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COMMODITY PRICES AFFECT EACH OTHER? ASYMMETRIC FREQUENCY CAUSALITY ANALYSIS

Year 2017, ICMEB17 Özel Sayısı, 1079 - 1093, 01.12.2017

Melik Kamışlı Serap Kamışlı Fatih Temizel

Abstract

The crises experienced in recent years have caused the traditional investment instruments to be questioned. This has led investors to focus more on commodities in portfolio construction process compared to the past. However, fluctuations in commodity prices, especially due to supply and demand, lead to the complication of the relations between alternative commodities. In this context, data of oil, gold and silver prices between 16.09.200812.08.2017 were investigated by asymmetric frequency causality analysis. As a result of this study, short, medium and long term asymmetric causality relations between the commodities were determined

Keywords

Commodity Prices Asymmetric Frequency Causality Test Portfolio Management

References

  • Bahmani-Oskooee, M., Chang, T., & Ranjbar, O. (2016). Asymmetric causality using frequency domain and time- frequency https://doi.org/10.1016/j.econmod.2016.03.002 (wavelet) approaches. Economic Modelling, 56, 66 – 78.
  • Breitung, J., & Candelon, B. (2006). Testing for short and long-run causality: A frequency-domain approach. Journal of Econometrics, 132(2), 363 – 378. https://doi.org/10.1016/j.jeconom.2005.02.004
  • Chang, T., Ranjbar, O., & Jooste, C. (2017). Stock Market Interactions between the BRICS and the United States: Evidence from Asymmetric Granger Causality Tests in the Frequency Domain. Iranian Economic Review, 21(2), 297 – 320. https://doi.org/10.22059/IER.2017.62105
  • Ciner, C. (2011). Information transmission across currency futures markets: Evidence from frequency domain tests. https://doi.org/10.1016/j.irfa.2011.02.010 Review of Financial Analysis, 20(3), 134 – 139.
  • Ciner, C., Gurdgiev, C., & Lucey, B. M. (2013). Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates. International Review of Financial Analysis, 29, 202 – 211. https://doi.org/10.1016/j.irfa.2012.12.001.
  • Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49 (4), 1057 – 1072. https://doi.org/10.2307/1912517
  • Doornik, J. A., & Hansen. H. (2008). An omnibus test for univariate and multivariate normality. Oxford Bulletin of Economics and Statistics, 70: 927 – 939. https://doi.org/10.1111/j.1468-0084.2008.00537.x
  • Geweke, J. (1982). Measurement of linear dependence and feedback between multiple time series. Journal of the American Statistical Association, 77, 304 – 324. https://doi.org/10.1080/01621459.1982.10477803
  • Granger, C. W. J., & Yoon, G. (2002). Hidden Cointegration. Department of Economics Discussion Paper 2002- 02, University of California, San Diego. https://doi.org/10.2139/ssrn.313831
  • Hacker, R. S., & Hatemi-J, A. (2005). A test for multivariate ARCH effects. Applied Economics Letters 12 (7), 411 – 417. https://doi.org/10.1080/13504850500092129
  • Harri, A., Nalley, L., & Hudson, D. (2009). The Relationship between Oil, Exchange Rates, and Commodity Prices. https://doi.org/10.1017/S1074070800002959. Agricultural and Applied Economics, 41(2), 501 – 510.
  • Hatemi-J, A. (2012). Asymmetric Causality Tests with an Application. Empirical Economics, 43 (1), 447 – 456. https://doi.org/10.1007/s00181-011-0484-x
  • Hosoya, Y. (1991). The decomposition and measurement of the interdependence between second-order stationary processes. Probability Theory and Related Fields, 88(4), 429 – 444. https://doi.org/10.1007/BF01192551
  • Lucey, B. M., & Tully, E. (2006). The evolving relationship between gold and silver 1978–2002: evidence from a dynamic cointegration analysis: a note. Applied Financial Economics Letters, 2(1), 47 – 53. http://dx.doi.org/10.1080/17446540500426789
  • Ma, Z., Xu, R., & Dong, X. (2015). World oil prices and agricultural commodity prices: The evidence from China. Agricultural Economics, 61, 564 – 576. https://doi.org/10.17221/6/2015-AGRICECON
  • Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika 75 (2), 335 – 346. https://doi.org/10.1093/biomet/75.2.335
  • Ranjbar, O., Chang, T., Nel, E., & Gupta, R. (2017). Energy consumption and economic growth nexus in South Africa: Asymmetric frequency domain approach. Energy Sources, Part B: Economics, Planning, and Policy, 12(1), 24 – 31. https://doi.org/10.1080/15567249.2015.1020120
  • Reboredo, J. C. (2013). Is gold a hedge or safe haven against oil price movements?. Resources Policy, 38(2), 130 – 137. https://doi.org/10.1016/j.resourpol.2013.02.003.
  • Sari, R., Hammoudeh, S., & Soytas, U. (2010). Dynamics of oil price, precious metal prices, and exchange rate. Energy Economics, 32(2), 351 – 362. https://doi.org/10.1016/j.eneco.2009.08.010
  • Soytas, U., Sari, R., Hammoudeh, S., & Hacihasanoglu, E. (2009). World oil prices, precious metal prices and macroeconomy https://doi.org/10.1016/j.enpol.2009.08.020 Turkey. Energy Policy, 37(12), 5557 – 5566.
  • Wang, Y. S., & Chueh, Y. L. (2013). Dynamic transmission effects between the interest rate, the US dollar, and gold https://doi.org/10.1016/j.econmod.2012.09.052 oil prices. Economic Modelling, 30, 792 – 798.
  • Yılancı, V., & Bozoklu, S. (2014). Türk Sermaye Piyasasında Fiyat ve İşlem Hacmi İlişkisi: Zamanla Değişen Asimetrik http://www.onlinedergi.com/makaledosyalari/51/pdf2014_2_5.pdf Analizi. Ege Academic Review, 14(2), 211 – 220.
  • Zhang, Y., & Wei, Y. (2010). The crude oil market and the gold market: Evidence for cointegration, causality and price discovery. Resources Policy, 35(3), 2010, 168 – 177. https://doi.org/10.1016/j.resourpol.2010.05.003
  • Ek-1: Asimetrik Frekans Nedensellik Sonuçları

