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

Year 2017, Volume: 18 Issue: 2, 69 - 83, 01.07.2017

Fatih Kaplan Sevda Yapraklı

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

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