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PETROL FİYATLARINDAN KAYNAKLANAN RİSKİN TAHMİN EDİLMESİ: Monte Carlo Simulasyonu Yöntemiyle RmD Yaklaşımı

Year 2009, Volume: 59 Issue: 2, 61 - 84, 08.10.2010

Abstract

Ekonomi literatüründe çok çeşitli çalışmalar tarafından farklı yönleri ortaya konulan petrol fiyatlarındaki değişimin ekonomi üzerinde yarattığı etkilerden hareketle, söz konusu fiyat değişimlerinin yaratacağı risklerin öngörülmesi, hesaplanması ve yönetilmesi sorunu gerek makro politikaları belirleyen otoriteler, gerekse işletmeler tarafından oldukça önemlidir. Riskin yönetilmesi kavramı içinde en önemli unsurlardan biri ise riskin ölçülmesidir. Bu çalışmada da petrol fiyatlarından kaynaklanan riskin tahmin edilmesinde Monte Carlo simülasyonu yöntemiyle RmD yaklaşımı uygulanmıştır. Haftalık ham petrol fiyatlarının kullanılmasıyla 10/01/1997 - 16/06/2006 tarihleri arası olarak belirlenen tahmin dönemine dayalı olarak gerçekleştirilen simülasyon sonuçları, test dönemine (23/06/2006-16/05/2008) uygulandığında elde edilen bulgular, ham petrol fiyatlarındaki değişimlerden kaynaklanan riskin ölçümünde Monte Carlo simülasyonuna göre tahmin edilen RmD'nin, hesaplandığı güven düzeyleri ile ilgili olarak beklenen sonuçları verdiği yönündedir. Binary ve kuadratik kayıp fonksiyonlarının performans kriteri olarak kullanılmasıyla ulaşılan sonuçlar, fiyat yükselişleri ile fiyat düşüşleri açısından karşılaştırmalı olarak incelendiğinde ise, söz konusu test döneminde yöntemin fiyat yükselişlerinden kaynaklanan risklerin ölçümünde daha iyi performans gösterdiği yönündedir. Dolayısıyla yöntemin, gerek makro politika belirleyiciler, gerekse işletmeler için petrol fiyatlarındaki değişimlerden kaynaklanan risklerin öngörülmesinde ve yönetilmesinde kullanışlı bir araç olacağı kabul edilebilir.

