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Enflasyondan Korunma Aracı Olarak Altın Yatırımı

Yıl 2020, Cilt: 11 Sayı: 2, 370 - 384, 26.06.2020

Öz

Gelişmekte olan ekonomilerdeki bireyler, enflasyona karşı milli paranın satın alma gücünü korumak için pek çok alternatif yatırım aracı kullanmaktadır. Bu alternatiflerden birisi de altın yatırımıdır. Bilimsel nitelikli çalışmalar da ekonomilerin enflasyonist dönemlerinde bireylerin altın yatırım kararının gerçekten bir koruma aracı olup olmadığını araştırmaktadır. Bu çalışma, ‘Türkiye’de altın yatırımı enflasyonist dönemlerde bir korunma aracı mıdır?’ sorusuna cevap aramaktadır. Bunu yaparken altın fiyatları ve TÜFE aylık zaman serisi verilerini kullanarak, 1994-2019 dönemi analiz edilmiştir. Çalışmada geleneksel birim kök testlerinden ADF, KPSS ve Ng-Perron, endojen yapısal kırılmalı Lee ve Strazicich birim kök testİ ve Yapısal Kırılmalı Toda-Yamamoto nedensellik testi ile altın fiyatları ve TÜFE arasında ilişki incelenmiştir. Bulgularımız, incelenen dönemde Türkiye’de altın yatırımının enflasyona karşı bir avantaj olduğunu savunan görüşü desteklememekktedir.

