Research Article
Türkiye’de Buğday, Arpa, Benzin Reel Fiyatlarının ve Döviz Kurunun Koşullu Varyanslarındaki Oynaklığın VAR(1) – Asimetrik BEKK – GARCH (1, 1) Modeli ile Tahmin Edilmesi
Abstract
Bu çalışmada, Türkiye’de buğday, arpa, benzin fiyatları ve reel döviz kurunun
getirileri arasında nasıl bir oynaklık ve geçişkenlik meydana getirdiğini ve
geçişkenliğin simetrik olup olmadığını 2005:M5-2016:M8 döneminde günlük veri
setiyle VAR (1) – Asimetrik BEKK – GARCH (1, 1) modeli kullanılarak elde
edilmesi amaçlanmıştır. Yapılan VAR (1) – BEKK – GARCH (1, 1) modeli analiz sonuçlarına göre
buğday, arpa, benzin ve reel döviz kuru getirilerinin
koşullu varyansları kısa dönemde doğrudan ve dolaylı şoklardan istatistiki
olarak anlamlı bir şekilde etkilenmediği, fakat getiri serilerinin koşullu
varyansları doğrudan ve dolaylı olarak diğer getiri serilerinin uzun dönem
belirsizliğinden etkilenmiştir. Çalışmada ayrıca ürün piyasalarında belirsizlik
geçişkenliklerinde asimetrik etkilerin mevcut olmadığı sonucuna varılmıştır. İlaveten,
buğday ve arpanın benzin piyasasına karşı koruma oranları ile portföy
ağırlıkları ortaya konulmuştur.
References
- Abbott PC, Hurt C, Tyner WE 2008. What’s driving food prices? Oak Brook. IL: Farm Foundation: 1-80.
- Algan N, İşcan E, Serin D 2016. Enerji Fiyatlarının Dünya Gıda Fiyatları Üzerine Etkisi: Bir SınırTesti Yaklaşımı. International Conference on Eurasian Economies. 29-31 August, Kaposvar, Hungary.
- Baffes J 2007. Oil spills on other commodities. Resource Policy 32: 126–134.
- Campiche JL, Bryant HL, Richardson JW, Outlaw JL 2007. Examining the evolving correspondence between petroleum prices and agricultural commodity prices. The American Agricultural Economics Association Annual Meeting, Portland, or. July 29-August 1.
- Chang TH, Su HM 2010. The substitutive effect of biofuels on fossil fuels in the lower and higher crude oil price periods. Energy 35: 2807-2813.
- Chen ST, Kuo HI, Chen CC 2010. Modeling the relationship between the oil price and global food prices. Applied Energy 87: 2517–2525.
- Damba OT, Bilgic A, Aksoy A 2017. Estimating price volatility transmission between world crude oil and selected food commodities: A BEKK approach. Atatürk Üniversitesi Ziraat Fakültesi Dergisi 48: 41–49.
- Dickey D A, Fuller WA 1979. Distribution of the estimators for autoregressive time series with a unit root. Journal of the American statistical association, 74(366a): 427-431.
- Dong X, Ulgiati S, Yan M, Zhang X, Gao W 2008. Energy and emergy evaluation of bioethanol production from wheat in Henan Province, China. Energy Policy, 36: 3882-3892.
- Du X, Yu CL, Hayes DJ 2011. Speculation and volatility spillover in the crude oil and agricultural commodity markets: a Bayesian analysis. Energy Economic 33: 497–503.
- Engle RF 1982. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Econometric Society, 987-1007.
- Engle RF, 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.
- Gardebroek C, Hernandez 2013. Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets. Energy Economics 40: 119–129.
- Gilbert C 2010. How to understand high food prices. Journal of Agricultural Economics 61: 398–425.
- Harri A, Nalley L, Hudson D 2009. The relationship between oil, exchange rates, and commodity prices. Journal of Agricultural and Applied Economics 2: 501-510.
- Headey D, Fan S 2008. Anatomy of a crisis: the causes and consequences of surging food prices. Agricultural Economics 39: 375-391. doi:10.1111/j.1574-0862.2008.00345.
- Kaltalioglu M, Soytas U 2009. Price transmission between world food, agricultural raw material, and oil prices, GBATA International Conference Proceedings, 596–603, Prague.