References

  • Alvirez-Ramirez, Jose, Jesus Alvarez ve Eduarda Rodriguez (2008), éShort-term Predictability of Crude Oil Markets: A Detrended Fluctuation Analysis Approach”, Energy Economics, Vol.30, pp.2645-2656.
  • Basher, Syed A. ve Perry Sadorsky (2006), “Oil Price Risk and Emerging Stock Markets”, Global Finance Journal, Vol:17, ss.224-251.
  • Bernanke, B.S., M.Getrler ve M.Watson (1997), “Systematic Monetary Policy and the Effects of Oil Price Shocks”, Brookings papers on Economic Activity, Vol.1, pp.91-142.
  • Bohi, D.R. (1991), “On the Macroeconomic Effects of Energy Price Shocks”, Resources and Energy, Vol.13, pp.145-162.
  • Bozkuş, Sezer (2005), “Risk Ölçümünde Alternatif Yaklaşımlar: Riske Maruz Değer (Var) ve Beklenen Kayıp (ES) Uygulamaları”, D.E.Ü.İ.İ.B.F.Dergisi, Cilt: 20, Sayı:2, ss.27- 45.
  • Brown, S.P.A. ve M.K. Yücel (2002), “Energy Prices and Aggregate Economic Activity: An Interpretative Survey”, Quarterly Review of Economics and Finance, Vol.42, ss.459-484.
  • Cabedo, J.D. ve I.Moya (2003), “Estimating Oil Price Value at Risk Using the Historical Simulation Approach”, Energy Economics, Vol.25, pp.527-539.
  • Clewlow, L., C.Strickland ve V.Kaminsky (2000), “Which VaR for Energy Derivatives?” Energy and Power Risk Management, Ekim.
  • Cologni, Alessandro ve Matteove Manera (2006), “The Asymmetric Effects of Oil Shocks on Output Growth: A Markov-Switching Analysis fort he G-7 Countries”, The Fondazione Eni Enrico Mattei Note di Lavoro Series Index: http://www.feem.it/Feem/Pub/Publications/WPapers/default.htm
  • Costello, Alexandra; Ebenezer Asem ve Eldon Gardner (2008), “Comparison of historically simulated VaR: Evidence from oil prices”, Energy Economics, Vol. 30, No.5.
  • Elekdağ, Selim, Rene Lalonde, Douglas Laxton, Dirk Muir ve Paolo esenti (2008), “Oil Price Movements and the Global Economy: A Model-Based Assessment”, IMF Staff Papers, Vol.55, No.2, pp.297-311.
  • Elishakoff, I (2003), “Notes on Philosophy of the Monte Carlo Method”, International Applied Mechanics, Vol.39, No.7, pp.753-762.
  • Ercan M. Kamil (1996), Uluslararası Petrol Arama ve Üretim Yatırımlarının Yapısı ve Finansal Yönden İncelenmesi, Ankara: Turkısh Petroleum International Company Limited Yayıncılık, Eğitim Yayın No:1.
  • Federer, J.P. (1996), “Oil Price Volatility and the Macroeconomy: A Solution to the Asymmetry Puzzle”, Journal of Macroeconomics, Vol:18, ss.1-16.
  • Foster, D. ve G.Arthur (1982), “Average Neutronic Properties of Prompt Fission Products”, Los Alamos National Laboratory Report LA-9168-MS. Gallati, Reto (2003), Risk Management and Capital Adequacy, McGraw-Hill, New York.
  • Giot, P. ve S.Laurent (2003), “Market Risk in Commodity Markets A VaR Approach”, Energy Economics, Vol.25, pp.435-457.
  • Gisser, Micha ve Thomas H. Goodwin (1986), “Crude Oil and the Macroeconomy: Tests of Some Popular Notions”, Journal of Money, Credit and Banking, Vol.18, pp.95-103.