Destekleyen Kurum

AKU BAP

Proje Numarası

18.KARİYER.30

Kaynakça

  • Adrangi, B., Chatrath, A., & Christie, D. R. (2000). Price Discovery in strategically-linkedmarkets: The Case of The Gold-silverspread. Applied Financial Economics, 10, 227–234.
  • Aggarwal, R. (1992). Gold markets. In P. Newman, M. Milgate, & J. Eatwell (Eds.), The New Palgrave Dictionary of Money and Finance: Vol. 2 (pp. 256–257). Macmillan: Basingstoke.
  • Aksoy, M. ve Topcu, N. (2013). Altın ile hisse senedi ve enflasyon arasındaki ilişki. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 27(1), 59-78.
  • Awokuse, T. O. (2003). Is the export-led growth hypothesis valid for Canada? Canadian Journal of Economics, 36(1), 126-136.
  • Baum, C. F. (2004). Topics in time series regression modeling. In United Kingdom Stata Users’ Group Meetings 2004.
  • Baur, D. G., & Lucey, B. M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financial Review, 45(2), 217–229.
  • Beckmann, J., & Czudaj, R. (2013). Gold as an inflation hedge in a time varying coefficient framework. The North American Journal of Economics and Finance, 24, 208–222.
  • Bilal, A. R., Talib, N. B. A., Haq, I. U., Khan, M. N. A. A., & Naveed, M. (2013). How gold prices correspond to stock index: Acomparative analysis of Karachi stock exchange and Bombay stock exchange. World Applied Sciences Journal, 21, 485–491.
  • Blose, L. E. (2010). Gold prices, cost of carry and inflation. Journal of Economics and Business, 62, 35–37.
  • Capie, F., Mills, T. C., & Wood, G. (2005). Gold as hedge against the Dollar. Journal of International Financial Markets, Institutionsand Money, 15, 343–352.
  • Chua, J., & Woodward, R. S. (1982). Gold as an inflation hedge: A comparative study of six major industrial countries. Journal of Business Finance and Accounting, 9(2), 191–197.
  • Chua, J., Stick, G., & Woodward, R. (1990). Diversifying with gold stocks. Financial Analysts Journal, 46, 76–79.
  • Ciner, C., Gurdgiev, C., & Lucey, B. M. (2010). Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates. International Review of Financial Analysis, 29, 202-211.
  • Dickey, D., & Fuller, W. A. (1979). Distribution of the estimates for autoregressive time series with unit root. Journal of The American Statistical Association, 74, 427–431.
  • Dicle, M. F., Levendis, J., & Al Qotob, J. M. (2011). Is gold a safety asset? New Orleans: College of Business, Loyola University.
  • Dooley, M. P., Isard, P., & Taylor, M. P. (1995). Exchange rates, country-specific shocks, and gold. Applied Financial Economics, 5(3), 121–129.
  • Elliot, G., Rothenberg, T. J., & Stock, J. H. (1996). Efficient tests for an autoregressive unit root. Econometrica, 64, 813–836.
  • Elmas, B. ve Polat, M. (2014). Altın fiyatlarını etkileyen talep yönlü faktörlerin tespiti: 1988-2013 dönemi. Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi, 15(1), 171-187.
  • Ghosh, D., Levin, E. J., Macmillan, P., & Wright, R. E. (2004). Gold as an inflation hedge? Studies in Economics and Finance, 22, 1–25.
  • Ho, Y. K. (1985). Test of the incrementally efficient market hypothesis for the London gold market. Economics Letters, 19, 67–70.
  • İnal, V. ve Aydın, M. (2016). Altın fiyatlarını etkilemesi beklenen faktörler üzerine bir inceleme. Paper presented at International Congress on Politic, Economic and Social Studies, İstanbul, Turkey.
  • Jaffe, J. (1989). Gold and gold stocks as investments for institutional portfolios. Applied Financial Analysts Journal, 45, 53–59.
  • Joy, M. (2011). Gold and the US Dollar: Hedge or heaven? Financial Research Letters, 8, 120–131.
  • Kaul, A., & Sapp, S. (2006). Y2K Fears and safe heaven trading of US Dollar. Journal of International Money and Finance, 25, 760–779.
  • Kocatepe, C. İ. ve Yıldız, O. (2016). Ekonomik endeksler kullanılarak Türkiye’deki altın fiyatındaki değişim yönünün yapay sinir ağları ile tahmini. Düzce Üniversitesi Bilim ve Teknoloji Dergisi, 4(3), 926-934.
  • Koutsoyiannis, A. (1983). A short-run pricing model for a speculative asset, tested with data from the gold bullion market, Applied Economics, 15, 563–581.
  • Kwiatkowski, D., Phillips, P., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationary against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of Econometrics, 54, 159–178.
