Abstract
Bu çalışma ile ürün ihtisas borsacılığının etkin piyasa oluşumuna katkısının değerlendirilmesi; ürün fiyat oluşumunun ve diğer piyasa değişkenleri ile ilişkisinin anlaşılarak gıda fiyat istikrarının sağlanması ve gıda enflasyonu ile mücadele için bileşenlerin ortaya konması; oynaklığın bağlantılarının kavranması ve doğru politikaların ve mekanizmaların belirlenmesine katkı sağlanması amaçlanmıştır. Bu çerçevede, emtia borsalarının fonksiyonları ve Türkiye uygulaması analiz edilmektedir. Ürün fiyatını etkileyen değişkenler regresyon analizi ile tespit edilmekte ve fiyat oynaklığı GARCH metodolojisi ile analiz edilmektedir.
Buğday ekmeklik, buğday makarnalık ve mısır için modele eklenen ABD doları/Türk lirası, petrol ve gecelik TL faiz oranı açıklayıcı değişkenlerinden ABD doları/Türk lirası kurundaki beklenmeyen şokların volatilitesinin ürün fiyat getirileri üzerine pozitif etkisi olduğu, ürünün fiyat değişimlerindeki oynaklığı artırdığı görülmüştür. Türkiye Ürün İhtisas Borsasında (TÜRİB) gerçekleşen işlemlerin günlük fiyat değişimleri, TÜRİB kurulmadan önceki dönemi ile karşılaştırıldığında, TÜRİB ile günlük fiyat serisindeki değişim aralığının daraldığı ve fiyat istikrarına katkı sağladığı gözlemlenmiştir.
References
- Akar, c. (2007). “Volatilite modellerinin öngörü performansı: ARCH, GARCH ve SWARCH Karşılaştırması”. İşletme Fakültesi Dergisi 8(2): 201-217
- Apergis N, & Rezitis A. (2003). “Agricultural price volatility spillover effects: The case of Greece”. European Review of Agricultural Economics. 30(3): 389-406.
- Balcombe, K. (2009), “The Nature and Determinants of Volatility in Agricultural Prices: An Empirical Study from 1962-2008”. Proceedings from FAO Workshop.
- Bollerslev, T. (1986). “Generalized Autoregressive Conditional Heteroskedasticity”. Journal of Econometrics, 31, pp 307-327.
- Brooks, C. (2008). “Introductory Econometrics for Finance”. Cambridge University Press 2nd Edition, p.384
- Colm, K., & Patton, A.J. (2000). “Multivariate GARCH modeling of exchange rate volatility transmission in the European monetary system”. The Financial Review, 35(1), 29-48. doi. 10.1111/j.1540-6288.2000.tb01405.
- Engle, R. F. (1982). "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation". Econometrica 50 (4): 987-1007. doi:10.2307/1912773.
- FAO. http://www.fao.org/faostat/en/ Erişim: 10.05.2021
- FAO (2011). “Price volatility in food and agricultural markets: Policy responses”. FAO, IFAD, IMF, OECD, UNCTAD, WFP, the World Bank, the WTO, IFPRI, UN HLTF katkısı ile oluşturulan Politika Raporu. https://doi.org/10.1093/ajae/aaq116
- Frank, J., & Garcia, P. 2010, “Bid-ask spreads, volume, and volatility: Evidence from livestock markets”. Journal of Agricultural Economics, 4, 78-124.
- Gilbert, C., & Morgan, C. (2010b), “Food Price Volatility”, Philosophical Transactions of the Royal Society B: Biological Sciences, 365(1554), 3023-3034.
- Hamulczuk, M., & Klimkowski, C. (2011) Zmienność cen pszenicy w Unii Europejskiej [Wheat prices volatility in the European Union]. Zeszyty Naukowe SGGW. Problemy Rolnictwa Światowego 11(4): 77-87.
- Han, D., & Nayga J, (2012), “Interrelationship and Volatility Transmission between Grain and Oil Prices”, Journal of Agricultural and Resource Economics, 5(2), 86-99.
