ALTININ BİR KORUNMA ARACI VE GÜVENLİ LİMAN OLMA ÖZELLİĞİNİN İNCELENMESİ

Yıl 2022, Cilt: 1 Sayı: 11, 7 - 30, 28.10.2022

Tahsin Berk Şeker

Öz

Bu çalışmada altının bir korunma aracı ve güvenli bir liman olma özellikleri incelenmiştir. Çalışmanın amacı altın fiyatının döviz kuru, tahvil ve hisse senedi gibi temel finansal enstrümanlarla ilişkisini incelemektir. Çalışmada altının ABD 2 yıllık tahvil verim oranına, S&P 500 borsa endeksi ve USD/EUR paritesine kıyasla güvenli liman özelliği ve bir korunma aracı olup olmadığını tespit etmek amacıyla ARCH/GARCH modelleri kullanılmıştır. Çalışma kapsamında ele alınan örneklem döneminde altının trend değişim tarihi belirlenerek tüm örneklem dönemi iki trend dönemi olarak ayrı ayrı ele alınmıştır.

Anahtar Kelimeler

Altın, Güveli Liman, GARCH

INVESTIGATION OF GOLD AS A HEDGE TOOL AND SAFE HAVEN

Öz

This study examined the properties of gold as a hedge and a safe haven. The study aims to examine the relationship of the gold price with the main determinants such as exchange rate, bonds, and stocks. The study used ARCH/GARCH models to determine whether gold is a safe haven and a hedging instrument compared to the US 2-year bond yield, the S&P 500 stock market index, and the USD/EUR exchange rate. The trend change date of gold was determined in the sampling period considered within the scope of the study, and the whole sampling period was handled separately as two trend periods.

Anahtar Kelimeler

Gold, Safe Haven, GARCH

Kaynakça

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