Altın piyasalarında doğrusal olmayan bilgi aktarımı: çapraz yineleme niceleme analizinden (CRQA) elde edilen kanıtlar

Abstract

Çalışma, altın fiyatlarının oluşum sürecinde spekülatif pozisyonlar ve reel faiz oranları arasındaki bilgi aktarımının doğrusal, zamandan bağımsız ve tek yönlü bir mekanizma olarak mı işlediğini, yoksa zamana ve piyasa rejimlerine duyarlı doğrusal olmayan bir yapı mı sergilediğini incelemektedir. Aslında burada reel faizi kamunun piyasaya etkisinin sonucu, altın opsiyon farklarını ise sermaye piyasasının piyasaya etkisinin sonucu olarak düşünürsek, çalışma aynı zamanda altın fiyatlarını kamu mu yoksa özel sektör mü yönlendiriyor sorusuna da cevap aramaktadır. Çalışmada bu amaçla, altın fiyatları, spekülatif piyasa pozisyonları ve reel faiz oranları arasındaki etkileşim Çapraz Yineleme Niceleme Analizi (CRQA) ve pencerelenmiş CRQA (W-CRQA) yöntemleri kullanılarak analiz edilmektedir. Bu yöntemler, geleneksel doğrusal nedensellik ve fiyat oluşum yaklaşımlarının yakalamakta zorlandığı dinamik gösterge, gecikme ve yapısal bağlanma özelliklerinin ortaya konulmasına olanak sağlamaktadır. Elde edilen bulgular, spekülatif pozisyonların altın fiyatları üzerinde uzun vadede istatistiksel olarak anlamlı ve deterministik bir öncü gösterge rolü üstlendiğini göstermektedir. Yaklaşık on aylık bir gecikmeyle tespit edilen bu durum, spekülatif sermayenin altın fiyatlarını yalnızca kısa vadeli dalgalanmalar üzerinden değil, beklenti oluşumu ve stratejik pozisyonlanma süreçleri aracılığıyla yönlendirdiğine işaret etmektedir. Buna karşılık reel faiz oranları ile altın fiyatları arasındaki ilişki daha yüksek bir determinizm düzeyi sergilemekle birlikte, kamu politikalarının piyasa dinamiklerine gecikmeli ve büyük ölçüde reaktif bir biçimde yanıt verdiği görülmektedir. Ayrıca zamana bağlı analizler, kriz ve belirsizlik dönemlerinde bu ilişkilerin zayıfladığını ve bazı alt dönemlerde geçici olarak çözüldüğünü ortaya koymaktadır. Bu bulgular, altın piyasasında bilgi aktarımının doğrusal ve statik bir süreç olmadığını; aksine aktör türüne, zamana ve piyasa koşullarına bağlı olarak değişen karmaşık bir yapı sergilediğini göstermektedir. Çalışma, altın piyasalarına ilişkin fiyat belirleme ve liderlik literatürüne doğrusal olmayan ve zamana duyarlı bir bakış açısı sunarak önemli bir metodolojik katkı sağlamaktadır.

Keywords

• Altın fiyatları
• spekülatif pozisyonlar
• reel faiz oranları
• bilgi aktarımı
• doğrusal olmayan dinamikler
• çapraz tekrarlama niceleme analizi

Nonlinear information transmission in gold markets: evidence from cross-recurrence quantification analysis (CRQA)

Abstract

The study examines whether the information transfer between speculative positions and real interest rates in the gold price formation process operates as a linear, time-independent, and unidirectional mechanism, or whether it exhibits a nonlinear structure sensitive to time and market regimes. In fact, if we consider real interest rates as the result of the public sector's impact on the market and gold option spreads as the result of the capital market's impact on the market, the study also seeks to answer the question of whether gold prices are driven by the public or private sector. To this end, the study analyzes the interaction between gold prices, speculative market positions, and real interest rates using Cross-Recurrence Quantification Analysis (CRQA) and windowed CRQA (W-CRQA) methods. These methods enable the identification of dynamic indicators, lags, and structural linkages that traditional linear causality and price formation approaches struggle to capture. The findings indicate that speculative positions play a statistically significant and deterministic leading indicator role on gold prices in the long term. This situation, identified with a lag of approximately ten months, suggests that speculative capital influences gold prices not only through short-term fluctuations but also through expectation formation and strategic positioning processes. In contrast, while the relationship between real interest rates and gold prices exhibits a higher level of determinism, public policies appear to respond to market dynamics in a lag and largely reactive manner. Furthermore, time-dependent analyses reveal that these relationships weaken during periods of crisis and uncertainty and temporarily dissolve in some sub-periods. These findings show that information transmission in the gold market is not a linear and static process; rather, it exhibits a complex structure that varies depending on the type of actor, time, and market conditions. The study provides an important methodological contribution by offering a non-linear and time-sensitive perspective on the literature on price determination and leadership in gold markets.

Keywords

• Gold prices
• speculative positions
• real interest rates
• information transmission
• nonlinear dynamics
• cross-recurrence quantification analysis

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