Research Article
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
Abstract
Bu çalışmada, Türkiye’de koyun eti piyasası ile besi yemi piyasası arasındaki uzun dönem oynaklık ilişkisi ve bu oynaklığın simetrik olup olmadığı 2010:01–2016:12 dönemi aylık verileri ile VAR – Asimetrik BEKK – GARCH (1, 1) modeli kullanılarak analiz edildi. Analiz sonuçlarına göre, yalnızca koyun eti getirisinin benzin ve döviz kuru değişkenlerinden etkilenmesine karşın, koyun eti ve besi yemi piyasasındaki uzun dönem oynaklıklar, hem kendi kısa ve uzun dönem oynaklıklarından hem de çapraz piyasalardan etkilenmiştir. Enerji piyasası, koyun eti ve besi yemi piyasalarındaki uzun dönem belirsizliğini artıran bir unsur iken, buna karşılık döviz kuru piyasası, besi yemi piyasasındaki uzun dönem belirsizliğini düşürmektedir. Koyun eti ve besi yemi oynaklıkları arasındaki korelasyon düzeyinin 2013 yılından itibaren düşüşe geçmesi ve büyük oynaklık sergilemesi aynı dönemde Türk Lirasının yabancı para birimine (özellikle ABD Doları ve Euro) karşı değer kaybetmesine bağlanabilir. Dolayısıyla istikrarlı bir döviz kuru piyasasına sahip olmak ekonominin bütününde olduğu gibi koyun eti piyasası ile besi yemi piyasası arasında zaman boyutunda daha istikrarlı bir ilişkiye neden olacağı göz ardı edilmemelidir.
References
- Abbott PC, Hurt C, Tyner WE 2008. What’s Driving Food Prices? Oak Brook. IL: Farm Foundation: 1-80.
- Abdelradi F, and Serra T 2015. Asymmetric Price Volatility Transmission Between Food And Energy Markets: The Case Of Spain. Agricultural Economics 46 (4): 503–13.
- Apergis N, Rezitis A 2003. Agricultural Price Volatility Spillover Effects: The Case Of Greece. European Review Of Agricultural Economics: 389-406.
- Arslan S, (2017). Akaryakıt Fiyatlarının Küçük ve Büyük Baş Hayvan Fiyatlarına Etkisi. Uluslararası Yönetim İktisat ve İşletme Dergisi: 271-283.
- Assefa T, Meuwissen M, Lansink A.O 2015. Price Volatility Transmission in Food Supply Chains, A Literature Review. Agribusiness 31(1): 3–13.
- Balcombe K, Fraser L, Falco S 2010. Traffic Lights And Food Choice: A Choice Experiment Examining The Relationship Between Nutritional Food Labels And Price. Food Policy 35(3): 211-220.
- Burakov D 2016. Oil Prices, Exchange Rate And Prices For Agricultural Commodities, Empirical Evidence From Russia. AGRIS On-Line Papers İn 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.
- Campiche J.L, Bryant H.L, Richardson J.W, Outlaw J.L 2007. Examining The Evolving
- Cankurt M, Miran B, Şahin A 2010. Sığır Eti Tercihlerini Etkileyen Faktörlerin Belirlenmesi Üzerine Bir Araştırma: İzmir İli Örneği 51(2): 16-22.
- Chadwick M.G, Bastan E.M 2017. Beef Price Volatility in Turkey: Can Import Policy Affect the Price and Its Uncertainty. Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Charles H. Dyson School of Applied Economics and Management, Cornell University, Ithaca, New York 14853-7801.
- Chen ST, Kuo HI, Chen CC 2010. Modeling The Relationship Between The Oil Price and Global Food Prices. Applied Energy (87): 2517–2525.
- Ciaian P, Kancs A 2011a. Food, Energy and Environment, İs Bioenergy The Missing Link? Food Policy (36): 571-580.
- Ciaian P, Kancs A 2011b. Interdependencies İn The Energy Bioenergy Food Price Systems, A Cointegration Analysis, Resour, Energy Econ (33): 326-348.