  • Levin, E. J., & Wright, R. E. (2006). Short-run and long-run determinants of the price of gold. [Available online at: https://www.gold.org/goldhub/research/short-run-and-long-run-determinants-price-gold], Retrieved on October 23, 2019.
  • Lucey, B. M., Tully, E., & Poti, V. (2004). International portfolio formation, skewness and the role of gold, Institute for International Integration Studies Discussion, 30, 1-25.
  • Lucey, B. M., & Tully, E. (2006a). The evolving relationship between gold and silver 1978–2002: Evidence form a dynamic co-integration analysis. Applied Financial Economics, 7, 711–733.
  • Lucey, B. M., & Tully, E. (2006b). Seasonally, risks and returns in daily comex gold and silver data 1982–2002. Applied Financial Economics, 16, 319–333.
  • Mahdavi, S., & Zhou, S. (1997). Gold and commodity prices as leading indicators of inflation: Tests and long-run relationship and predictive performance. Journal of Economics and Business, 49, 475–489.
  • Mavrotas, G., & Kelly, R. (2001). Old wine in new bottle: Testing causality between savings and growth. The Manchester School Supplement, 1463-6786, 97–105.
  • McCown, R. J., & Zimmerman, J. R. (2006). Is gold a zero-beta asset? Analysis of the investment potential of precious metals, [Available online at: http://ssrn.com/paper=920496], Retrieved on October 23, 2019.
  • Moore, G. (1990). Gold prices and a leading index of inflation. Challenge, 33, 52–56.
  • Narayan, P. K. (2005). The saving and investment nexus for China: Evidence from co-integration tests. Applied Economics, 17, 1979–1990.
  • Ng, S., & Perron, P. (2001). Lag length selection and the construction of unit root tests with good size and power. Econometrica, 69, 1519–1554.
  • Omag, A. (2012). An observation of the relationship between gold prices and selected financial variables in Turkey. Muhasebe ve Finansman Dergisi, 55, 196–204.
  • Perron, P. (1997). Further evidence on breaking trend functions in macroeconomic variables, Journal of Econometrics, 80, 355-385.
  • Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root ın time series regressions. Biometrika, 75, 335–346.
  • Ranson, D., & Wainright, H. C. (2005). Why gold, not oil, is the superior predictor of inflation. Gold Report, World Gold Council. [Available online at: https://www.gold.org/goldhub/research/why-gold-not-oil-superior-predictor-inflation], Retrieved on October 23, 2019.
  • Reboredo, J. C. (2013). Is gold a hedge or safe heaven against oil price movements? Resources Policy, 38, 130–137.
  • Rubbaniy, G., Lee, K. T., & Verschoor, W. F. C. (2011). Metal investments: Distrusts killer or inflation hedger? [Available online at: http://ssrn. com/abstract=1916283], Retrieved on October 23, 2019.
  • Quintos, C. E. (1995). Sustainability of the deficit process with structural shifts, Journal of Business and Economic Statistics, 13, 409–417.
  • Sen, A. (2003). On Unit root tests when the alternative ıs a trend break stationary process, Journal of Business and Economic Statistics, 21, 174-184.
  • Sherman, E. (1986). Gold investment: Theory and application. New York: Prentice Hall.
  • Smith, G. (2002). Tests of random walk hypothesis for London gold prices. Applied Economics Letters, 9, 671–674.
  • Solt, M. E., & Swanson, P. J. (1981). On the efficiency of the markets for gold and silver. Journal of Business, 54, 453–478.
  • Taşçı, F. İ. (2010). Ekonometrik bir yaklaşımla altın piyasasının incelenmesi, (Yayınlanmamış Yüksek Lisans Tezi), G. Ü. Sosyal Bilimler Enstitüsü, Ankara.
  • Tkacz, G. (2007). Gold prices and inflation, Bank of Canada Working Paper, 235, 1-30.
  • Tully, E., & Lucey, B. M. (2007). A power GARCH examination of the gold market. Research in International Business and Finance, 21, 316–325.
  • Wang, K. M., Lee, Y. M., & Thi, T. B. N. (2010). Time and place where gold acts as inflation hedge: An application of long-run and short-run threshold model. Economic Modeling, 28, 806–816.
  • Zivot, E., & Andrews, D. (1992). Further evidence of great crash, the oil price shock and unit root hypothesis. Journal of Business and Economic Statistics, 10, 251–270.
  • www.borsaistanbul.com
  • www.tcmb.gov.tr
  • www.tuik.gov.tr

