Estimating the Conditional Variance Volatilities of Beef Carcass, Lamb Carcass, and Fodder Wheat Markets in the Context of Exchange Rate Using VAR(2)- Asymmetric BEKK-GARCH (1,1) Model

Abstract

In the study, the long-term volatility pass-throughs between beef, lamb carcass, and fodder wheat markets in Turkey and whether such pass-throughs are symmetrical or not were estimated. The study used VAR (2)-Asymmetric BEKK-GARCH (1,1) method using daily data from both 2005:01-2019:06 periods. The results showed that conditional variances of the beef carcass, lamb carcass, and fodder wheat markets were statistically significantly affected by the increase in exchange rates and the periods when imports were made than the periods when imports were absent. We finally concluded that the lamb carcass had more risks than the beef carcass. Conditional variances of beef carcass, lamb carcass, and fodder wheat markets were statistically significantly affected by direct and indirect of both their and return series in the short and long term. As the results show, we can conclude that policy makers should turn to agricultural policies that will reduce producer price uncertainties.

Keywords

• Beef and lamb carcass
• exchange rate
• feed wheat
• prices
• volatility

Türkiye’de Döviz Kuru Bağlamında Dana Karkas, Kuzu Karkas ve Yemlik Buğday Piyasalarının Koşullu Varyanslarındaki Oynaklığın VAR (2)-Asimetrik BEKK-GARCH (1, 1) Modeli ile Tahmin Edilmesi

Öz

Bu çalışmada, Türkiye’de dana ve kuzu karkas piyasaları ile yemlik buğay piyasası arasındaki uzun dönem belirsizlik geçişkenliklerinin ortaya çıkarılması ve bu geçişkenliğin simetrik olup olmadığı ortaya konulmuştur. Bu çalışmada 2005:01-2019:06 dönemi günlük verileri ile VAR(2)-Asymmetric BEKK-GARCH(1,1) modeli kullanılarak analiz edilmiştir. Çalışmada dana karkas, kuzu karkas ve yemlik buğday getirilerinin koşullu varyanslarının döviz kurundaki artışlarından ve ithalatın yapılmadığı dönemlere göre ithalatın yapıldığı dönemlerden anlamlı bir şekilde etkilendikleri tespit edilmiştir. Çalışmada kuzu karkasın dana karkasa göre daha fazla risk taşıdığı belirlenmiştir. Dana karkas, kuzu karkas ve yemlik buğday getirilerinin koşullu varyansları hem kısa dönemde doğrudan ve dolaylı şoklardan hem de getiri serilerinin koşullu varyansları doğrudan ve dolaylı olarak diğer getiri serilerinin uzun dönem kalıcı oynaklığından istatistiki olarak anlamlı düzeyde etkilendiği gözlemlenmiştir. Çalışmadan elde edilen bulgular neticesinde, politika yapıcılara üretici fiyat belirsizliklerini azaltacak tarım politikalarına yönelmesi gerektiği ifade edilebilir.

Anahtar Kelimeler

• Dana ve kuzu karkas
• döviz kuru
• yemlik buğday
• fiyatlar
• oynaklık

Kaynakça

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