- Correspondence Between Petroleum Prices and Agricultural Commodity Prices. The American Agricultural Economics Association Annual Meeting.Çelik Ş 2015. Impact Of İnflation, Dollar Exchange Rate and İnterest Rate On Red Meat Production İn Turkey, Vector Autoregressive (VAR) Analysis. Chinese Business Review 14(8).
- 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 C.L, Hayes D.J 2011. Speculation and Volatility Spillover İn The Crude Oil and Agricultural Commodity Markets, A Bayesian Analysis. Energy Economic (33): 497-503.
- Engle F, Kroner F 1995. Multivariate Simultaneous Generalized ARCH.
- Enerji Piyasası Düzenleme Kurumunun (EPDK) 2018.
- ESK 2016. Et ve Süt Kurumu, 2016 Yılı Sektör Değerlendirme.
- Fakari B, Aliabadi M.M. F, Mahmoudi H, Kojori M 2016. Volatility Spillover and Price Shocks İn Iran’s Meat Market. Custos e Agronegocio 12(2): 84-98.
- FAO 2016. Gıda ve Tarım Örgütü : http://www.fao.org/faostat/en/#data/PM
- FAO 2017. Gıda ve Tarım Örgütü.
- 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.
- Gilbert C.L 2010a. How To Understand High Food Prices. J. Agric. Econ. (61): 398-425.
- Headey D, Fan S 2008. Anatomy Of A Crisis: The Causes And Consequences Of Surging Food Prices. Agricultural Economics 39: 375-391.
- Karkacıer O 2000. “Türkiye Süt ve Süt Ürünleri İthal Talep Analizi”, Turk J. Agric. For (24): 421-427.
- Kesavan T, Aradhyula S.V, Johnson S.R 1992. Dynamics and Price Volatility İn Farmretail Livestock Price Relationships. Journal Of Agricultural and Resource Economics 17(2): 348-361.
- Khiyavi P.K, Moghaddasi R, Eskandarpur B, Mousavi, 2012. Spillover Effects Of Agricultural Products Price Volatilities İn Iran, Journal Of Basic and Applied Scientific Researc 2(8): 7906-7914.Maetz M 2013. Food Security-Defi Nition And drivers. http,//www.hungerexplained.org/Hungerexplained/Food_security_files/Foo
- McFarlane L 2016. Agricultural Commodity Prices and Oil Prices, Mutual Causation. Outlook Agric 45(2): 87–93.
- Mitchell D 2008. A Note on Rising Food Prices. Washington, DC, The World Bank.
- Nazlıoğlu S, Erdem C, Soytas U 2012. Volatility Spillover Between Oil and Agricultural Commodity Markets. Energy Economics:658-665.
- Nazlioglu S, Erdem C, Soytas U 2013. Volatility Spillover Between Oil and Agricultural Commodity Markets. Energy Economics (36): 658-665.
- OECD-FAO,2012-2017: http://www.susurlukticaretborsasi.com/images/df
- Rajagopal D, Zilberman D 2007. Reviewof Environmental, Economic and Policy Aspects of Biofuels. Policy Research Working Paper 4341.The World Bank,
- Rezitis A.N, Nicholas A 2003. Agricultural Price Volatility Spillover Effects: The Case Of Greece. European Review of Agricultural Economics 30(3): 389-406
- Rezitis A.N, Stavropoulos K.S 2012. Greek Meat Supply Response and Price Volatility İn A Rational Expectations Framework: A Multivariate GARCH Approach. European Review of Agricultural Economics 39(2): 309–333
- 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. International Review of Applied Economics 29(3): 403-434
- Rosegrant M, Tingju Z, Msangi S, Sulse T 2008. Global Scenarios for Biofuels: Impacts and Implications. Applied Economic Perspectives and Policy 30(3): 495-505
- Saghaian S, Özertan, Tergüç H, 2013. Dynamics of Price Transmission and Market Power in the Turkish Beef Sector: 1-23.
- Saygi H, Bayhan B 2011. Analysis of Turkey’s İmport Demand of Fishery Products”. African Journal of Agricultural Research 6(7): 1853-1856.