Gold Investment as an Inflation Hedging Instrument

Yıl 2020, Cilt: 11 Sayı: 2, 370 - 384, 26.06.2020

Öz

Individuals in developing economies use many alternative investment instruments to protect the purchasing power of national currency against inflation. One of these alternatives is the gold investment. Scientific studies investigate whether or the gold investment decision of individuals is really hedging instrument during the inflationary periods of economies. This study, 'Is it a hedging instrument gold investment in Turkey in inflationary period?' tries to answer its the question. While doing this, 1994-2019 period was analyzed by using gold prices and CPI monthly time series data. In the study, the relationship between gold prices and CPI was investigated with ADF, KPSS and Ng-Perron from of the traditional unit root tests, Lee ve Strazicich unit root test with endogenous structural break, a Toda-Yamamoto with structural breaks causality test. Our findings, in the period under, review doesn’t support the view that an advantage against inflation of gold investment in Turkey.

Proje Numarası

18.KARİYER.30

Kaynakça

  • Adrangi, B., Chatrath, A., & Christie, D. R. (2000). Price Discovery in strategically-linkedmarkets: The Case of The Gold-silverspread. Applied Financial Economics, 10, 227–234.
  • Aggarwal, R. (1992). Gold markets. In P. Newman, M. Milgate, & J. Eatwell (Eds.), The New Palgrave Dictionary of Money and Finance: Vol. 2 (pp. 256–257). Macmillan: Basingstoke.
  • Aksoy, M. ve Topcu, N. (2013). Altın ile hisse senedi ve enflasyon arasındaki ilişki. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 27(1), 59-78.
  • Awokuse, T. O. (2003). Is the export-led growth hypothesis valid for Canada? Canadian Journal of Economics, 36(1), 126-136.
  • Baum, C. F. (2004). Topics in time series regression modeling. In United Kingdom Stata Users’ Group Meetings 2004.
  • Baur, D. G., & Lucey, B. M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financial Review, 45(2), 217–229.
  • Beckmann, J., & Czudaj, R. (2013). Gold as an inflation hedge in a time varying coefficient framework. The North American Journal of Economics and Finance, 24, 208–222.
  • Bilal, A. R., Talib, N. B. A., Haq, I. U., Khan, M. N. A. A., & Naveed, M. (2013). How gold prices correspond to stock index: Acomparative analysis of Karachi stock exchange and Bombay stock exchange. World Applied Sciences Journal, 21, 485–491.
  • Blose, L. E. (2010). Gold prices, cost of carry and inflation. Journal of Economics and Business, 62, 35–37.
  • Capie, F., Mills, T. C., & Wood, G. (2005). Gold as hedge against the Dollar. Journal of International Financial Markets, Institutionsand Money, 15, 343–352.
  • Chua, J., & Woodward, R. S. (1982). Gold as an inflation hedge: A comparative study of six major industrial countries. Journal of Business Finance and Accounting, 9(2), 191–197.
  • Chua, J., Stick, G., & Woodward, R. (1990). Diversifying with gold stocks. Financial Analysts Journal, 46, 76–79.
  • Ciner, C., Gurdgiev, C., & Lucey, B. M. (2010). Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates. International Review of Financial Analysis, 29, 202-211.
  • Dickey, D., & Fuller, W. A. (1979). Distribution of the estimates for autoregressive time series with unit root. Journal of The American Statistical Association, 74, 427–431.
  • Dicle, M. F., Levendis, J., & Al Qotob, J. M. (2011). Is gold a safety asset? New Orleans: College of Business, Loyola University.
  • Dooley, M. P., Isard, P., & Taylor, M. P. (1995). Exchange rates, country-specific shocks, and gold. Applied Financial Economics, 5(3), 121–129.
  • Elliot, G., Rothenberg, T. J., & Stock, J. H. (1996). Efficient tests for an autoregressive unit root. Econometrica, 64, 813–836.
  • Elmas, B. ve Polat, M. (2014). Altın fiyatlarını etkileyen talep yönlü faktörlerin tespiti: 1988-2013 dönemi. Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi, 15(1), 171-187.
  • Ghosh, D., Levin, E. J., Macmillan, P., & Wright, R. E. (2004). Gold as an inflation hedge? Studies in Economics and Finance, 22, 1–25.
  • Ho, Y. K. (1985). Test of the incrementally efficient market hypothesis for the London gold market. Economics Letters, 19, 67–70.
  • İnal, V. ve Aydın, M. (2016). Altın fiyatlarını etkilemesi beklenen faktörler üzerine bir inceleme. Paper presented at International Congress on Politic, Economic and Social Studies, İstanbul, Turkey.
  • Jaffe, J. (1989). Gold and gold stocks as investments for institutional portfolios. Applied Financial Analysts Journal, 45, 53–59.
  • Joy, M. (2011). Gold and the US Dollar: Hedge or heaven? Financial Research Letters, 8, 120–131.
  • Kaul, A., & Sapp, S. (2006). Y2K Fears and safe heaven trading of US Dollar. Journal of International Money and Finance, 25, 760–779.
  • Kocatepe, C. İ. ve Yıldız, O. (2016). Ekonomik endeksler kullanılarak Türkiye’deki altın fiyatındaki değişim yönünün yapay sinir ağları ile tahmini. Düzce Üniversitesi Bilim ve Teknoloji Dergisi, 4(3), 926-934.
