Altın-Petrol Paritesi ile Döviz Kuru Arasındaki Nedensellik: Altın ve Petrol Üreten 7 Ülke Üzerine Bir Araştırma

Abstract

Bu çalışmanın amacı hem altın hem de petrol üretimi olan 7 ülkede Meksika, Brezilya, Rusya, Endonezya, Avustralya, Çin ve ABD altın-petrol paritesi ile reel döviz kuru arasındaki nedenselliği incelemektir. Bu amaçla 2008-2015 dönemine ait aylık veriler kullanılarak, Toda ve Yamamoto TY lineer nedensellik testi ve Hatemi-J H simetrik nedensellik testleri yapılmıştır. TY testinden elde edilen bulgulara göre Brezilya, Rusya ve Çin’de altın-petrol paritesi ile reel döviz kuru arasında nedensellik bulunmaktadır. H testi sonuçları ise altın-petrol paritesindeki negatif ve pozitif şoklara karşı ele alınan ülkelerde reel döviz kurlarının farklı yönlerde düşme-yükselme tepki verdiklerini göstermektedir. Sonuç olarak bu çalışmada yapılan analizler, altın-petrol paritesi ile reel döviz kuru arasındaki nedensellik ilişkisinin teorik beklentilerle her zaman uyumlu olmadığını ve kullanılan analiz yöntemlerine duyarlı olduğunu göstermektedir.

Keywords

• Altın-Petrol Paritesi, Reel Döviz Kuru, Petrol ve Altın Üreten Ülkeler, Nedensellik Analizi

Causality between Gold-Oil Parity and Real Exchange Rate: A Research on 7 Countries Producing Oil and Gold

Abstract

The aim of this study is to examine the causality between the gold-oil parity and the real exchange rate in seven countries Mexico, Brazil, Russia, Indonesia, Australia, China and the United States , both gold and oil producers. For this purpose, Toda and Yamamoto TY linear causality test and Hatemi-J H symmetric causality tests were performed using the monthly data of 2008-2015 period. According to the findings of the TY test, there is causality between the gold-oil parity and the real exchange rate in Brazil, Russia and China. H test results show that the real exchange rates in the countries studied against to negative and positive shocks in the gold-oil parity have reacted in different directions fall-rise . In conclusion, the analyzes done in this study show that the causality relationship between the gold-oil parity and the real exchange rate is not always consistent with the theoretical expectations and is sensitive to the analysis methods used

Keywords

• Gold-Oil Parity, Real Exchange Rate, Countries Producing Oil and Gold Causality Analysis

References

1. Ai, H., Shanying, X. ve Shouyang W. (2008). Australian Dollars Exchange Rate and Gold Prices: An Interval Method Analysis, 7th International Symposium on Operations Research and Its Applications (ISORA’08) , Lijiang China, Oct 31- November 3: 46-52.
2. Amano, R.A. ve Norden, S. (1998). Exchange Rates and Oil Prices, Review of International Economics, 6 (4): 683-694.
3. Amihud, Y. (1994). Evidence on Exchange Rates and the Valuation of Equity Shares, in Y. Amihud and R. Levich (eds.), Exchange Rates and Corporate Performance, Irwin, USA: 49-59.
4. Arfaoui, M. ve Rejeb, A.B. (2016). Oil, Gold, US Dollar and Stock Market Interdependencies: A Global Analytical Insight, MPRA Paper No. 70452, https://mpra.ub.uni-muenchen.de/70452/, (E. T. 04.01.2017).
5. Azar, S.A. (2015). The Relation of the US Dollar with Oil Prices, Gold Prices, and the US Stock Market, Research in World Economy, 6 (1): 159-171.
6. Bhunia, A. (2013). Cointegration and Causal Relationship Among Crude Price, Domestic Gold Price and Financial Variables an Evidence of BSE and NSE, Journal of Contemporary Issues in Business Research, 2 (1): 1-10.
7. Bodart, V., Candelon, B. ve Carpantier, J-F. (2012). Real Exchanges Rates in Commodity Producing Countries: A Reappraisal, Journal of International Money and Finance, 31 (6): 1482-1502.
8. Caprio, J. ve Clark, P.B. (1981). Oil Price Shocks in A Portfolio-Balance Model, International Finance Discussion Papers, 181: 1-24.