- Shahzad S.J.H, Hernandez J.A, Al-Yahyaee K.H 2018. Asymmetric Risk Spillovers Between Oil and Agricultural Commodities. Energy Policy (118):182-198.
- Serra T, Zilberman D 2013. Biofuel-Related Price Transmission Literature, A Review. Energy Economics (37):141-151.
- Şeker İ, Özen A, Güler H, Şeker P, Özden İ 2011. “Elazığ’da Kırmızı Et Tüketim Alışkanlıkları ve Tüketicilerin Hayvan Refahı Konusundaki Görüşleri”. Kafkas Univ Vet. Fak. Dergi 17(4): 543-550.
- TCMB EVDS 2018. Türkiye Cumhuriyeti Merkez Bankası Elektronik Veri Dağıtım Sistemi : https://evds2.tcmb.gov.tr/index.php?/evds/serieMarket
- Topcu Y, Uzundumlu A 2012. Tüketicilerin Kırmızı Et Tüketimi ile İlgili Tutum ve Davranışlarını Etkileyen Faktörlerin Analizi: Erzurum İli Örneği. 10. Ulusal Tarım Ekonomisi Kongresi. 5-7 Eylül 2012, Konya
- TÜİK 2018, Hayvancılık istatistikleri.
- TÜKETBİR 2018. Türkiye Kırmızı Et Üreticiler Birliği.
- TÜRKİYEBİR 2018. Türkiye Yem Sanayicileri Birliği.
- Tyner W 2010. The İntegration Of Energy And Agricultural Markets. Agr. Econ (41):193-201.USDA, Economic Research Service, 2011.
- 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.
- 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 Mutton, Fattening Fodder, Gasoline, and Exchange Rate in Turkey Using VAR – Asymmetric BEKK – GARCH (1, 1) Model
Abstract
In this study, the long–term volatility relation between the mutton market and fattening fodder market in Turkey and whether this pass–thorough was symmetric were estimated using 2010:01–2016:12 monthly data with VAR – Asymmetric BEKK – GARCH (1, 1) model. Results show that while only the mutton return was affected by the variables of gasoline and exchange rate, the long–term volatility in the mutton and fattening fodder markets was affected by both their short–term shocks and long–term volatility and cross–markets. While the energy market was a factor in increasing the long–term volatility in the mutton and fattening fodder markets, the exchange rate market, on the contrary, was a factor in reducing the long–term uncertainty in the fattening fodder market. The fact that the correlation level between mutton and fattening fodder volatilities has decreased since 2013, which can be attributed to the depreciation of the Turkish Lira against the foreign currencies (e.g., especially USD and Euro) in the same period leading great swings. Therefore, it should not be overlooked that having a stable foreign exchange market will cause a more stable relationship between the mutton market and the feed market as in the whole economy.
Keywords
Mutton Fattening Fodder Gasoline Pricees Volatility Conditional Variance and VAR – BEKK-GARCH
References
- Abbott PC, Hurt C, Tyner WE 2008. What’s Driving Food Prices? Oak Brook. IL: Farm Foundation: 1-80.
- Abdelradi F, and Serra T 2015. Asymmetric Price Volatility Transmission Between Food And Energy Markets: The Case Of Spain. Agricultural Economics 46 (4): 503–13.
- Apergis N, Rezitis A 2003. Agricultural Price Volatility Spillover Effects: The Case Of Greece. European Review Of Agricultural Economics: 389-406.
- Arslan S, (2017). Akaryakıt Fiyatlarının Küçük ve Büyük Baş Hayvan Fiyatlarına Etkisi. Uluslararası Yönetim İktisat ve İşletme Dergisi: 271-283.
- Assefa T, Meuwissen M, Lansink A.O 2015. Price Volatility Transmission in Food Supply Chains, A Literature Review. Agribusiness 31(1): 3–13.
- Balcombe K, Fraser L, Falco S 2010. Traffic Lights And Food Choice: A Choice Experiment Examining The Relationship Between Nutritional Food Labels And Price. Food Policy 35(3): 211-220.
