Dünya Ham Petrol ve Seçilmiş Gıda Ürünlerin Arasındaki Fiyat Oynaklığın Tahmini: Bir BEKK-GARCH Yaklaşımı

Year 2017, , 41 - 49, 09.06.2017

Osman Tahidu Damba , Abdulbaki Bilgiç , Adem Aksoy

https://doi.org/10.17097/ataunizfd.309615

Cited By: 3

Abstract

Bu çalışma, 1990-2015 yılları arasında dünya ham petrol ve bazı
temel gıda fiyatları arasındaki geçişkenliği analiz etmek amacıyla, çok
değişkenli-BEKK GARCH modeli kullanarak petrol fiyatının ve seçilen gıda ürünlerin
fiyat oynaklığının hareketi ve boyutunu ortaya koymayı amaçlamıştır. Bu çalışma
dünya ham petrol fiyatındaki değişme ile tarımsal gıda piyasaları arasındaki
fiyat oynaklığının kaynağını anlamak, oynaklığı azaltma arayışlarını artırmak, oynaklıktan
gıda güvencesini kontrol altına almak ve gelecekte planlamada istikrarı
sağlamak amacı büyük önem taşımaktadır. Makalede ayrıca, çalışmada gerçek
(reel) fiyat getirileri uygulanmış ve seri normalleştirilmiştir. Ampirik
sonuçlar, ham petrol ile mandıra ürünleri hariç diğer gıda ürünlerinin fiyat
getirileri arasında belirgin bir oynaklık geçişkenliği etkisinin olduğunu
göstermiştir. Ham petrol fiyatı getirisi ile et, tahıl, yenilebilir yağlar ve
şekerler arasında kuvvetli ikili çapraz korelasyon ilişkisi mevcuttur. Ayrıca şoklar
gıda ürünlerin fiyatlarında ve ilk gecikmelerinde gözlenmiştir.

Keywords

Fiyatlar, Oynaklık, Ham Petrol, Gıda Ürünleri

Estimating Price Volatility Transmission between World Crude Oil and Selected Food Commodities: A BEKK Approach

Abstract

This paper quantified the behaviour and extent of oil
price and selected food commodity price volatilities using a multivariate-BEKK GARCH
model to analyse the shocks and volatility transmission effect between crude
oil and these commodities prices during 1990-2015. In line with the properties
of time series data, a series of test such as collinearity, unit root as well
as the presence of ARCH effects were conducted. The objective of this paper was
to understand the most volatile commodity due to changes in world crude oil
price returns and explore ways to reduce volatility relevant to food security and
its stability for future planning purposes. The paper further used real price
returns and demeans for normalization. Empirical results showed significant
volatility transmission effects between crude oil and the all the food
commodity except for dairy. Strong correlations existed between crude oil price
returns and meat, cereal, edible oils and sugars. Shocks were also observed
food commodity prices and its first lags. 

Keywords

Prices, Volatility, Crude Oil, Food Commodities

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