9. Cashin, P., Cespedes, L. ve Sahay, R. (2004). Commodity Currencies and the Real Exchange Rate. Journal of Development Economics, 75: 239-268.
10. Chen, S. ve Chen, H. (2007), Oil Prices and Real Exchange Rates. Energy Economics, 29: 390-404.
11. Chen, Y-C. ve Rogoff, K. (2003). Commodity Currencies. Journal of International Economics, 60: 133-160.
12. Ciner, Ç., Constantin, G. ve Brian L.M. (2013). Hedges and Safe Havens: An Examination of Stocks, Bonds, Gold, Oil and Exchange Rates. International Review of Financial Analysis, 29: 202-211.
13. Coudert, V., Mignon, V. ve Penot, A. (2008).Oil Price and the Dollar.Energy Studies Review, 15 (2): 45-58.
14. Dauvin, M. (2014). Energy Prices and the Real Exchange Rate of Commodity- Exporting Countries. International Economics, 137: 52-72.
15. Dauvin, M. (2013). Energy Prices and the Real Exchange Rate of Commodity- Exporting Countries. CEPII Research Center, Working Papers, 2013-28.
16. Furlong, F. ve Ingenito, R. (1996). Commodity Prices and Inflation, Economic Review-Federal Reserve Bank of San Francisco, 2: 27-47.
17. Golub, S.S. (1983). Oil Prices and Exchange Rates. The Economic Journal, 93 (371): 576-593.
18. Hammes, D. ve Wills, D. (2005). Black Gold: The End of Bretton Woods and the Oil Price Shocks of the 1970s. The Independent Review, 9 (4): 501-511.
19. Hatemi-J, A. (2012). Asymmetric Causality Tests with an Application. Empirical Economics, 43: 447-456.
20. Huang, Y. ve Guo, F. (2007). The Role of Oil Price Shocks on China’s Real Exchange Rate. China Economic Review, 18: 403-416.
21. Jiranyakul, K. (2015). Oil Price Volatility and Real Effective Exchange Rate: The Case of Thailand. International Journal of Energy Economics and Policy, 5(2): 574-579.
22. Kim, M.H. ve Dilts, D.A. (2011). The Relationship of the Value of the Dollar, and the Prices of Gold and Oil: A Tale of Asset Risk. Economics Bulletin, 31 (2): 1151- 1162.
23. Kiohos, A. and Sariannidis, N. (2010). Determinants of The Asymmetric Gold Market. Investment Management and Financial Innovations, 7 (4): 26-33.
24. Koranchelian, T. (2005), The Equilibrium Real Exchange Rate in a Commodity Exporting Country: Algeria’s Experience. IMF Working Paper 05/135, Washington D.C.
25. Krugman, P. (1983). Oil Shocks and Exchange Rate Dynamics, in Jacob A.F. (Ed.). Exchange Rates and International Macroeconomics, University of Chicago Press: 259-284.
26. Le, T. ve Chang, Y. (2011). Oil and Gold Prices: Correlation Or Causation?. Economic Growth Centre Working Paper Series, W. P. No: 2011/02: 1-22.
27. Lizardo, R. ve Mollick, A.V. (2010). Oil Price Fluctuations and U.S. Dollar Exchange Rates , Energy Economics Volume, 32 (2): 399-408.
28. Melvin, M. ve Sultan, J. (1990). South African Political Unrest, Oil Prices, and The Time Varying Risk Premium in The Fold Futures Market. Journal of Futures Markets, 10: 103-111.
29. Mu-Lan W., Ching-Ping W. ve Huang, T.Y. (2010). Relationships Among Oil Price, Gold Price, Exchange Rate and International Stock Markets. International Research Journal of Finance and Economics, 47: 83-92.
