Research Article
BALTIK KURU YÜK ENDEKSİ İLE İSTANBUL NAVLUN ENDEKSİ ARASINDAKİ ETKİLEŞİMİN İNCELENMESİ: EKONOMETRİK BİR UYGULAMA
Abstract
Bu çalışmada denizyolu taşımacılık endekslerinden küresel bir ölçeğe sahip Baltık Kuru Yük Endeksi (BDI) ve bölgesel nitelikli İstanbul Navlun Endeksi (ISTFIX) arasındaki ilişki araştırılmıştır. Mayıs 2009 ile Şubat 2019 dönemine ilişkin haftalık verilerin kullanıldığı çalışmada değişkenler arasındaki ilişkileri tespit etmek için Carrion-i Sylvestre (2009) çoklu yapısal kırılmalı birim kök testi, Maki (2012) çoklu yapısal kırılmalı eşbütünleşme testi ve Enders ile Jones (2015) tarafından geliştirilen Fourier Nedensellik testi kullanılmıştır. Elde edilen sonuçlara göre Baltık Kuru Yük Endeksi ile İstanbul Navlun Endeksinin uzun dönemde birlikte hareket ettiği ve Baltık Kuru Yük Endeksinin İstanbul Navlun Endeksine yön verdiği tespit edilmiştir.
References
- Açık, A., Başer, S. Ö, Ertürk, E. (2018). What Triggers the ISTFIX Bubbles?, International Journal of Economics and Innovation, 4 (2), 119-135Akdoğan, R. (1996). Türkçe-İngilizce Ansiklopedik Denizcilik Sözlüğü, , Deniz Malzeme Ltd. Şti, Basım Yeri: İstanbulAmerican Association of Port Authorities Advisory (2014) The Bulk Carrier Register.Bakshı, G., Panayotov, G. ve Skoulakis, G. (2010). The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity, Available at SSRN: https://ssrn.com/abstract=1747345 ya da http://dx.doi.org/10.2139/ssrn.1747345Başer, S. Ö. ve Açık, A. (2018). Stock Market as an Indicator of Maritime Transport Demand: An Evidence from Turkey and ISTFIX Region, Kastamonu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 20 (4)Bildirici, M., Kayıkçı, F. ve Şahin Onat, I. (2015). Baltic Dry Index as a Major Economic Policy Indicator: The Relationship with Economic Growth, Procedia - Social and Behavioral Sciences, 210, 2, 416-424Carrion-i-Sylvestre J. L., Kim D. ve Perron P. (2009). GLS-Based Unit Root Tests with Multiple Structural Breaks Under Both the Null and the Alternative Hypotheses. Econometric Theory. 2009, 25, 1754-1792Chatzipanagiotis, V. (2005). The FFA Market Set and Discovery of Spread Play Opportunities, Msc in Maritime Economics and Logistics, Erasmus University Rotterdam, 2005/2006, 12-25.Çakır S. Z. (2008). Istfix’ten Küçük Tonajlı Gemi Endeks, Dünya Gazetesi, Perşembe Rotası, 18 Haziran.Derindere Köseoğlu, S. ve Sezer, F. (2011). Is Baltic Dry Index a Good Leading Indicator for Monitoring the Progress of Global Economy ?, 9th. International Logistics and Supply Chain Congress, Çeşme, Izmir, Turkey 27-29 Ekim.Derindere Köseoğlu, S. ve Adıgüzel Mercangöz, B. (2012). 2008 Küresel Finansal Krizinin Küçük Tonaj Gelirleri Üzerindeki Etkisinin Yapısal Kırılma Testi ile Araştırılması, Dokuz Eylül Üniversitesi Denizcilik Fakültesi Dergisi, 4, 1, 25-38,Izmir.Duru, O. ve Yoshida, S. (2011). Long Term Freight Market Index and Inferences, The Asian Journal of Shipping and Logistics, 27, 3, 405-422 Enders, W. ve Jones, P. ,(2015). Grain Prices, Oil Prices, and Multiple Smooth Breaks in a VAR. Studies on Nonlinear Dynamics and Econometrics”. , http://dx.doi.org/10.1515/snde-2014-0101. Gregory A. W. ve Hansen B. E. (1996) Residual-Based Tests for Cointegration in Models with Regime Shifts. Journal of Economomics, 70, 99-126Harvey, D. I., Leybourne, S. J. ve Xiao, B. (2008), A Powerful Test for Linearity When the Order of Integration is Unknown, Studies in Nonlinear Dynamics & Econometrics, 12, 3Hatemi-J, A, (2008). Tests for Cointegration with Two Unknown Regime Shifts with an Application to Financial Market Integration. Empirical Economics , 35, 3, 497–505Hsiao, Y., Chou, H. ve Wu, C. (2014). Return Lead–lag and Volatility Transmission in Shipping Freight Markets, Maritime Policy & Management, 41, 7, 697–714.İstanbul Taşımacılık Endeksi Web Sitesi, İstanbul Denizcilik Ar-Ge, Yayıncılık ve Danışmanlık Anonim Şirketi, www.istfix.comKaramperidis S., Jackson, E. ve Mangan, J. (2013). The Use of Indices in the Maritime Transport Sector, Maritime Policy & Management, 40, 4, 339–350Li, K. X., Xiao, Y., Chen, S., Zhang, W., Du, Y. ve Shi, W. (2018). Dynamics and Interdependencies among Different Shipping Freight Markets, Maritime Policy & Management, 45, 7, 837-849, 10.1080/03088839.2018.1488187Maki, D. (2012). Tests For Cointegration Allowing For an Unknown Number of Breaks. Economic Modelling. 