Determining the Relationship Between Energy and Agricultural Commodities with the ARDL Model

Year 2022, Volume: 24 Issue: 2, 147 - 160, 30.12.2022

Hidayet Güneş

Abstract

The daily volatility in the prices of energy and agricultural commodities is one of the most important factors that push investors to trade in these markets. For those who invest in energy and agricultural commodities while creating a portfolio, the relationship between these commodities should be determined correctly. If the position taken is actually wrong, it is inevitable to encounter an unexpected loss. Therefore, taking positions by knowing the relationship between both long-term and short-term will help investors increase their returns or close positions with the least loss.
This study was carried out in order to determine the long-term relationship between energy and agricultural commodities. WTI oil, diesel and natural gas were selected as energy commodities, wheat, cocoa and cotton were selected as agricultural commodities, and analyzes were made with the ARDL model. As a result of the analysis, it has been determined that there is a long-term relationship between WTI oil taken as a dependent variable, and other commodities taken as an independent variable. This result indicates that energy and agricultural commodities move together in the long run and it is necessary to be careful while creating a portfolio based on them.

Keywords

Energy and Agricultural Commodities, ARDL Model, Long-Run Relationship

Enerji ve Tarım Emtiaları Arasındaki İlişkinin ARDL Modeli İle Belirlenmesi

Abstract

Enerji ve tarım emtiaları fiyatlarında yaşanan günlük hareketlilik, yatırımcıları bu piyasalarda işlem yapmaya iten en önemli faktörlerden biridir. Portföy oluştururken enerji ve tarımsal emtialara yönelik yatırımda bulunanlar açısından bu emtialar arasındaki ilişkinin doğru şekilde tespit edilmesi gerekmektedir. Eğer alınan pozisyon aslında yanlışsa beklenmedik bir zararla karşılaşılması kaçınılmazdır. Bu yüzden hem uzun dönemli hem de kısa dönemli aralarında oluşan ilişkinin bilinerek pozisyon alınması, yatırımcıların getirilerini artırabilmelerine ya da en az kayıpla pozisyon kapatmalarına destek olabilecektir.
Bu çalışma enerji ve tarım emtiaları arasındaki uzun dönemli ilişkinin tespit edilebilmesi amacıyla yapılmıştır. Enerji emtiaları olarak WTI petrol, motorin ve doğalgaz, tarım emtiaları olarak buğday, kakao ve pamuk seçilmiş ve ARDL modeli ile analizler yapılmıştır. Analiz sonucunda bağımlı değişken olarak alınan WTI petrol ile bağımsız değişken olarak alınan diğer emtialar arasında uzun dönemli ilişki olduğu tespit edilmiştir. Bu sonuç uzun dönemde enerji ve tarım emtialarının birlikte hareket ettiğini ve bunlara dayalı portföy oluştururken dikkatli davranılması gerekliliğini ifade etmektedir.

Keywords

Enerji ve Tarım Emtiaları, ARDL Modeli, Uzun Dönemli İlişki

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