  • Koutsoyiannis, A. (1983). A short-run pricing model for a speculative asset, tested with data from the gold bullion market, Applied Economics, 15, 563–581.
  • Kwiatkowski, D., Phillips, P., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationary against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of Econometrics, 54, 159–178.
  • Levin, E. J., & Wright, R. E. (2006). Short-run and long-run determinants of the price of gold. [Available online at: https://www.gold.org/goldhub/research/short-run-and-long-run-determinants-price-gold], Retrieved on October 23, 2019.
  • Lucey, B. M., Tully, E., & Poti, V. (2004). International portfolio formation, skewness and the role of gold, Institute for International Integration Studies Discussion, 30, 1-25.
  • Lucey, B. M., & Tully, E. (2006a). The evolving relationship between gold and silver 1978–2002: Evidence form a dynamic co-integration analysis. Applied Financial Economics, 7, 711–733.
  • Lucey, B. M., & Tully, E. (2006b). Seasonally, risks and returns in daily comex gold and silver data 1982–2002. Applied Financial Economics, 16, 319–333.
  • Mahdavi, S., & Zhou, S. (1997). Gold and commodity prices as leading indicators of inflation: Tests and long-run relationship and predictive performance. Journal of Economics and Business, 49, 475–489.
  • Mavrotas, G., & Kelly, R. (2001). Old wine in new bottle: Testing causality between savings and growth. The Manchester School Supplement, 1463-6786, 97–105.
  • McCown, R. J., & Zimmerman, J. R. (2006). Is gold a zero-beta asset? Analysis of the investment potential of precious metals, [Available online at: http://ssrn.com/paper=920496], Retrieved on October 23, 2019.
  • Moore, G. (1990). Gold prices and a leading index of inflation. Challenge, 33, 52–56.
  • Narayan, P. K. (2005). The saving and investment nexus for China: Evidence from co-integration tests. Applied Economics, 17, 1979–1990.
  • Ng, S., & Perron, P. (2001). Lag length selection and the construction of unit root tests with good size and power. Econometrica, 69, 1519–1554.
  • Omag, A. (2012). An observation of the relationship between gold prices and selected financial variables in Turkey. Muhasebe ve Finansman Dergisi, 55, 196–204.
  • Perron, P. (1997). Further evidence on breaking trend functions in macroeconomic variables, Journal of Econometrics, 80, 355-385.
  • Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root ın time series regressions. Biometrika, 75, 335–346.
  • Ranson, D., & Wainright, H. C. (2005). Why gold, not oil, is the superior predictor of inflation. Gold Report, World Gold Council. [Available online at: https://www.gold.org/goldhub/research/why-gold-not-oil-superior-predictor-inflation], Retrieved on October 23, 2019.
  • Reboredo, J. C. (2013). Is gold a hedge or safe heaven against oil price movements? Resources Policy, 38, 130–137.
  • Rubbaniy, G., Lee, K. T., & Verschoor, W. F. C. (2011). Metal investments: Distrusts killer or inflation hedger? [Available online at: http://ssrn. com/abstract=1916283], Retrieved on October 23, 2019.
  • Quintos, C. E. (1995). Sustainability of the deficit process with structural shifts, Journal of Business and Economic Statistics, 13, 409–417.
  • Sen, A. (2003). On Unit root tests when the alternative ıs a trend break stationary process, Journal of Business and Economic Statistics, 21, 174-184.
  • Sherman, E. (1986). Gold investment: Theory and application. New York: Prentice Hall.
  • Smith, G. (2002). Tests of random walk hypothesis for London gold prices. Applied Economics Letters, 9, 671–674.
  • Solt, M. E., & Swanson, P. J. (1981). On the efficiency of the markets for gold and silver. Journal of Business, 54, 453–478.
  • Taşçı, F. İ. (2010). Ekonometrik bir yaklaşımla altın piyasasının incelenmesi, (Yayınlanmamış Yüksek Lisans Tezi), G. Ü. Sosyal Bilimler Enstitüsü, Ankara.
  • Tkacz, G. (2007). Gold prices and inflation, Bank of Canada Working Paper, 235, 1-30.
  • Tully, E., & Lucey, B. M. (2007). A power GARCH examination of the gold market. Research in International Business and Finance, 21, 316–325.
  • Wang, K. M., Lee, Y. M., & Thi, T. B. N. (2010). Time and place where gold acts as inflation hedge: An application of long-run and short-run threshold model. Economic Modeling, 28, 806–816.
  • Zivot, E., & Andrews, D. (1992). Further evidence of great crash, the oil price shock and unit root hypothesis. Journal of Business and Economic Statistics, 10, 251–270.
  • www.borsaistanbul.com
  • www.tcmb.gov.tr
  • www.tuik.gov.tr
Toplam 56 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Huriye Gonca Diler 0000-0002-9937-1324

Proje Numarası 18.KARİYER.30
Yayımlanma Tarihi 26 Haziran 2020
Gönderilme Tarihi 25 Ocak 2020
Yayımlandığı Sayı Yıl 2020 Cilt: 11 Sayı: 2

Kaynak Göster

APA Diler, H. G. (2020). Enflasyondan Korunma Aracı Olarak Altın Yatırımı. Gümüşhane Üniversitesi Sosyal Bilimler Dergisi, 11(2), 370-384. https://doi.org/10.36362/gumus.679878