- Burakov D 2016. Oil Prices, Exchange Rate And Prices For Agricultural Commodities, Empirical Evidence From Russia. AGRIS On-Line Papers İn 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.
- Campiche J.L, Bryant H.L, Richardson J.W, Outlaw J.L 2007. Examining The Evolving
- Cankurt M, Miran B, Şahin A 2010. Sığır Eti Tercihlerini Etkileyen Faktörlerin Belirlenmesi Üzerine Bir Araştırma: İzmir İli Örneği 51(2): 16-22.
- Chadwick M.G, Bastan E.M 2017. Beef Price Volatility in Turkey: Can Import Policy Affect the Price and Its Uncertainty. Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Charles H. Dyson School of Applied Economics and Management, Cornell University, Ithaca, New York 14853-7801.
- Chen ST, Kuo HI, Chen CC 2010. Modeling The Relationship Between The Oil Price and Global Food Prices. Applied Energy (87): 2517–2525.
- Ciaian P, Kancs A 2011a. Food, Energy and Environment, İs Bioenergy The Missing Link? Food Policy (36): 571-580.
- Ciaian P, Kancs A 2011b. Interdependencies İn The Energy Bioenergy Food Price Systems, A Cointegration Analysis, Resour, Energy Econ (33): 326-348.
- Correspondence Between Petroleum Prices and Agricultural Commodity Prices. The American Agricultural Economics Association Annual Meeting.Çelik Ş 2015. Impact Of İnflation, Dollar Exchange Rate and İnterest Rate On Red Meat Production İn Turkey, Vector Autoregressive (VAR) Analysis. Chinese Business Review 14(8).
- 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 C.L, Hayes D.J 2011. Speculation and Volatility Spillover İn The Crude Oil and Agricultural Commodity Markets, A Bayesian Analysis. Energy Economic (33): 497-503.
- Engle F, Kroner F 1995. Multivariate Simultaneous Generalized ARCH.
- Enerji Piyasası Düzenleme Kurumunun (EPDK) 2018.
- ESK 2016. Et ve Süt Kurumu, 2016 Yılı Sektör Değerlendirme.
- Fakari B, Aliabadi M.M. F, Mahmoudi H, Kojori M 2016. Volatility Spillover and Price Shocks İn Iran’s Meat Market. Custos e Agronegocio 12(2): 84-98.
- FAO 2016. Gıda ve Tarım Örgütü : http://www.fao.org/faostat/en/#data/PM
- FAO 2017. Gıda ve Tarım Örgütü.
- 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.
- Gilbert C.L 2010a. How To Understand High Food Prices. J. Agric. Econ. (61): 398-425.
- Headey D, Fan S 2008. Anatomy Of A Crisis: The Causes And Consequences Of Surging Food Prices. Agricultural Economics 39: 375-391.
- Karkacıer O 2000. “Türkiye Süt ve Süt Ürünleri İthal Talep Analizi”, Turk J. Agric. For (24): 421-427.
- Kesavan T, Aradhyula S.V, Johnson S.R 1992. Dynamics and Price Volatility İn Farmretail Livestock Price Relationships. Journal Of Agricultural and Resource Economics 17(2): 348-361.
- Khiyavi P.K, Moghaddasi R, Eskandarpur B, Mousavi, 2012. Spillover Effects Of Agricultural Products Price Volatilities İn Iran, Journal Of Basic and Applied Scientific Researc 2(8): 7906-7914.Maetz M 2013. Food Security-Defi Nition And drivers. http,//www.hungerexplained.org/Hungerexplained/Food_security_files/Foo
- McFarlane L 2016. Agricultural Commodity Prices and Oil Prices, Mutual Causation. Outlook Agric 45(2): 87–93.
- Mitchell D 2008. A Note on Rising Food Prices. Washington, DC, The World Bank.
- Nazlıoğlu S, Erdem C, Soytas U 2012. Volatility Spillover Between Oil and Agricultural Commodity Markets. Energy Economics:658-665.
