Assessing The Exports And Commodity Prices Linkage Amid Uncertainity

Öz

In this article, the impact of commodity prices on export volume under uncertainty shocks has been examined for the period of 1990Q1-2022Q4. According to the findings, the Maki cointegration test with multiple breaks indicates that all variables are in a co-integration relationship. The cointegration coefficients suggest global uncertainties and commodity prices have a adverse impact on exports, and cause to fluctuations. But they have lasted nearly six querters according to impulse-response functions from the VAR model and than it disappeared. We also estimate Vector Error Correction model and the findings indicate that uncertainties and commodity prices have significant and negative effect on exports in the long run. We lastly proved that there is one-way causality, goes from uncertainty toward commodity prices and exports marktes in the long term according to Frequency Domain test. In this frame, we need to multidimensional and comprehensive policy measures to reduce uncertainty in the global markets.

Anahtar Kelimeler

• Economic and Policy Uncertainity
• Exports
• Commodity Prices
• Time Series Econometrics

Belirsizlik Ortamında İhracat ve Emtia Fiyatları İlişkisinin Değerlendirilmesi

Öz

Bu çalışmada belirsizlik şokları altında, emtia fiyatlarının ihracat hacmi üzerindeki etkisi 1990Q1-2022Q4 dönemi için incelenmiştir. Bulgulara göre, çoklu yapısal kırılmaya izin veren Maki eş bütünleşme testi, tüm değişkenlerin uzun dönemde bir denge ilişkisi içinde olduğunu göstermektedir. Eş bütünleşme katsayıları, küresel belirsizliklerin ve emtia fiyatlarının yapısal kırılma altında, ihracatı negatif yönde etkilediğine ve dalgalanmalara neden olduğuna işaret etmektedir. Ancak VAR modelinden gelen Etki-Tepki fonksiyonlarına göre değişkenlerdeki dışsal şoklar yaklaşık altı çeyreklik dönemde sönmektedir. Diğer yandan VAR modeline dayalı olarak hesaplanan Vektör Hata Düzeltme modeli sonuçlarına göre belirsizliklerin ve emtia fiyat artışlarının ihracatı uzun dönemde negatif etkilediği tespit edilmiştir. Uzun ve kısa dönem ayrımının yapılabildiği frekans bazlı nedensellik testine göre uzun vadede belirsizliklerden emtia piyasaları ve ihracata doğu tek yönlü bir nedensellik gözlemlenmiştir. Bu çerçevede, küresel piyasalardaki belirsizlikleri gidermek için çok boyutlu ve kapsayıcı politika tedbirlerine ihtiyaç duyulduğu söylenebilir.

Anahtar Kelimeler

• Ekonomik ve Politik Belirsizlikler
• İhracat
• Emtea Fiyatları
• Zaman Serisi Ekonometrisi

Kaynakça

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