- Huchet-Bourdon, M. (2011-12-06), “Agricultural Commodity Price Volatility: An Overview”, OECD Food, Agriculture and Fisheries Papers, No. 52, OECD Publishing, Paris. http://dx.doi.org/10.1787/5kg0t00nrthc-en
- Meyers, W.H., & Meyer, S. (2008). Causes and Implications of the Food Price Surge. Food and Agricultural Policy Research Institute at University of Missouri, FAPRI-MU Report Series. https://www.researchgate.net/ publication/24108951_Causes_and_Implications_of_the_Food_Price_Surge
- Mushtaq, K., Ghafoor, A. Abdullah & Ahmad, F. (2011), “Impact of Monetary and Macroeconomic Factors On wheat Prices in Pakistan: Implication For food Security”, The Lahore Journal of Economics. 16 (1), 95-110.
- Nelson, D. (1991). “Conditional Heteroskedasticity in Asset Returns: A New Approach”, Econometrica 59, 347-370. OECD (2009), “Evaluation of Agricultural Policy Reforms in Japan”, Organization for Economic Co-operation and Development, 76.
- Ott, H. (2012), “Fertilizer Markets and Their Interplay with Commodity and Food Prices”, http://ipts.jrc.ec.europa.eu/publications/pub.cfm?id =5059.
- Sumner, D. (2009), “Recent Commodity Price Movements In Historical Perspective”, American Journal Of Agricultural Economics. 91 (5), 1250-1256.
- TÜRİB (2020) https://www.turib.com.tr/tarihsel-veri Erişim: 10.05.2021
- UNCTAD (2007). “Overview of the world’s commodity exchanges- 2007. Study prepared by the UNCTAD secretariat. https://unctad.org/system/files/official-document/ditccom20084_en.pdf Erişim: 10.05.2021
- Wang, P., & Wang, P. (2001). Equilibrium adjustment, bais risk and risk transmission in spot and forward foreign exchange markets. Applied Financial Economics, 11(2), 127-136. doi. 10.1080/096031001750071514
- Wolf, H. (2004), “Volatility: Definitions And Consequences,” Draft Chapter for: Managing Volatility and Crises: A Practitioner’s Guide, IMF, March.
Abstract
This study evaluates the contribution of mercantile exchanges for effective market formation. It develops an understanding in the relationship with other market factors that affect the formation of the agricultural commodity price; determines the components to ensure food price stability and combating food inflation; understanding the components of volatility for contributing to the determination of correct policies and mechanisms. The agricultural commodity price volatility is analyzed with the GARCH methodology.
It was observed that among US dollar/Turkish lira rate, Turkish lira overnight interest rate and Brent oil price return series; shocks in US dollar/Turkish lira returns has a positive effect on the wheat bread, wheat durum and maize price returns and increase their volatility. When compared with the daily price changes within the Turkish Mercantile Exchange (TMEX) with the previous decentralized commodity market period, it has been observed that TMEX has brought stability to the market with a decreasing daily price fluctuation range.
References
- Akar, c. (2007). “Volatilite modellerinin öngörü performansı: ARCH, GARCH ve SWARCH Karşılaştırması”. İşletme Fakültesi Dergisi 8(2): 201-217
- Apergis N, & Rezitis A. (2003). “Agricultural price volatility spillover effects: The case of Greece”. European Review of Agricultural Economics. 30(3): 389-406.
- Balcombe, K. (2009), “The Nature and Determinants of Volatility in Agricultural Prices: An Empirical Study from 1962-2008”. Proceedings from FAO Workshop.
- Bollerslev, T. (1986). “Generalized Autoregressive Conditional Heteroskedasticity”. Journal of Econometrics, 31, pp 307-327.
- Brooks, C. (2008). “Introductory Econometrics for Finance”. Cambridge University Press 2nd Edition, p.384
- Colm, K., & Patton, A.J. (2000). “Multivariate GARCH modeling of exchange rate volatility transmission in the European monetary system”. The Financial Review, 35(1), 29-48. doi. 10.1111/j.1540-6288.2000.tb01405.
