PRICE TRANSMISSION BETWEEN GOLD, SILVER, COPPER PRICES AND MINING INDEX IN TURKEY

Year 2019, Issue: 25, 41 - 56, 25.10.2019

Mustafa Uysal , Tuğba Kayhan

https://doi.org/10.18092/ulikidince.522173

Abstract

Günümüzde,
madencilik sektörü, ülkelerin kalkınması ve ekonomileri için önemli bir rol
oynamaktadır. Madencilik sektörünü etkileyen faktörleri kavramak, ülkelerin
kalkınması için oldukça büyük öneme sahiptir. Bu amaçla altın, gümüş ve bakır
fiyatları ile Borsa İstanbul (BİST) ulusal
pazarda işlem gören Madencilik Endeksi (XMADN) arasındaki ilişki incelenmiştir.
4 Şubat 2013 - 13 Aralık 2018 arasındaki dönem için 1477 günlük gözlem kullanılmıştır.
Altın, gümüş ve bakır fiyatları ile Madencilik Endeksi (XMADN) arasındaki uzun
dönem ilişki Banerje vd. (2017) tarafından geliştirilen Fourier Otoregressive
Dağıtıcı Lag (FADL) eşbütünleşme testi kullanılarak analiz edilmiştir. Elde
edilen sonuçlara göre, ele alınan değişkenler arasında uzun dönemde bir ilişki
tespit edilememiş ancak kısa dönemde madencilik endeksi ile altın ve bakır
fiyatları arasında istatistiksel olarak anlamlı ve pozitif, gümüş fiyatları ile
ise istatistiksel olarak anlamlı ve negatif bir ilişki tespit edilmiştir. Ayrıca
çalışma ile Türkiye'de altın, gümüş ve bakır fiyatlarının madencilik endeksindeki
değişimlere karşı dinamik politika oluşturma ihtiyacı vurgulanmaktadır.

Keywords

Fourier Otoregressive Dağıtıcı Lag Yöntemi, Metal Fiyatları, Madencilik Endeksi

PRICE TRANSMISSION BETWEEN GOLD, SILVER, COPPER PRICES AND MINING INDEX IN TURKEY

Abstract

Mining
industry has a substantial role for countries development and economies. To
comprehend the factors affecting the mining sectors is most crucial for the
countries development. In order to fill in this gap, we studied on the relation
between gold, silver, copper prices and Mining Index (XMADN) in Borsa İstanbul
Stock Exchange (BIST). 1477 daily observations for the time period between 4
February 2013 to 13 December 2018 were used. To detect the cointegrationon between gold, silver,
copper and Mining Index, we use Fourier Autoregressive Distributive Lag FADL
which was developed by Banerje et al (2017). We find no evidence of a long run
relation but strong significant feedback in the short run. Gold and copper
price have positive relation with mining index. On the other hand, silver price
has negative relation with mining index. This study highlights the need for
dynamic policy making in Turkey to hedge against mining index fluctuations
using gold, silver and copper price as instruments.

Keywords

Fourier Autoregressive Distributive Lag Method, Metal Prices, Mining Index

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