D., 2009. A Note on Rising Food Prices. Washington, DC, The World Bank.
  • Nazlioglu, S., Soytas, U., 2012. Oil price, agricultural commodity prices, and the dollar, A panel cointegration and causality analysis. Energy Economics, 34(4): 1098-1104.
  • OECD., 2008. Rising Food Prices Causes and Consequences. OECD Publishing.
  • Özdemir FN, Urak F, Bilgic A, Yavuz F 2020. Türkiye’de Koyun Eti, Besi Yemi, Benzin Reel Fiyatlarının ve Döviz Kurunun Koşullu Varyanslarındaki Oynaklığın VAR–Asimetrik BEKK–GARCH (1,1) Modeli İle Tahmin Edilmesi. Kahramanmaraş Sütçü İmam Üniversitesi Tarım ve Doğa Dergisi, 23: 1270-1285.
  • Pal, D., Mitra, S.K., 2017. Diesel and soybean price relationship in the USA, evidence from a quantile autoregressive distributed lag model, Empirical Economics, 52(4): 1609-1626.
  • Pozo, V.F., Schroeder, T.C., 2012. Price and Volatility Spillover between Livestock and Related Commodity Markets. 2012, Selected Paper prepared for presentation at the Agricultural & Applied Economics Association’s 2012 AAEA Annual Meeting, Seattle, Washington, August 12-14.
  • Rahman, S., Serletis, A., 2012. Oil price uncertainty and the Canadian economy, Evidence from a VARMA, GARCH-in-Mean, asymmetric BEKK model. Energy Economics, 34(2): 603-610.
  • Rezitis, A.N., 2015. The relationship between agricultural commodity prices, crude oil prices and US dollar exchange rates, a panel VAR approach and causality analysis. Int. Rev. Appl. Econ., 29 : 403-434.
  • Rosegrant, M.W., Zhu, T., Msangi, S., Sulser, T., 2008. Global Scenarios for Biofuels, Impacts and Implications. Review of Agricultural Economics, 30(3): 495-505.
  • Salisu, A.A., Mobolaji, H., 2013. Modeling returns and volatility transmission between oil price and US-Nigeria exchange rate, Energy Economics, 39: 169-176.
  • Salisu, A.A.,Oloko, T. F., 2015. Modeling oil price-US stock nexus, A VARMA-BEKK-AGARCH approach, Energy Economics, 50: 1-12.
  • Tejeda, H., Goodwin, B., 2009. Price Volatility, Nonlinearity, and Asymmetric Adjustments in Corn, Soybean, and Cattle Markets, Implications of Ethanol-Driven (Market) Shocks. Paper presented at the 2009 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management, St. Louis, MO April 20-21.
  • Trujillo-Barrera, A., Mallory, M., Garcia, P., 2012. Volatility spillovers in US crude oil, ethanol, and corn futures markets. Journal of Agricultural and Resource Economics, 247-262. Urak, F., Bozma, G., Bilgic, A., 2018. Türkiye’de Buğday, Arpa, Benzin Reel Fiyatlarının ve Döviz Kurunun Koşullu Varyanslarındaki Oynaklığın VAR(1)-Asimetrik BEKK -GARCH (1, 1) Modeli ile Tahmin Edilmesi. KSÜ Tarım ve Doğa Derg, 21(4): 565-579.
  • Wang, G.Y., Si, R.X., Li, C.X., Zhang, G.T., Zhu, N.Y., 2018. Asymmetric price transmission effect of corn on hog, evidence from China., 64 (4): 186-196.
  • Ziemer, R.F., Collins, G.S., 1984. Granger Causality and US Crop and Livestock Prices. Southern Journal of Agricultural Economics, 16 (01).

Estimating the Conditional Variance Volatilities of Beef Carcass, Lamb Carcass, and Fodder Wheat Markets in the Context of Exchange Rate Using VAR(2)- Asymmetric BEKK-GARCH (1,1) Model

Year 2022, Volume: 53 Issue: 1, 31 - 41, 01.01.2022

Faruk Urak Abdulbaki Bilgiç Vedat Dağdemir Hüseyin Özer

Abstract

In the study, the long-term volatility pass-throughs between beef, lamb carcass, and fodder wheat markets in Turkey and whether such pass-throughs are symmetrical or not were estimated. The study used VAR (2)-Asymmetric BEKK-GARCH (1,1) method using daily data from both 2005:01-2019:06 periods. The results showed that conditional variances of the beef carcass, lamb carcass, and fodder wheat markets were statistically significantly affected by the increase in exchange rates and the periods when imports were made than the periods when imports were absent. We finally concluded that the lamb carcass had more risks than the beef carcass. Conditional variances of beef carcass, lamb carcass, and fodder wheat markets were statistically significantly affected by direct and indirect of both their and return series in the short and long term. As the results show, we can conclude that policy makers should turn to agricultural policies that will reduce producer price uncertainties.