EMTİA FİYATLARI BİRBİRLERİNİ ETKİLER Mİ? ASİMETRİK FREKANS NEDENSELLİK ANALİZİ

Year 2017, ICMEB17 Özel Sayısı, 1079 - 1093, 01.12.2017

Melik Kamışlı Serap Kamışlı Fatih Temizel

Abstract

Son yıllarda yaşanan krizler geleneksel yatırım araçlarının sorgulanmasına yol açmıştır. Bu durum ise yatırımcıların portföy oluşturma sürecinde emtialara eskiye oranla daha fazla yönelmelerine neden olmuştur. Bununla birlikte emtia fiyatlarında özellikle arz ve talebe bağlı olarak yaşanan dalgalanmalar ise alternatif emtialar arasındaki ilişkilerin karmaşıklaşmasına yol açmaktadır. Bu bağlamda çalışmada 16.09.2008-12.08.2017 tarihleri arasında petrol, altın ve gümüş fiyatlarına ait veriler, asimetrik frekans nedensellik analizi ile araştırılmıştır. Çalışma sonucunda söz konusu emtialar arasında kısa, orta ve uzun dönemde asimetrik nedensellik ilişkileri tespit edilmiştir.

Keywords

Emtia Fiyatları Asimetrik Frekans Nedensellik Analizi Portföy Yönetimi

References

  • Bahmani-Oskooee, M., Chang, T., & Ranjbar, O. (2016). Asymmetric causality using frequency domain and time- frequency https://doi.org/10.1016/j.econmod.2016.03.002 (wavelet) approaches. Economic Modelling, 56, 66 – 78.
  • Breitung, J., & Candelon, B. (2006). Testing for short and long-run causality: A frequency-domain approach. Journal of Econometrics, 132(2), 363 – 378. https://doi.org/10.1016/j.jeconom.2005.02.004
  • Chang, T., Ranjbar, O., & Jooste, C. (2017). Stock Market Interactions between the BRICS and the United States: Evidence from Asymmetric Granger Causality Tests in the Frequency Domain. Iranian Economic Review, 21(2), 297 – 320. https://doi.org/10.22059/IER.2017.62105
  • Ciner, C. (2011). Information transmission across currency futures markets: Evidence from frequency domain tests. https://doi.org/10.1016/j.irfa.2011.02.010 Review of Financial Analysis, 20(3), 134 – 139.
  • Ciner, C., Gurdgiev, C., & Lucey, B. M. (2013). Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates. International Review of Financial Analysis, 29, 202 – 211. https://doi.org/10.1016/j.irfa.2012.12.001.
  • Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49 (4), 1057 – 1072. https://doi.org/10.2307/1912517
  • Doornik, J. A., & Hansen. H. (2008). An omnibus test for univariate and multivariate normality. Oxford Bulletin of Economics and Statistics, 70: 927 – 939. https://doi.org/10.1111/j.1468-0084.2008.00537.x
  • Geweke, J. (1982). Measurement of linear dependence and feedback between multiple time series. Journal of the American Statistical Association, 77, 304 – 324. https://doi.org/10.1080/01621459.1982.10477803
  • Granger, C. W. J., & Yoon, G. (2002). Hidden Cointegration. Department of Economics Discussion Paper 2002- 02, University of California, San Diego. https://doi.org/10.2139/ssrn.313831
  • Hacker, R. S., & Hatemi-J, A. (2005). A test for multivariate ARCH effects. Applied Economics Letters 12 (7), 411 – 417. https://doi.org/10.1080/13504850500092129
  • Harri, A., Nalley, L., & Hudson, D. (2009). The Relationship between Oil, Exchange Rates, and Commodity Prices. https://doi.org/10.1017/S1074070800002959. Agricultural and Applied Economics, 41(2), 501 – 510.