  • Halton, I.H. (1970), “A Retrospective and Prospective Survey of the Monte Carlo Simulation”, SIAM Review, Vol.12, No.1, pp.1-36.
  • Hamilton, James (1983) “Oil and the Macroeconomy since World War II”, Journal of Political Economy, Vol.91, No.2, pp.228-248.
  • Hamilton, James (1996) “This is What Happened to the Oil Price-Macroeconomy Relationship”, Journal of Monetary Economics, Vol.38, No.2, pp.215-220.
  • Hamilton, James (2003) “What is an Oil Shock?”, Journal of Econometrics, Vol.113, pp.363- 398.
  • Hung, Jui-Cheng, Ming-Chih Lee ve Hung-Chun Liu (2008), “Estimation of Value-at-risk for Energy Commodities via Fat-Tailed GARCH Model”, Energy Economics, Vol.30, ss.1173-1191.
  • International Energy Agency, (2004), “Analysis of the Impact of High Oil Prices on the Global Economy”, Mayıs.
  • James, F. (1980), “Monte Carlo Theory and Practice”, Reports on Progress in Physics, Vol.43, pp.1145-1189.
  • Khindanova, Irina ve Zauresh Atakhanova (2002), “Stable Modeling in Energy Risk Management”, Mathematical Methods of Operations Research, Vol.55, pp.225- 245.
  • Lardic, Sandrine ve Valerie Mignon (2008), “Oil Prices and Economic Activity: An Asymmetric Cointegration Approach”, Energy Economics, Vol: 30, ss.847-855.
  • Lise, Wietze ve Kees Van Montfort (2007), “Energy Consumption and GDP in Turkey: I there a Co-integration Relationship?”, Energy Economics, Vol.29, pp.1166-1178.
  • Manganelli, By Simone ve Robert F. Engle (2001), “Value at Risk Models in Finance”, European Central Bank working paper series, working paper no.75.
  • Mansfield, E. (1994), Statistics for Business and Economics, 5th Edt., Norton Company, NewYork.
  • Markowitz, Harry (1952), “Portfolio Selection”, Journal of Finance, Vol.7, No.1, pp.47-62.
  • Marrison, Chris (2002), The Fundamentals of Risk Measurement, MacGraw-Hill, Boston.
  • Metropolis, N.M. ve S.Ulam (1949), “The Monte Carlo Method”, Journal of American Statistical Association, Vol.44, No.247, pp.385-391.
  • Mory, F.J. (1993), “Oil Prices and Economic Activity: Is Relationship Symmetric?”, Energy Journal, Vol: 14, ss.151-161.
  • Olsen, O. ve H. Mysen (1994), “Macroeconomic Responses to Oil Price Increases and Decreases in Seven OECD Countries”, Energy Journal, Vol: 15, ss.19-35.
  • Sadeghi, Mehdi ve Saeed Shavvalpour (2006), “Energy Risk Management and Value at Risk Modelling”, Energy Policy, Vol.34, ss.3367-3373.
  • Sadorsky, P. (1999), “Oil Price Shocks and Stock Market Activity”, Energy Economics, Vol:21, No:5, ss,449-488.
  • Sadorsky, P. (2006), “Modeling and Forecasting Petroleum Future Volatility”, Energy Economics, Vol.28, pp.467-488.
  • Soytas, Ugur ve Ramazan Sarı (2007), “The Relationship between Energy and Production: Evidence from Turkish Manufacturing Industry”, Energy Economics, Vol.29, pp.1151-1165.
  • Thain, G. (2000), “Energy Risk Management”, The Professional’s Handbook of Financial Risk Management, Mare Lore ve Lev Borodovsky (ed.), Butterworth-Heinemann.
Year 2009, Volume: 59 Issue: 2, 61 - 84, 08.10.2010

