Türkiye'de Kırmızı Et Fiyatı Oynaklığı ve Kırmızı Et Fiyatlarının Ham Petrol ve Döviz Kurları ile İlişkisi, GARCH (p, q) Modeli Yaklaşımı

Year 2021, Volume: 31 Issue: 4, 915 - 927, 31.12.2021

Melek Akay

https://doi.org/10.29133/yyutbd.984277

Cited By: 3

Abstract

Türkiye’nin tarımsal ürün fiyatlarında genel olarak bir yükselme ile birlikte zaman içerisinde oynaklıklar görülmektedir. Fiyatlarda görülen bu oynaklıklar önemli çalışma konularından biridir. Özellikle, sıkça değişen enerji fiyatları ile tarımsal ürünlerin fiyatları arasındaki ilişki bilimsel olarak incelenmiştir. Türkiye'de kırmızı et fiyatlarının nasıl giderek dalgalandığı konusu ise önem arz etmektedir. Ayrıca, ham petrol fiyatlarındaki ve döviz kurlarındaki iniş çıkışların kırmızı et fiyatlarına bağlı olduğunun yanı sıra ham petrol ve döviz kurlarındaki oynaklığın kırmızı et fiyatlarına yansıdığını varsayabiliriz. Genel olarak, normal doğrusal regresyon analizi ile GARCH (p, q) model kullanılarak dana ve kuzu karkas, ham petrol ve döviz kuru fiyatları arasındaki ilişki ve kırmızı et fiyatı volatilitesi son on yıllık veriler dikkate alınarak incelenmiştir (veriler haftalık veriler olup Mayıs 2006 ve Şubat 2017 periyodunu kapsamaktadır). Analiz sonuçlarına bakıldığında, dana ve kuzu karkas fiyatlarının son on yıllık süreçte oynaklık gösterdiği, özellikle 2009- 2012 yılları (ithalatın yüksek oranda yapıldığı dönem) arasında yüksek oynaklık tespit edilmiştir. Aynı zamanda, petrol fiyatları ile çok önemli bir ilişkiye sahip olduğu belirlenmiş ve t-2, t-4 zamandaki döviz kuru fiyatı kuzu karkas fiyatını etkilerken dana karkas ile önemli bir ilişkisi bulunmamıştır. Sonuç olarak, kırmızı et fiyat yükselişi ve oynaklıkları Türkiye için önemli bir problem haline gelmekte ve bu alanda yapılan politikaların değerlendirilmesi gerekmektedir.

Keywords

Kırmızı Et Fiyatıları, Volatilite, Ham Petrol, Döviz Kuru, GARCH (p,q) Modeli, Türkiye

Red Meat Price Volatility and Its Relationship with Crude Oil and Exchange Rates in Turkey with the Approach of GARCH (p, q) Model

Abstract

Turkey's agricultural commodity prices are volatile while they have steadily increased over time. A substantial amount of research has been done on the variations in these prices by looking at other commodities like energy. As a result, the connections between agricultural and energy markets have been widely explored. There is a great concern about how red meat prices in Turkey are getting increasingly fluctuating. On the other hand, we may assume that ups and downs movement in the prices of crude oil and exchange rates are connected to veal and lamb carcass prices and that volatility is transmitted to those meat prices. This study uses the generalize all period unconstraint volatility model, which generalizes the GARCH (p, q) model, to examine the veal and lamb prices volatilities in Turkey and their relationship with crude oil as well as exchange rates (data are weekly covering from May 2006 to February 2017). According to findings, red meat prices have been volatile over the previous decade, notably between 2009 and 2012. Furthermore, crude oil prices have an important impact on the prices of veal and lamb and their prior times statistically. Also exchange rates at t-2 and t-4 time have an impact on lamb prices but none at all on veal prices. Subsequently, red meat price rise and volatility are becoming an important problem for Turkey, and the policies made in this area need to be evaluated.

Keywords

Red Meat Prices, Volatility, Crude Oil, Exchange Rates, GARCH (p, q) model, Turkey

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