  • Hatemi-J, A. (2012). Asymmetric Causality Tests with an Application. Empirical Economics, 43 (1), 447 – 456. https://doi.org/10.1007/s00181-011-0484-x
  • Hosoya, Y. (1991). The decomposition and measurement of the interdependence between second-order stationary processes. Probability Theory and Related Fields, 88(4), 429 – 444. https://doi.org/10.1007/BF01192551
  • Lucey, B. M., & Tully, E. (2006). The evolving relationship between gold and silver 1978–2002: evidence from a dynamic cointegration analysis: a note. Applied Financial Economics Letters, 2(1), 47 – 53. http://dx.doi.org/10.1080/17446540500426789
  • Ma, Z., Xu, R., & Dong, X. (2015). World oil prices and agricultural commodity prices: The evidence from China. Agricultural Economics, 61, 564 – 576. https://doi.org/10.17221/6/2015-AGRICECON
  • Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika 75 (2), 335 – 346. https://doi.org/10.1093/biomet/75.2.335
  • Ranjbar, O., Chang, T., Nel, E., & Gupta, R. (2017). Energy consumption and economic growth nexus in South Africa: Asymmetric frequency domain approach. Energy Sources, Part B: Economics, Planning, and Policy, 12(1), 24 – 31. https://doi.org/10.1080/15567249.2015.1020120
  • Reboredo, J. C. (2013). Is gold a hedge or safe haven against oil price movements?. Resources Policy, 38(2), 130 – 137. https://doi.org/10.1016/j.resourpol.2013.02.003.
  • Sari, R., Hammoudeh, S., & Soytas, U. (2010). Dynamics of oil price, precious metal prices, and exchange rate. Energy Economics, 32(2), 351 – 362. https://doi.org/10.1016/j.eneco.2009.08.010
  • Soytas, U., Sari, R., Hammoudeh, S., & Hacihasanoglu, E. (2009). World oil prices, precious metal prices and macroeconomy https://doi.org/10.1016/j.enpol.2009.08.020 Turkey. Energy Policy, 37(12), 5557 – 5566.
  • Wang, Y. S., & Chueh, Y. L. (2013). Dynamic transmission effects between the interest rate, the US dollar, and gold https://doi.org/10.1016/j.econmod.2012.09.052 oil prices. Economic Modelling, 30, 792 – 798.
  • Yılancı, V., & Bozoklu, S. (2014). Türk Sermaye Piyasasında Fiyat ve İşlem Hacmi İlişkisi: Zamanla Değişen Asimetrik http://www.onlinedergi.com/makaledosyalari/51/pdf2014_2_5.pdf Analizi. Ege Academic Review, 14(2), 211 – 220.
  • Zhang, Y., & Wei, Y. (2010). The crude oil market and the gold market: Evidence for cointegration, causality and price discovery. Resources Policy, 35(3), 2010, 168 – 177. https://doi.org/10.1016/j.resourpol.2010.05.003
  • Ek-1: Asimetrik Frekans Nedensellik Sonuçları
There are 24 citations in total.

Details

Primary Language Turkish
Subjects Economics
Journal Section Research Article
Authors

Melik Kamışlı This is me

Serap Kamışlı This is me

Fatih Temizel This is me

Publication Date December 1, 2017
Submission Date October 17, 2017
Published in Issue Year 2017 ICMEB17 Özel Sayısı

Cite

APA Kamışlı, M., Kamışlı, S., & Temizel, F. (2017). EMTİA FİYATLARI BİRBİRLERİNİ ETKİLER Mİ? ASİMETRİK FREKANS NEDENSELLİK ANALİZİ. Uluslararası Yönetim İktisat Ve İşletme Dergisi, 13(13), 1079-1093.