Abstract

References

  • Alvirez-Ramirez, Jose, Jesus Alvarez ve Eduarda Rodriguez (2008), éShort-term Predictability of Crude Oil Markets: A Detrended Fluctuation Analysis Approach”, Energy Economics, Vol.30, pp.2645-2656.
  • Basher, Syed A. ve Perry Sadorsky (2006), “Oil Price Risk and Emerging Stock Markets”, Global Finance Journal, Vol:17, ss.224-251.
  • Bernanke, B.S., M.Getrler ve M.Watson (1997), “Systematic Monetary Policy and the Effects of Oil Price Shocks”, Brookings papers on Economic Activity, Vol.1, pp.91-142.
  • Bohi, D.R. (1991), “On the Macroeconomic Effects of Energy Price Shocks”, Resources and Energy, Vol.13, pp.145-162.
  • Bozkuş, Sezer (2005), “Risk Ölçümünde Alternatif Yaklaşımlar: Riske Maruz Değer (Var) ve Beklenen Kayıp (ES) Uygulamaları”, D.E.Ü.İ.İ.B.F.Dergisi, Cilt: 20, Sayı:2, ss.27- 45.
  • Brown, S.P.A. ve M.K. Yücel (2002), “Energy Prices and Aggregate Economic Activity: An Interpretative Survey”, Quarterly Review of Economics and Finance, Vol.42, ss.459-484.
  • Cabedo, J.D. ve I.Moya (2003), “Estimating Oil Price Value at Risk Using the Historical Simulation Approach”, Energy Economics, Vol.25, pp.527-539.
  • Clewlow, L., C.Strickland ve V.Kaminsky (2000), “Which VaR for Energy Derivatives?” Energy and Power Risk Management, Ekim.
  • Cologni, Alessandro ve Matteove Manera (2006), “The Asymmetric Effects of Oil Shocks on Output Growth: A Markov-Switching Analysis fort he G-7 Countries”, The Fondazione Eni Enrico Mattei Note di Lavoro Series Index: http://www.feem.it/Feem/Pub/Publications/WPapers/default.htm
  • Costello, Alexandra; Ebenezer Asem ve Eldon Gardner (2008), “Comparison of historically simulated VaR: Evidence from oil prices”, Energy Economics, Vol. 30, No.5.
  • Elekdağ, Selim, Rene Lalonde, Douglas Laxton, Dirk Muir ve Paolo esenti (2008), “Oil Price Movements and the Global Economy: A Model-Based Assessment”, IMF Staff Papers, Vol.55, No.2, pp.297-311.
  • Elishakoff, I (2003), “Notes on Philosophy of the Monte Carlo Method”, International Applied Mechanics, Vol.39, No.7, pp.753-762.
  • Ercan M. Kamil (1996), Uluslararası Petrol Arama ve Üretim Yatırımlarının Yapısı ve Finansal Yönden İncelenmesi, Ankara: Turkısh Petroleum International Company Limited Yayıncılık, Eğitim Yayın No:1.
  • Federer, J.P. (1996), “Oil Price Volatility and the Macroeconomy: A Solution to the Asymmetry Puzzle”, Journal of Macroeconomics, Vol:18, ss.1-16.
  • Foster, D. ve G.Arthur (1982), “Average Neutronic Properties of Prompt Fission Products”, Los Alamos National Laboratory Report LA-9168-MS. Gallati, Reto (2003), Risk Management and Capital Adequacy, McGraw-Hill, New York.
  • Giot, P. ve S.Laurent (2003), “Market Risk in Commodity Markets A VaR Approach”, Energy Economics, Vol.25, pp.435-457.
  • Gisser, Micha ve Thomas H. Goodwin (1986), “Crude Oil and the Macroeconomy: Tests of Some Popular Notions”, Journal of Money, Credit and Banking, Vol.18, pp.95-103.
  • Halton, I.H. (1970), “A Retrospective and Prospective Survey of the Monte Carlo Simulation”, SIAM Review, Vol.12, No.1, pp.1-36.
  • Hamilton, James (1983) “Oil and the Macroeconomy since World War II”, Journal of Political Economy, Vol.91, No.2, pp.228-248.
  • Hamilton, James (1996) “This is What Happened to the Oil Price-Macroeconomy Relationship”, Journal of Monetary Economics, Vol.38, No.2, pp.215-220.
  • Hamilton, James (2003) “What is an Oil Shock?”, Journal of Econometrics, Vol.113, pp.363- 398.
  • Hung, Jui-Cheng, Ming-Chih Lee ve Hung-Chun Liu (2008), “Estimation of Value-at-risk for Energy Commodities via Fat-Tailed GARCH Model”, Energy Economics, Vol.30, ss.1173-1191.
  • International Energy Agency, (2004), “Analysis of the Impact of High Oil Prices on the Global Economy”, Mayıs.
  • James, F. (1980), “Monte Carlo Theory and Practice”, Reports on Progress in Physics, Vol.43, pp.1145-1189.
  • Khindanova, Irina ve Zauresh Atakhanova (2002), “Stable Modeling in Energy Risk Management”, Mathematical Methods of Operations Research, Vol.55, pp.225- 245.
  • Lardic, Sandrine ve Valerie Mignon (2008), “Oil Prices and Economic Activity: An Asymmetric Cointegration Approach”, Energy Economics, Vol: 30, ss.847-855.
  • Lise, Wietze ve Kees Van Montfort (2007), “Energy Consumption and GDP in Turkey: I there a Co-integration Relationship?”, Energy Economics, Vol.29, pp.1166-1178.
  • Manganelli, By Simone ve Robert F. Engle (2001), “Value at Risk Models in Finance”, European Central Bank working paper series, working paper no.75.
  • Mansfield, E. (1994), Statistics for Business and Economics, 5th Edt., Norton Company, NewYork.
  • Markowitz, Harry (1952), “Portfolio Selection”, Journal of Finance, Vol.7, No.1, pp.47-62.
  • Marrison, Chris (2002), The Fundamentals of Risk Measurement, MacGraw-Hill, Boston.
  • Metropolis, N.M. ve S.Ulam (1949), “The Monte Carlo Method”, Journal of American Statistical Association, Vol.44, No.247, pp.385-391.
  • Mory, F.J. (1993), “Oil Prices and Economic Activity: Is Relationship Symmetric?”, Energy Journal, Vol: 14, ss.151-161.
  • Olsen, O. ve H. Mysen (1994), “Macroeconomic Responses to Oil Price Increases and Decreases in Seven OECD Countries”, Energy Journal, Vol: 15, ss.19-35.
  • Sadeghi, Mehdi ve Saeed Shavvalpour (2006), “Energy Risk Management and Value at Risk Modelling”, Energy Policy, Vol.34, ss.3367-3373.
  • Sadorsky, P. (1999), “Oil Price Shocks and Stock Market Activity”, Energy Economics, Vol:21, No:5, ss,449-488.
  • Sadorsky, P. (2006), “Modeling and Forecasting Petroleum Future Volatility”, Energy Economics, Vol.28, pp.467-488.
  • Soytas, Ugur ve Ramazan Sarı (2007), “The Relationship between Energy and Production: Evidence from Turkish Manufacturing Industry”, Energy Economics, Vol.29, pp.1151-1165.
  • Thain, G. (2000), “Energy Risk Management”, The Professional’s Handbook of Financial Risk Management, Mare Lore ve Lev Borodovsky (ed.), Butterworth-Heinemann.
There are 39 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Erdinç Altay