Keywords

Beef and lamb carcass exchange rate feed wheat prices volatility

References

  • Abbott, P.C., Borot de Battisti. A., 2011. Recent global food price shocks. causes. consequences and lessons for african governments and donors. J. Afr. Econ., 20 (Suppl.1): 12-62.
  • Adom, P.K., 2014. Determinants of food availability and access in Ghana. what can we learn beyond the regression results? Studies in Agricultural Economics, 116(3): 153-164.
  • Ait Sidhoum, A., Serra. T., 2016. Volatility spillovers in the Spanish food marketing chain. The case of tomato. Agribusiness, 32(1): 45-63.
  • Askan, E., Urak, F., Bilgic, A., 2020. Revealing asymmetric spillover effects in hazelnut, gasoline, and exchange rate markets in Turkey: The VECM-BEKK MGARCH Approach. Panoeconomicus, 1-24.
  • Baffes, J., Haniotis, T., 2010. Placing the 2006/08 Commodity Price Boom into Perspective. The World Bank Development Prospects Group July 2010.
  • Barsky, R.B., Kilian, L., 2001. Do we really know that oil caused the great stagflation? A monetary alternative. NBER Macroeconomics annual, 16: 137-183.
  • Bollerslev, T., 1986. Generalized autoregressive conditional heteroscedasticity. J. Econ., 31: 307-327.
  • Buguk, C., Hudson, D., Hanson, D., 2003. Price volatility in agricultural markets. An examination of U.S. catfish markets. Journal of Agricultural and Resource Economics, 28(1): 86-99.
  • Burakov, D., 2016. Oil Prices. Exchange Rate and Prices for Agricultural Commodities. Empirical Evidence from Russia. AGRIS on-line Papers in Economics and Informatics, 8(2): 33.
  • Cabrera, B.L., Schulz, F., 2016. Volatility linkages between energy and agricultural commodity prices. Energy Economics, 54: 190-203.
  • de Gorter, H., Drabik, D., Just, D.R., 2013. The Perverse Effects of Biofuel Public-Sector Policies, Charles H. Dyson School of Applied Economics and Management, Cornell University, Ithaca, New York 14853-7801.
  • Engle, R.F., Kroner, K., 1995. Multivariate simultaneous generalized ARCH. Econometric Theory, 11: 122-150.
  • Ezekiel, M., 1938. The cobweb theorem. The Quarterly Journal of Economics, 52(2), 255-280.
  • Fakari, B., Aliabadi, M.M.F., Mahmoudi, H., Kojori, M., 2016. Volatility spillover and price shocks in Iran’s meat market. Custos e Agronegocio, 12(2): 84-98.
  • Fernández, J.M., 2014. Long Run Dynamics of World Food, Crude Oil Prices and Macroeconomic Variables, A Cointegration VAR Analysis, Bristol Economics Discussion, 14: 646.
  • Fiszeder, P., Orzeszko, W., 2018. Nonlinear Granger causality between grains and livestock. Agric. Econ., 64(7): 328-336.
  • Gilbert, C.L., 2010a. How to understand high food prices. J. Agric. Econ., 61: 398-425.
  • Grier, K.B., Henry, T.O., Olekalns, N., Shields, K., 2004. The Asymmetric Effects of Uncertainty on inflation and Output Growth, J. Appl. Econ., 19: 551- 565.
  • Guillen, J., Artes, R. F., 2015. Price transmission and volatility along the Spanish fresh fish market chain. New Medit, 14(1): 4-11.
  • Karemera, D., Koo, W., Smalls, G., Whiteside, L., 2015. Trade Creation and Diversion Effects and Exchange Rate Volatility in the Global Meat Trade. Journal of Economic Integration, 30(2): 240-268.
  • Kesavan, T., Aradhyula, S.V., Johnson, S.R., 1992. Dynamics and price volatility in farmretail livestock price relationships. Journal of Agricultural and Resource Economics, 17(2): 348-361.
