An Analysis of Price Transmission in Hazelnut Market

Year 2008, Volume: 21 Issue: 1, 139 - 143, 01.06.2008

S. A. Hatırlı E. Öztürk A. R. Aktaş

Abstract

Even though Turkey is the world’s dominant producer and exporter of hazelnut, world price of hazelnut is mainly determined at Stock Exchange of Hamburg in Germany, leading importer of hazelnut in the world. In this study, price transmission of hazelnut from Turkey to Germany was investigated using monthly data, covering from 1996 to 2006. As an econometric model, double-logarithmic functional form was used and exchange rate volatility was also included into model using GARCH approach. Based on the main findings of the model, the results showed that price transmission and exchange rate elasticities in both short and long run are less than one, indicating an incomplete pass through.

Keywords

Price Transmission, Exchange Rate, Volatility, GARCH, Hazelnut

FINDIK PİYASASINDA FİYAT GEÇİRGENLİĞİNİN ANALİZİ

Abstract

Türkiye fındık üretimi ve ihracatında dominant ülke olmasına karşın, dünya fındık fiyatları önemli seviyede dünya fındık ithalatında ilk sırada yer alan Almanya’da Hamburg borsası tarafından belirlenmektedir. Bu çalışmada, 1996–2006 dönemi aylık verileri kullanılarak Türkiye’den Almanya’ya fındık fiyatları geçirgenliği incelenmiştir. Ekonometrik model olarak çift yönlü logaritmik model kullanılmış olup döviz kuru dalgalanmaları da modele GARCH yaklaşımı ile dahil edilmiştir. Modelin temel tahmin sonuçlarına göre, fiyat geçirgenliği ve döviz kuru esneklikleri kısa ve uzun dönemde az esnek olarak hesaplanmış olup geçirgenliğin tam olmadığını ifade etmektedir

Keywords

Fiyat Geçirgenliği, Döviz Kuru, Dalgalanma, GARCH, Fındık

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