29(5): 2011-2015.NG, S. ve Perron, P. (2001), Lag Length Selection and Construction of Unit Root Test with Good Size and Power, Econometrica, 69, 1519-1554Sambracos E. ve Maniati, M. (2015). Analysis of Financial Crisis Results on Dry Bulk Market & Financing, Munich Personal RePEc Archive Paper No. 68601.Saraç, M., Zeren, F. ve Başar, R. (2015). Küresel Altın Fiyatlarıyla ABD Ek Beslenme Yardımı Harcamaları ve Baltık Kuru Yük Endeksi Arasındaki Etkileşim, İstanbul Üniversitesi İşletme Fakültesi Dergisi, 44, 1, 12-20Sayılgan, G. ve Süslü, C., 2011. The Effect of Macroeconomic Factors on Stock Returns: A Study of Turkey and Emerging Markets, Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, 5, 1, 73-96. Stopford, M. (2009). Maritime Economics, 3. Edition,. Routledge. Şipal, Y. Z. (2016). Türkiye’de Ticari Deniz Taşımacılığı ve Gemi Fiyatlarında Arz- Talep Dengesizliği, Navlun Fiyatlarına Yansıması, International Multidisciplinary Conference IMUCO, 21-22 April, Antalya – Turkey Proceedings Book, 641-648Ünal, G. ve Derindere, S. (2014). Revealing The Freight Market Risk In Istfix Shipping Area, International Journal Shipping and Transport Logistics, 6, 6, 593-610.Lin, Y. ve Wang, C. (2014). The Dynamic Analysis of Baltic Exchange Dry Index, International Mathematical Forum, 9, 17, 803 – 823Yılancı, V. (2013), 1-5 Haziran 2013 Tarihlerinde Sakarya Üniversitesi’nde Verilen Finansal Ekonometri EğitimiZivot, E. ve Andrews, W. K. D. (1992). Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis, Journal of Business and Economic Statistics, 10 3, 251-270.https://www.freightos.com/introducing-freightos-baltic-index/www.investing.comhttps://unctad.org/en/PublicationsLibrary/rmt2018_en.pdf
THE INVESTIGATION OF INTERACTION BETWEEN BALTIC DRY INDEX AND ISTANBUL FREIGHT INDEX: AN ECONOMETRIC APPLICATION
Abstract
In this study, the relationship between the Baltic Dry Index (BDI) with a global scale from maritime transport indices and the regionally qualified Istanbul Freight Index (ISTFIX) has been investigated. In a study using weekly data for the period of May 2009 to February 2019, Carrion-i Sylvestre (2009) multiple structural breaks unit root test, Maki (2012) multiple structural breaks cointegration test and Fourier causality test developed by Enders and Jones (2015) was used. According to the obtained results, it was determined that the Baltic Dry Index and the Istanbul Freight Index were integrated in the long run and the Baltic Dry Index was directing the Istanbul Freight Index.
References
- Açık, A., Başer, S. Ö, Ertürk, E. (2018). What Triggers the ISTFIX Bubbles?, International Journal of Economics and Innovation, 4 (2), 119-135Akdoğan, R. (1996). Türkçe-İngilizce Ansiklopedik Denizcilik Sözlüğü, , Deniz Malzeme Ltd. Şti, Basım Yeri: İstanbulAmerican Association of Port Authorities Advisory (2014) The Bulk Carrier Register.Bakshı, G., Panayotov, G. ve Skoulakis, G. (2010). The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity, Available at SSRN: https://ssrn.com/abstract=1747345 ya da http://dx.doi.org/10.2139/ssrn.1747345Başer, S. Ö. ve Açık, A. (2018). Stock Market as an Indicator of Maritime Transport Demand: An Evidence from Turkey and ISTFIX Region, Kastamonu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 20 (4)Bildirici, M., Kayıkçı, F. ve Şahin Onat, I. (2015). Baltic Dry Index as a Major Economic Policy Indicator: The Relationship with Economic Growth, Procedia - Social and Behavioral Sciences, 210, 2, 416-424Carrion-i-Sylvestre J. L., Kim D. ve Perron P. (2009). GLS-Based Unit Root Tests with Multiple Structural Breaks Under Both the Null and the Alternative Hypotheses. Econometric Theory. 2009, 25, 1754-1792Chatzipanagiotis, V. (2005). The FFA Market Set and Discovery of Spread Play Opportunities, Msc in Maritime Economics and Logistics, Erasmus University Rotterdam, 2005/2006, 12-25.