  • Khiyavi, P.K., Moghaddasi, R., Eskandarpur, B., Mousavi, N., 2012. Spillover effects of agricultural products price volatilities in Iran. Journal of Basic and Applied Scientific Research, 2: 7906-7914.
  • Kou, H.H., Ho, L.H., Lin, W.H., 2015. Do hog breeds matter? Investigating the price volatility in the Taiwan’s auction market. Agric.Econ – Czech, 7(61): 314-325.
  • Mitchell, D., 2009. A Note on Rising Food Prices. Washington, DC, The World Bank.
  • Nazlioglu, S., Soytas, U., 2012. Oil price, agricultural commodity prices, and the dollar, A panel cointegration and causality analysis. Energy Economics, 34(4): 1098-1104.
  • OECD., 2008. Rising Food Prices Causes and Consequences. OECD Publishing.
  • Özdemir FN, Urak F, Bilgic A, Yavuz F 2020. Türkiye’de Koyun Eti, Besi Yemi, Benzin Reel Fiyatlarının ve Döviz Kurunun Koşullu Varyanslarındaki Oynaklığın VAR–Asimetrik BEKK–GARCH (1,1) Modeli İle Tahmin Edilmesi. Kahramanmaraş Sütçü İmam Üniversitesi Tarım ve Doğa Dergisi, 23: 1270-1285.
  • Pal, D., Mitra, S.K., 2017. Diesel and soybean price relationship in the USA, evidence from a quantile autoregressive distributed lag model, Empirical Economics, 52(4): 1609-1626.
  • Pozo, V.F., Schroeder, T.C., 2012. Price and Volatility Spillover between Livestock and Related Commodity Markets. 2012, Selected Paper prepared for presentation at the Agricultural & Applied Economics Association’s 2012 AAEA Annual Meeting, Seattle, Washington, August 12-14.
  • Rahman, S., Serletis, A., 2012. Oil price uncertainty and the Canadian economy, Evidence from a VARMA, GARCH-in-Mean, asymmetric BEKK model. Energy Economics, 34(2): 603-610.
  • Rezitis, A.N., 2015. The relationship between agricultural commodity prices, crude oil prices and US dollar exchange rates, a panel VAR approach and causality analysis. Int. Rev. Appl. Econ., 29 : 403-434.
  • Rosegrant, M.W., Zhu, T., Msangi, S., Sulser, T., 2008. Global Scenarios for Biofuels, Impacts and Implications. Review of Agricultural Economics, 30(3): 495-505.
  • Salisu, A.A., Mobolaji, H., 2013. Modeling returns and volatility transmission between oil price and US-Nigeria exchange rate, Energy Economics, 39: 169-176.
  • Salisu, A.A.,Oloko, T. F., 2015. Modeling oil price-US stock nexus, A VARMA-BEKK-AGARCH approach, Energy Economics, 50: 1-12.
  • Tejeda, H., Goodwin, B., 2009. Price Volatility, Nonlinearity, and Asymmetric Adjustments in Corn, Soybean, and Cattle Markets, Implications of Ethanol-Driven (Market) Shocks. Paper presented at the 2009 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management, St. Louis, MO April 20-21.
  • Trujillo-Barrera, A., Mallory, M., Garcia, P., 2012. Volatility spillovers in US crude oil, ethanol, and corn futures markets. Journal of Agricultural and Resource Economics, 247-262. Urak, F., Bozma, G., Bilgic, A., 2018. Türkiye’de Buğday, Arpa, Benzin Reel Fiyatlarının ve Döviz Kurunun Koşullu Varyanslarındaki Oynaklığın VAR(1)-Asimetrik BEKK -GARCH (1, 1) Modeli ile Tahmin Edilmesi. KSÜ Tarım ve Doğa Derg, 21(4): 565-579.
  • Wang, G.Y., Si, R.X., Li, C.X., Zhang, G.T., Zhu, N.Y., 2018. Asymmetric price transmission effect of corn on hog, evidence from China., 64 (4): 186-196.
  • Ziemer, R.F., Collins, G.S., 1984. Granger Causality and US Crop and Livestock Prices. Southern Journal of Agricultural Economics, 16 (01).
There are 38 citations in total.