- Engle, R. F. (1982). "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation". Econometrica 50 (4): 987-1007. doi:10.2307/1912773.
- FAO. http://www.fao.org/faostat/en/ Erişim: 10.05.2021
- FAO (2011). “Price volatility in food and agricultural markets: Policy responses”. FAO, IFAD, IMF, OECD, UNCTAD, WFP, the World Bank, the WTO, IFPRI, UN HLTF katkısı ile oluşturulan Politika Raporu. https://doi.org/10.1093/ajae/aaq116
- Frank, J., & Garcia, P. 2010, “Bid-ask spreads, volume, and volatility: Evidence from livestock markets”. Journal of Agricultural Economics, 4, 78-124.
- Gilbert, C., & Morgan, C. (2010b), “Food Price Volatility”, Philosophical Transactions of the Royal Society B: Biological Sciences, 365(1554), 3023-3034.
- Hamulczuk, M., & Klimkowski, C. (2011) Zmienność cen pszenicy w Unii Europejskiej [Wheat prices volatility in the European Union]. Zeszyty Naukowe SGGW. Problemy Rolnictwa Światowego 11(4): 77-87.
- Han, D., & Nayga J, (2012), “Interrelationship and Volatility Transmission between Grain and Oil Prices”, Journal of Agricultural and Resource Economics, 5(2), 86-99.
- Huchet-Bourdon, M. (2011-12-06), “Agricultural Commodity Price Volatility: An Overview”, OECD Food, Agriculture and Fisheries Papers, No. 52, OECD Publishing, Paris. http://dx.doi.org/10.1787/5kg0t00nrthc-en
- Meyers, W.H., & Meyer, S. (2008). Causes and Implications of the Food Price Surge. Food and Agricultural Policy Research Institute at University of Missouri, FAPRI-MU Report Series. https://www.researchgate.net/ publication/24108951_Causes_and_Implications_of_the_Food_Price_Surge
- Mushtaq, K., Ghafoor, A. Abdullah & Ahmad, F. (2011), “Impact of Monetary and Macroeconomic Factors On wheat Prices in Pakistan: Implication For food Security”, The Lahore Journal of Economics. 16 (1), 95-110.
- Nelson, D. (1991). “Conditional Heteroskedasticity in Asset Returns: A New Approach”, Econometrica 59, 347-370. OECD (2009), “Evaluation of Agricultural Policy Reforms in Japan”, Organization for Economic Co-operation and Development, 76.
- Ott, H. (2012), “Fertilizer Markets and Their Interplay with Commodity and Food Prices”, http://ipts.jrc.ec.europa.eu/publications/pub.cfm?id =5059.
- Sumner, D. (2009), “Recent Commodity Price Movements In Historical Perspective”, American Journal Of Agricultural Economics. 91 (5), 1250-1256.
- TÜRİB (2020) https://www.turib.com.tr/tarihsel-veri Erişim: 10.05.2021
- UNCTAD (2007). “Overview of the world’s commodity exchanges- 2007. Study prepared by the UNCTAD secretariat. https://unctad.org/system/files/official-document/ditccom20084_en.pdf Erişim: 10.05.2021
- Wang, P., & Wang, P. (2001). Equilibrium adjustment, bais risk and risk transmission in spot and forward foreign exchange markets. Applied Financial Economics, 11(2), 127-136. doi. 10.1080/096031001750071514
- Wolf, H. (2004), “Volatility: Definitions And Consequences,” Draft Chapter for: Managing Volatility and Crises: A Practitioner’s Guide, IMF, March.
Details
| Primary Language | Turkish |
|---|---|
| Subjects | Finance |
| Journal Section | Articles |
| Authors | |
| Publication Date | March 2, 2022 |
| Acceptance Date | December 6, 2021 |
| Published in Issue | Year 2022 |