COMMODITY PRICES AFFECT EACH OTHER? ASYMMETRIC FREQUENCY CAUSALITY ANALYSIS

Abstract

The crises experienced in recent years have caused the traditional investment instruments to be questioned. This has led investors to focus more on commodities in portfolio construction process compared to the past. However, fluctuations in commodity prices, especially due to supply and demand, lead to the complication of the relations between alternative commodities. In this context, data of oil, gold and silver prices between 16.09.200812.08.2017 were investigated by asymmetric frequency causality analysis. As a result of this study, short, medium and long term asymmetric causality relations between the commodities were determined

Keywords

• Commodity Prices
• Asymmetric Frequency Causality Test
• Portfolio Management

EMTİA FİYATLARI BİRBİRLERİNİ ETKİLER Mİ? ASİMETRİK FREKANS NEDENSELLİK ANALİZİ

Öz

Son yıllarda yaşanan krizler geleneksel yatırım araçlarının sorgulanmasına yol açmıştır. Bu durum ise yatırımcıların portföy oluşturma sürecinde emtialara eskiye oranla daha fazla yönelmelerine neden olmuştur. Bununla birlikte emtia fiyatlarında özellikle arz ve talebe bağlı olarak yaşanan dalgalanmalar ise alternatif emtialar arasındaki ilişkilerin karmaşıklaşmasına yol açmaktadır. Bu bağlamda çalışmada 16.09.2008-12.08.2017 tarihleri arasında petrol, altın ve gümüş fiyatlarına ait veriler, asimetrik frekans nedensellik analizi ile araştırılmıştır. Çalışma sonucunda söz konusu emtialar arasında kısa, orta ve uzun dönemde asimetrik nedensellik ilişkileri tespit edilmiştir.

Anahtar Kelimeler

• Emtia Fiyatları
• Asimetrik Frekans Nedensellik Analizi
• Portföy Yönetimi

Kaynakça

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24. Ek-1: Asimetrik Frekans Nedensellik Sonuçları