Rusya-Ukrayna Savaşının Gıda Fiyatları ile Finansal Piyasalar Arasındaki Bağlantılılık Üzerine Etkisi

Yıl 2023, , 63 - 83, 30.12.2023

Ercüment Doğru

https://doi.org/10.33399/biibfad.1327746

Cited By: 1

Öz

Bu çalışmada, Rusya-Ukrayna savaşının gıda fiyatları ile çeşitli finansal varlıklar arasındaki dinamik volatilite bağlantılılığı üzerine etkisi araştırılmaktadır. 01.01.2015 ile 31.05.2023 tarihleri arası buğday, mısır ve pirinç fiyatları ile hisse senedi (MSCI ACWI), tahvil (MOVE), emtia (S&P GSCI) ve tarımsal emtia (S&P GSCI Agriculture) piyasa endekslerinin günlük kapanış değerlerinin kullanıldığı çalışmada dinamik bağlantılılık ilişkisi Zamanla Değişen Parametreli Otoregresif (TVP-VAR) model ile incelenmiştir. Ortalama dinamik bağlantılılık sonuçlarına göre tarımsal emtia piyasaları, mısır ve hisse senedi piyasaları net volatilite yayıcısı iken, diğer piyasaların net volatilite alıcısı olduğu; savaş nedeniyle ortaya çıkan jeopolitik risklerin finansal varlıkların volatiliteleri arasındaki toplam dinamik bağlantılılığı artırdığı sonucuna varılmıştır. İncelenen dönemde değişkenlerin volatilite alıcısı ve yayıcısı olarak sürekli değişiklik gösterdiği belirlenmiştir. Savaşın ardından buğday ve hisse senedi piyasaları sert bir şekilde net volatilite yayıcısı, pirinç ve tahvil piyasaları net volatilite alıcısı haline gelmiştir. Ayrıca, tarımsal kökenli emtia piyasalarından hisse senedi piyasaları hariç diğer piyasalara; tahvil ve emtia piyasası dışındaki diğer piyasalardan da pirinç fiyatına doğru volatilite yayılımı olduğu gözlemlenmiştir.

Anahtar Kelimeler

Volatilite Bağlantılılığı, Rusya-Ukrayna Savaşı, Tarımsal Emtialar, TVP-VAR

The Impact of the Russia-Ukraine War on the Connectedness Between Food Prices and Financial Markets

Öz

This study investigates the impact of the Russian-Ukrainian war on the dynamic volatility connectedness between food prices and various financial assets. Between 01.01.2015 and 31.05.2023, daily closing values of wheat, corn and rice prices and stock (MSCI ACWI), bond (MOVE), commodity (S&P GSCI) and agricultural commodity (S&P GSCI Agriculture) market indices are used to analyze the dynamic connectedness relationship with the Time-Varying Parameter Autoregressive (TVP-VAR) model. According to the average dynamic interconnectedness results, agricultural commodity markets, corn and stock markets are net volatility transmitters, while other markets are net volatility receivers; geopolitical risks due to war increase the overall dynamic interconnectedness between the volatilities of financial assets. During the analyzed period, the variables were found to change continuously as volatility receivers and transmitters. After the war, wheat and equity markets sharply became net volatility transmitter, while rice and bond markets became net volatility receivers. Furthermore, it has been observed that there is volatility spillover from agricultural commodity markets to all markets except the stock market, and from other markets outside the bond and commodity markets to rice prices.

Anahtar Kelimeler

Volatility Connectedness, Russia-Ukraine War, Agricultural Commodities, TVP-VAR

Kaynakça

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