Çakır S. Z. (2008). Istfix’ten Küçük Tonajlı Gemi Endeks, Dünya Gazetesi, Perşembe Rotası, 18 Haziran.Derindere Köseoğlu, S. ve Sezer, F. (2011). Is Baltic Dry Index a Good Leading Indicator for Monitoring the Progress of Global Economy ?, 9th. International Logistics and Supply Chain Congress, Çeşme, Izmir, Turkey 27-29 Ekim.Derindere Köseoğlu, S. ve Adıgüzel Mercangöz, B. (2012). 2008 Küresel Finansal Krizinin Küçük Tonaj Gelirleri Üzerindeki Etkisinin Yapısal Kırılma Testi ile Araştırılması, Dokuz Eylül Üniversitesi Denizcilik Fakültesi Dergisi, 4, 1, 25-38,Izmir.Duru, O. ve Yoshida, S. (2011). Long Term Freight Market Index and Inferences, The Asian Journal of Shipping and Logistics, 27, 3, 405-422 Enders, W. ve Jones, P. ,(2015). Grain Prices, Oil Prices, and Multiple Smooth Breaks in a VAR. Studies on Nonlinear Dynamics and Econometrics”. , http://dx.doi.org/10.1515/snde-2014-0101. Gregory A. W. ve Hansen B. E. (1996) Residual-Based Tests for Cointegration in Models with Regime Shifts. Journal of Economomics, 70, 99-126Harvey, D. I., Leybourne, S. J. ve Xiao, B. (2008), A Powerful Test for Linearity When the Order of Integration is Unknown, Studies in Nonlinear Dynamics & Econometrics, 12, 3Hatemi-J, A, (2008). Tests for Cointegration with Two Unknown Regime Shifts with an Application to Financial Market Integration. Empirical Economics , 35, 3, 497–505Hsiao, Y., Chou, H. ve Wu, C. (2014). Return Lead–lag and Volatility Transmission in Shipping Freight Markets, Maritime Policy & Management, 41, 7, 697–714.İstanbul Taşımacılık Endeksi Web Sitesi, İstanbul Denizcilik Ar-Ge, Yayıncılık ve Danışmanlık Anonim Şirketi, www.istfix.comKaramperidis S., Jackson, E. ve Mangan, J. (2013). The Use of Indices in the Maritime Transport Sector, Maritime Policy & Management, 40, 4, 339–350Li, K. X., Xiao, Y., Chen, S., Zhang, W., Du, Y. ve Shi, W. (2018). Dynamics and Interdependencies among Different Shipping Freight Markets, Maritime Policy & Management, 45, 7, 837-849, 10.1080/03088839.2018.1488187Maki, D. (2012). Tests For Cointegration Allowing For an Unknown Number of Breaks. Economic Modelling. 29(5): 2011-2015.NG, S. ve Perron, P. (2001), Lag Length Selection and Construction of Unit Root Test with Good Size and Power, Econometrica, 69, 1519-1554Sambracos E. ve Maniati, M. (2015). Analysis of Financial Crisis Results on Dry Bulk Market & Financing, Munich Personal RePEc Archive Paper No. 68601.Saraç, M., Zeren, F. ve Başar, R. (2015). Küresel Altın Fiyatlarıyla ABD Ek Beslenme Yardımı Harcamaları ve Baltık Kuru Yük Endeksi Arasındaki Etkileşim, İstanbul Üniversitesi İşletme Fakültesi Dergisi, 44, 1, 12-20Sayılgan, G. ve Süslü, C., 2011. The Effect of Macroeconomic Factors on Stock Returns: A Study of Turkey and Emerging Markets, Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, 5, 1, 73-96. Stopford, M. (2009). Maritime Economics, 3. Edition,. Routledge. Şipal, Y. Z. (2016). Türkiye’de Ticari Deniz Taşımacılığı ve Gemi Fiyatlarında Arz- Talep Dengesizliği, Navlun Fiyatlarına Yansıması, International Multidisciplinary Conference IMUCO, 21-22 April, Antalya – Turkey Proceedings Book, 641-648Ünal, G. ve Derindere, S. (2014). Revealing The Freight Market Risk In Istfix Shipping Area, International Journal Shipping and Transport Logistics, 6, 6, 593-610.Lin, Y. ve Wang, C. (2014). The Dynamic Analysis of Baltic Exchange Dry Index, International Mathematical Forum, 9, 17, 803 – 823Yılancı, V. (2013), 1-5 Haziran 2013 Tarihlerinde Sakarya Üniversitesi’nde Verilen Finansal Ekonometri EğitimiZivot, E. ve Andrews, W. K. D. (1992). Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis, Journal of Business and Economic Statistics, 10 3, 251-270.https://www.freightos.com/introducing-freightos-baltic-index/www.investing.comhttps://unctad.org/en/PublicationsLibrary/rmt2018_en.pdf
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Details
| Primary Language | Turkish |
|---|---|
| Subjects | Business Administration |
| Journal Section | Articles |
| Authors | |
| Publication Date | June 26, 2019 |
| Acceptance Date | June 25, 2019 |
| Published in Issue | Year 2019 Volume: 7 Issue: 1 |