30. Narayan P.K., Narayan S. and Zheng, X. (2010). Gold and Oil Futures Markets: Are Markets Efficient?, Applied Energy, 87 (10): 3299-3322.
31. Nath, G.C. (2013). “Gold Oil Ratio and Its Implications”, Montly Newsletter, https://www.ccilindia.com/Documents/Rakshitr20Implications.pdf, (E. T. 04.01.2017).
32. Nirmala, S. (2015). An Analysis of The Relationship Between Gold and Crude Oil Prices. International Journal of Applied Research, 1 (13): 156-159.
33. Poyraz, E. ve Didin, S. (2008). Altın Fiyatlarındaki Değişimin Döviz Kuru, Döviz Rezervi ve Petrol Fiyatlarından Etkilenme Derecelerinin Çoklu Faktör Modeli ile Değerlendirilmesi. Süleyman Demirel Üniversitesi İİBF Dergisi, 13 (2): 93- 104.
34. Pukthuanthong, K. ve Roll, R. (2011). Gold and the Dollar (and the Euro, Pound, and Yen). Journal of Banking & Finance, 35 ( 8): 2070-2083.
35. Ranson, D.R. (2015). The Changing Price of Oil Relative to Gold, National Center for Policy Analysis, http://www.ncpa.org/pdfs/ba815.pdf, (E.T. 05.01.2017).
36. Sari, R., Hammoudeh, S. ve Soytaş, U. (2010). World Oil Prices, Precious Metal Prices and Macroeconomy in Turkey. Energy Economics, 32: 351-362.
37. Simakova, J. (2011). Analysis of the Relationship Between Oil and Gold Prices. Journal of Finance, 51 (1): 651-662.
38. Sjaastad, L.A. ve Scacciavillani, F. (1996). The Price of Gold and The Exchange Rate. Journal of International Money and Finance, 15 (6): 879-897.
39. Soytaş, U., Sari, R., Hammoudeh, S. ve Hacihasanoğlu, E. (2009). World Oil Prices, Precious Metal Prices and Macroeconomy in Turkey. Energy Policy, 37: 5557- 5566.
40. Sujit, K.S. ve Kumar, B.R. (2011). Study on Dynamic Relationship Among Gold Price, Oil Price, Exchange Rate and Stock Market Returns. International Journal of Applied Business and Economic Research, 9 (2): 145-165.
41. Şahbaz, A., Adıguzel, U., Bayat, T. ve Kayhan, S. (2014). Relationship Between Oil Prices and Exchange Rates: The Case of Romania. Economic Computation & Economic Cybernetics Studies & Research, 48 (2): 1-12.
42. Şentürk, M., Akbaş, Y.E. ve Adıgüzel, U. (2013). Uluslararası Ham Petrol ve Altın Fiyatlarının Amerikan Doları İle İlişkisi: Ampirik Bir Uygulama. Akademik Yaklaşımlar Dergisi, 4 (2): 139-149.
43. Todo, H.Y. ve Yamamoto, T. (1995). Statistical Inference in Vector Autoregressions with Possibly Integrated Processes. Journal of Econometrics, 66: 225-250.
44. Toraman, C., Başarır, C. ve Bayramoğlu, M.F. (2011). Altın Fiyatlarını Etkileyen Faktörlerin Tespiti Üzerine: MGARCH Modeli ile Bir İnceleme. Uluslararası Alanya İşletme Fakültesi Dergisi, 3 (1): 1-20.
45. Twite, G. (2002). Gold Prices, Exchange Rates, Gold Stocks and the Gold Premium. Australian Journal of Management, 27 (2): 123-140.
46. Zhang, Y.J. (2013). The Links Between the Price of Oil and the Value of US Dollar. International Journal of Energy Economics and Policy, 3 (4): 341-351.
47. Zhang, Y.J. ve Wei, Y.M. (2010). The Crude Oil Market and The Gold Market: Evidence for Cointegration, Causality and Price Discovery. Resources Policy, 35: 168-177.