Petrol ve Euro Piyasaları Arasındaki Politomik Yayılım Dinamikleri: Yüksek Frekanslı Bir Perspektif

Abstract

Bu çalışma, COVID-19 pandemisi ve ekonomik dalgalanmaların etkili olduğu 2020–2024 döneminde günlük West Texas Intermediate (WTI) petrol fiyatları ile Euro döviz kuru (EUR) arasındaki kısa vadeli ilişkiyi araştırmaktadır. Sürekli dalgacık dönüşümüne dayalı faz farkı, kazanç, bağdaşım, korelasyon ve nedensellik ölçütleri gibi güçlü testleri içeren kapsamlı bir dalgacık temelli çerçeve kullanılmıştır. Bulgular, ekonomik istikrarsızlık dönemlerinde emtia ve döviz piyasaları arasında anlamlı bir bulaşma mekanizmasının işlediğini gösteriyor. Belirsizlik arttıkça bulaşma etkileri yoğunlaşmakta, bu da riskten korunma stratejilerinde piyasa dinamikleri ve oynaklık bilgilerinin etkin kullanımının önemini vurgulamaktadır. Çalışma, ikili (dikotomik) yaklaşımlar yerine çok boyutlu (politomik) analizlerin daha gerçekçi bulgular sağladığını ortaya koymaktadır. Bu bulgular, politika yapıcıların sistemik şoklar sırasında piyasalar arası bağlantıları izlemesinin kritik önemde olduğunu vurgulamaktadır. Yüksek frekanslı piyasa etkileşimlerinin detaylı analizini sunarak literatüre katkıda bulunan bu çalışma, başta büyük bir net petrol ithalatçısı olan Avrupa olmak üzere, birbirine bağlı finans piyasalarında kısa vadeli alım satım ve risk yönetimiyle ilgilenen yatırımcılar, portföy yöneticileri ve politika yapıcılar için pratik çıkarımlar sunmaktadır.

Keywords

• Finansal Piyasalar
• Dalgacık Analizi
• Bulaşma Etkisi

Polytomic Spillover Dynamics between Oil and Euro Markets: A High-Frequency Perspective

Abstract

This study investigates the short-term relationship between daily West Texas Intermediate (WTI) oil prices and the Euro exchange rate (EUR) during the 2020–2024 period, which was marked by the COVID-19 pandemic and economic fluctuations. A comprehensive wavelet-based framework, including powerful tests such as phase difference, gain, coherence, correlation, and causality measures based on continuous wavelet transform, was employed. The findings reveal a significant spillover mechanism operating between commodity and foreign exchange markets during periods of economic instability. As uncertainty intensifies with market turmoil, spillover effects become more pronounced, highlighting the importance of using market dynamics and volatility information effectively in hedging strategies. The study demonstrates that multidimensional (politomic) analyses provide more realistic findings than binary (dichotomic) approaches. These results emphasize the critical importance for policymakers to monitor intermarket connections during systemic shocks. By providing a detailed analysis of high-frequency market interactions, this study contributes to the literature and offers practical implications for investors, portfolio managers, and policymakers involved in short-term trading and risk management in increasingly interconnected financial markets, particularly in Europe, a major net oil importer.

Keywords

• Financial Markets
• Wavelet Analysis
• Contagion Effects

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