- Kroner KF, Ng VK 1998. Modeling asymmetric comovements of asset returns. Review of Financial Studies 11(4): 817-844.
- Kroner KF, Sultan J 1993. Time-varying distributions and dynamic hedging with foreign currency futures. Journal of Financial and Quantitative Analysis 28(04): 535-551.
- Mitchell D 2008. A Note on Rising Food Prices. Washington, DC, The World Bank.
- Nazlioglu S, Soytas U 2011. World oil prices and agricultural commodity prices: Evidence from an emerging market. Energy Economics, 33(3): 488-496.
- 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.
- Nazlioglu S, Erdem C, Soytas U 2013. Volatility spillover between oil and agricultural commodity markets. Energy Economics 36: 658–665.
- 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.
- Rajagopal D, Zilberman D 2007. Reviewof Environmental, Economic and Policy Aspects of Biofuels. Policy Research Working Paper 4341.The World Bank, Washington, DC.
- Renewable Fuels Association (RFA) 2017. Industry Statistics. http://www.ethanolrfa.
- Rosegrant MW, Zhu T, Msangi S, Sulser T 2008. Global Scenarios for Biofuels, Impacts and Implications. Review of Agricultural Economics 30(3): 495-505.
- Serra T 2011. Volatility spillovers between food and energy markets: a semiparametric approach. Energy Economics 33: 1155–1164.
- Serra T, Zilberman D, Gil JM, Goodwin B K 2011. Nonlinearities in the U.S. corn-ethanol-oil-gasoline price system. Agricultural Economics 42(1): 35-45.
- Von Braun, Torero M 2009. Implementing the Physical and Virtual Food Reserves to Protect the Poor and Prevent Market Failure. Washington, DC: International Food Policy Research Institute.
- Wu H, Li S 2013. Volatility spillovers in China’s crude oil, corn and fuel ethanol markets. Energy Policy 62: 878–886. www.tarimdanhaber.com.
- Zhang Q, Reed M 2008. Examining the impact of the world crude oil price on China’s agricultural commodity prices: the case of corn, soybean, and pork. Paper presented at the The Southern Agricultural Economics Association Annual Meetings, Dallas, TX, February 2.
- Zhang Z, Lohr L, Escalante C, Wetzstein M 2010. Food versus fuel: what do prices tell us? Energy Policy 38: 445–451.
Estimating Volatility Transmission in Real Prices of Wheat, Barley and Gasoline and Exchange Rate in Turkey Using VAR (1) – Asymmetric BEKK – GARCH (1, 1) Model
Abstract
In this study, it was
examined how the volatility and volatility transmission between wheat, barley,
gasoline prices and real exchange rate were related, whether the volatility
pass-through was symmetric or not using VAR (1) – Asymmetric BEKK – GARCH (1,
1) for the period of 2005:M5-2016:M8 in Turkey. The results obtained from the
VAR (1) – Asymmetric BEKK – GARCH (1, 1) model show that the conditional
variances of wheat, barley, gasoline and real exchange rate returns were not
statistically affected by the direct or indirect shocks in the short term,
however, they were directly and indirectly affected by the long-run
volatilities of both own and other cross-markets. The study also concluded that
there are no asymmetric effects for volatility transmission. In the study, both
the hedging ratios and portfolio weights of wheat and barley against gasoline
market were determined.
References
- Abbott PC, Hurt C, Tyner WE 2008. What’s driving food prices? Oak Brook. IL: Farm Foundation: 1-80.
- Algan N, İşcan E, Serin D 2016. Enerji Fiyatlarının Dünya Gıda Fiyatları Üzerine Etkisi: Bir SınırTesti Yaklaşımı. International Conference on Eurasian Economies. 29-31 August, Kaposvar, Hungary.
- Baffes J 2007. Oil spills on other commodities. Resource Policy 32: 126–134.
- Campiche JL, Bryant HL, Richardson JW, Outlaw JL 2007. Examining the evolving correspondence between petroleum prices and agricultural commodity prices. The American Agricultural Economics Association Annual Meeting, Portland, or. July 29-August 1.
- Chang TH, Su HM 2010. The substitutive effect of biofuels on fossil fuels in the lower and higher crude oil price periods. Energy 35: 2807-2813.
- Chen ST, Kuo HI, Chen CC 2010. Modeling the relationship between the oil price and global food prices. Applied Energy 87: 2517–2525.