Details

Primary Language Turkish
Journal Section ARAŞTIRMALAR
Authors

Faruk Urak 0000-0002-2592-0589

Abdulbaki Bilgiç 0000-0001-5946-0915

Vedat Dağdemir 0000-0002-2293-9460

Hüseyin Özer 0000-0003-4915-6447

Publication Date January 1, 2022
Published in Issue Year 2022 Volume: 53 Issue: 1

Cite

APA Urak, F., Bilgiç, A., Dağdemir, V., Özer, H. (2022). Türkiye’de Döviz Kuru Bağlamında Dana Karkas, Kuzu Karkas ve Yemlik Buğday Piyasalarının Koşullu Varyanslarındaki Oynaklığın VAR (2)-Asimetrik BEKK-GARCH (1, 1) Modeli ile Tahmin Edilmesi. Atatürk Üniversitesi Ziraat Fakültesi Dergisi, 53(1), 31-41.
AMA Urak F, Bilgiç A, Dağdemir V, Özer H. Türkiye’de Döviz Kuru Bağlamında Dana Karkas, Kuzu Karkas ve Yemlik Buğday Piyasalarının Koşullu Varyanslarındaki Oynaklığın VAR (2)-Asimetrik BEKK-GARCH (1, 1) Modeli ile Tahmin Edilmesi. Atatürk Üniversitesi Ziraat Fakültesi Dergisi. January 2022;53(1):31-41.
Chicago Urak, Faruk, Abdulbaki Bilgiç, Vedat Dağdemir, and Hüseyin Özer. “Türkiye’de Döviz Kuru Bağlamında Dana Karkas, Kuzu Karkas Ve Yemlik Buğday Piyasalarının Koşullu Varyanslarındaki Oynaklığın VAR (2)-Asimetrik BEKK-GARCH (1, 1) Modeli Ile Tahmin Edilmesi”. Atatürk Üniversitesi Ziraat Fakültesi Dergisi 53, no. 1 (January 2022): 31-41.
EndNote Urak F, Bilgiç A, Dağdemir V, Özer H (January 1, 2022) Türkiye’de Döviz Kuru Bağlamında Dana Karkas, Kuzu Karkas ve Yemlik Buğday Piyasalarının Koşullu Varyanslarındaki Oynaklığın VAR (2)-Asimetrik BEKK-GARCH (1, 1) Modeli ile Tahmin Edilmesi. Atatürk Üniversitesi Ziraat Fakültesi Dergisi 53 1 31–41.
IEEE F. Urak, A. Bilgiç, V. Dağdemir, and H. Özer, “Türkiye’de Döviz Kuru Bağlamında Dana Karkas, Kuzu Karkas ve Yemlik Buğday Piyasalarının Koşullu Varyanslarındaki Oynaklığın VAR (2)-Asimetrik BEKK-GARCH (1, 1) Modeli ile Tahmin Edilmesi”, Atatürk Üniversitesi Ziraat Fakültesi Dergisi, vol. 53, no. 1, pp. 31–41, 2022.
ISNAD Urak, Faruk et al. “Türkiye’de Döviz Kuru Bağlamında Dana Karkas, Kuzu Karkas Ve Yemlik Buğday Piyasalarının Koşullu Varyanslarındaki Oynaklığın VAR (2)-Asimetrik BEKK-GARCH (1, 1) Modeli Ile Tahmin Edilmesi”. Atatürk Üniversitesi Ziraat Fakültesi Dergisi 53/1 (January 2022), 31-41.
JAMA Urak F, Bilgiç A, Dağdemir V, Özer H. Türkiye’de Döviz Kuru Bağlamında Dana Karkas, Kuzu Karkas ve Yemlik Buğday Piyasalarının Koşullu Varyanslarındaki Oynaklığın VAR (2)-Asimetrik BEKK-GARCH (1, 1) Modeli ile Tahmin Edilmesi. Atatürk Üniversitesi Ziraat Fakültesi Dergisi. 2022;53:31–41.
MLA Urak, Faruk et al. “Türkiye’de Döviz Kuru Bağlamında Dana Karkas, Kuzu Karkas Ve Yemlik Buğday Piyasalarının Koşullu Varyanslarındaki Oynaklığın VAR (2)-Asimetrik BEKK-GARCH (1, 1) Modeli Ile Tahmin Edilmesi”. Atatürk Üniversitesi Ziraat Fakültesi Dergisi, vol. 53, no. 1, 2022, pp. 31-41.
Vancouver Urak F, Bilgiç A, Dağdemir V, Özer H. Türkiye’de Döviz Kuru Bağlamında Dana Karkas, Kuzu Karkas ve Yemlik Buğday Piyasalarının Koşullu Varyanslarındaki Oynaklığın VAR (2)-Asimetrik BEKK-GARCH (1, 1) Modeli ile Tahmin Edilmesi. Atatürk Üniversitesi Ziraat Fakültesi Dergisi. 2022;53(1):31-4.
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