Publication Date October 8, 2010
Published in Issue Year 2009 Volume: 59 Issue: 2

Cite

APA Altay, E. (2010). PETROL FİYATLARINDAN KAYNAKLANAN RİSKİN TAHMİN EDİLMESİ: Monte Carlo Simulasyonu Yöntemiyle RmD Yaklaşımı. İstanbul Üniversitesi İktisat Fakültesi Mecmuası, 59(2), 61-84.
AMA Altay E. PETROL FİYATLARINDAN KAYNAKLANAN RİSKİN TAHMİN EDİLMESİ: Monte Carlo Simulasyonu Yöntemiyle RmD Yaklaşımı. İstanbul Üniversitesi İktisat Fakültesi Mecmuası. October 2010;59(2):61-84.
Chicago Altay, Erdinç. “PETROL FİYATLARINDAN KAYNAKLANAN RİSKİN TAHMİN EDİLMESİ: Monte Carlo Simulasyonu Yöntemiyle RmD Yaklaşımı”. İstanbul Üniversitesi İktisat Fakültesi Mecmuası 59, no. 2 (October 2010): 61-84.
EndNote Altay E (October 1, 2010) PETROL FİYATLARINDAN KAYNAKLANAN RİSKİN TAHMİN EDİLMESİ: Monte Carlo Simulasyonu Yöntemiyle RmD Yaklaşımı. İstanbul Üniversitesi İktisat Fakültesi Mecmuası 59 2 61–84.
IEEE E. Altay, “PETROL FİYATLARINDAN KAYNAKLANAN RİSKİN TAHMİN EDİLMESİ: Monte Carlo Simulasyonu Yöntemiyle RmD Yaklaşımı”, İstanbul Üniversitesi İktisat Fakültesi Mecmuası, vol. 59, no. 2, pp. 61–84, 2010.
ISNAD Altay, Erdinç. “PETROL FİYATLARINDAN KAYNAKLANAN RİSKİN TAHMİN EDİLMESİ: Monte Carlo Simulasyonu Yöntemiyle RmD Yaklaşımı”. İstanbul Üniversitesi İktisat Fakültesi Mecmuası 59/2 (October 2010), 61-84.
JAMA Altay E. PETROL FİYATLARINDAN KAYNAKLANAN RİSKİN TAHMİN EDİLMESİ: Monte Carlo Simulasyonu Yöntemiyle RmD Yaklaşımı. İstanbul Üniversitesi İktisat Fakültesi Mecmuası. 2010;59:61–84.
MLA Altay, Erdinç. “PETROL FİYATLARINDAN KAYNAKLANAN RİSKİN TAHMİN EDİLMESİ: Monte Carlo Simulasyonu Yöntemiyle RmD Yaklaşımı”. İstanbul Üniversitesi İktisat Fakültesi Mecmuası, vol. 59, no. 2, 2010, pp. 61-84.
Vancouver Altay E. PETROL FİYATLARINDAN KAYNAKLANAN RİSKİN TAHMİN EDİLMESİ: Monte Carlo Simulasyonu Yöntemiyle RmD Yaklaşımı. İstanbul Üniversitesi İktisat Fakültesi Mecmuası. 2010;59(2):61-84.