- Nazlioglu S, Erdem C, Soytas U 2013. Volatility Spillover Between Oil and Agricultural Commodity Markets. Energy Economics (36): 658-665.
- OECD-FAO,2012-2017: http://www.susurlukticaretborsasi.com/images/df
- Rajagopal D, Zilberman D 2007. Reviewof Environmental, Economic and Policy Aspects of Biofuels. Policy Research Working Paper 4341.The World Bank,
- Rezitis A.N, Nicholas A 2003. Agricultural Price Volatility Spillover Effects: The Case Of Greece. European Review of Agricultural Economics 30(3): 389-406
- Rezitis A.N, Stavropoulos K.S 2012. Greek Meat Supply Response and Price Volatility İn A Rational Expectations Framework: A Multivariate GARCH Approach. European Review of Agricultural Economics 39(2): 309–333
- 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. International Review of Applied Economics 29(3): 403-434
- Rosegrant M, Tingju Z, Msangi S, Sulse T 2008. Global Scenarios for Biofuels: Impacts and Implications. Applied Economic Perspectives and Policy 30(3): 495-505
- Saghaian S, Özertan, Tergüç H, 2013. Dynamics of Price Transmission and Market Power in the Turkish Beef Sector: 1-23.
- Saygi H, Bayhan B 2011. Analysis of Turkey’s İmport Demand of Fishery Products”. African Journal of Agricultural Research 6(7): 1853-1856.
- Shahzad S.J.H, Hernandez J.A, Al-Yahyaee K.H 2018. Asymmetric Risk Spillovers Between Oil and Agricultural Commodities. Energy Policy (118):182-198.
- Serra T, Zilberman D 2013. Biofuel-Related Price Transmission Literature, A Review. Energy Economics (37):141-151.
- Şeker İ, Özen A, Güler H, Şeker P, Özden İ 2011. “Elazığ’da Kırmızı Et Tüketim Alışkanlıkları ve Tüketicilerin Hayvan Refahı Konusundaki Görüşleri”. Kafkas Univ Vet. Fak. Dergi 17(4): 543-550.
- TCMB EVDS 2018. Türkiye Cumhuriyeti Merkez Bankası Elektronik Veri Dağıtım Sistemi : https://evds2.tcmb.gov.tr/index.php?/evds/serieMarket
- Topcu Y, Uzundumlu A 2012. Tüketicilerin Kırmızı Et Tüketimi ile İlgili Tutum ve Davranışlarını Etkileyen Faktörlerin Analizi: Erzurum İli Örneği. 10. Ulusal Tarım Ekonomisi Kongresi. 5-7 Eylül 2012, Konya
- TÜİK 2018, Hayvancılık istatistikleri.
- TÜKETBİR 2018. Türkiye Kırmızı Et Üreticiler Birliği.
- TÜRKİYEBİR 2018. Türkiye Yem Sanayicileri Birliği.
- Tyner W 2010. The İntegration Of Energy And Agricultural Markets. Agr. Econ (41):193-201.USDA, Economic Research Service, 2011.
- 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.
- Zhang Z, Lohr L, Escalante C, Wetzstein M 2010. Food Versus Fuel, What Do Prices Tell Us? Energy Policy (38): 445-451.
There are 53 citations in total.
Details
| Primary Language | Turkish |
|---|---|
| Subjects | Agricultural, Veterinary and Food Sciences |
| Journal Section | RESEARCH ARTICLE |
| Authors | |
| Publication Date | October 31, 2020 |
| Submission Date | October 9, 2019 |
| Acceptance Date | February 6, 2020 |
| Published in Issue | Year 2020Volume: 23 Issue: 5 |
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Türkiye’de Dana Karkas, Kuzu Karkas ve Yemlik Buğday Reel Fiyatlarının Koşullu Varyanslarındaki Oynaklığın VAR (1)-Asimetrik BEKK-GARCH (1, 1) Modeli ile Tahmin Edilmesi
Kahramanmaraş Sütçü İmam Üniversitesi Tarım ve Doğa Dergisi
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