- Damba OT, Bilgic A, Aksoy A 2017. Estimating price volatility transmission between world crude oil and selected food commodities: A BEKK approach. Atatürk Üniversitesi Ziraat Fakültesi Dergisi 48: 41–49.
- Dickey D A, Fuller WA 1979. Distribution of the estimators for autoregressive time series with a unit root. Journal of the American statistical association, 74(366a): 427-431.
- Dong X, Ulgiati S, Yan M, Zhang X, Gao W 2008. Energy and emergy evaluation of bioethanol production from wheat in Henan Province, China. Energy Policy, 36: 3882-3892.
- Du X, Yu CL, Hayes DJ 2011. Speculation and volatility spillover in the crude oil and agricultural commodity markets: a Bayesian analysis. Energy Economic 33: 497–503.
- Engle RF 1982. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Econometric Society, 987-1007.
- Engle RF, 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.
- Gardebroek C, Hernandez 2013. Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets. Energy Economics 40: 119–129.
- Gilbert C 2010. How to understand high food prices. Journal of Agricultural Economics 61: 398–425.
- Harri A, Nalley L, Hudson D 2009. The relationship between oil, exchange rates, and commodity prices. Journal of Agricultural and Applied Economics 2: 501-510.
- Headey D, Fan S 2008. Anatomy of a crisis: the causes and consequences of surging food prices. Agricultural Economics 39: 375-391. doi:10.1111/j.1574-0862.2008.00345.
- Kaltalioglu M, Soytas U 2009. Price transmission between world food, agricultural raw material, and oil prices, GBATA International Conference Proceedings, 596–603, Prague.
- Kroner KF, Ng VK 1998. Modeling asymmetric comovements of asset returns. Review of Financial Studies 11(4): 817-844.
- Kroner KF, Sultan J 1993. Time-varying distributions and dynamic hedging with foreign currency futures. Journal of Financial and Quantitative Analysis 28(04): 535-551.
- Mitchell D 2008. A Note on Rising Food Prices. Washington, DC, The World Bank.
- Nazlioglu S, Soytas U 2011. World oil prices and agricultural commodity prices: Evidence from an emerging market. Energy Economics, 33(3): 488-496.
- 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.
- Nazlioglu S, Erdem C, Soytas U 2013. Volatility spillover between oil and agricultural commodity markets. Energy Economics 36: 658–665.
- 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.
- Rajagopal D, Zilberman D 2007. Reviewof Environmental, Economic and Policy Aspects of Biofuels. Policy Research Working Paper 4341.The World Bank, Washington, DC.
- Renewable Fuels Association (RFA) 2017. Industry Statistics. http://www.ethanolrfa.
- Rosegrant MW, Zhu T, Msangi S, Sulser T 2008. Global Scenarios for Biofuels, Impacts and Implications. Review of Agricultural Economics 30(3): 495-505.
- Serra T 2011. Volatility spillovers between food and energy markets: a semiparametric approach. Energy Economics 33: 1155–1164.
- Serra T, Zilberman D, Gil JM, Goodwin B K 2011. Nonlinearities in the U.S. corn-ethanol-oil-gasoline price system. Agricultural Economics 42(1): 35-45.
- Von Braun, Torero M 2009. Implementing the Physical and Virtual Food Reserves to Protect the Poor and Prevent Market Failure. Washington, DC: International Food Policy Research Institute.
- Wu H, Li S 2013. Volatility spillovers in China’s crude oil, corn and fuel ethanol markets. Energy Policy 62: 878–886. www.tarimdanhaber.com.
- Zhang Q, Reed M 2008. Examining the impact of the world crude oil price on China’s agricultural commodity prices: the case of corn, soybean, and pork. Paper presented at the The Southern Agricultural Economics Association Annual Meetings, Dallas, TX, February 2.
- Zhang Z, Lohr L, Escalante C, Wetzstein M 2010. Food versus fuel: what do prices tell us? Energy Policy 38: 445–451.
There are 34 citations in total.
Details
| Primary Language | Turkish |
|---|---|
| Journal Section | RESEARCH ARTICLE |
| Authors | |
| Publication Date | August 31, 2018 |
| Submission Date | December 5, 2017 |
| Acceptance Date | February 19, 2018 |
| Published in Issue | Year 2018Volume: 21 Issue: 4 |
Cite
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