The Analysis of Time Varying Volatility Spillover Effect between Oil Prices and Precious Metals Prices

Öz

In this paper, it is aimed to determine the possible existence of return and volatility spillover effect between oil price and precious metal prices such as gold, silver, platinum and palladium. For this purpose, using daily data between January 2, 1990 and March 10, 2023, the possible existence of the spillover effect between oil price and precious metal prices was investigated with the causality test in variance proposed by Hong (2001). The causality-in-mean test results show that there are strong causal links between the price of oil and precious metals other than gold. Accordingly, the change in the oil price affected the precious metal prices other than gold; On the other hand, it was determined that the changes in palladium, silver and platinum prices also affected the oil price with a lag. The causality-in-variance test results show that there is a bidirectional volatility spillover effect between the oil market and the precious metals market. Finally, it is seen that the results of the time-varying causality test are also consistent with the variance causality test results.

Anahtar Kelimeler

• Oil Prices
• Precious Metals
• Hong Causality Test
• Volatility Spillover Effect

Petrol Fiyatları ile Kıymetli Metal Fiyatları Arasında Zamanla Değişen Volatilite Yayılma Etkisinin Analizi

Öz

Bu çalışmada, petrol fiyatı ile altın, gümüş, platin ve paladyum gibi kıymetli metal fiyatları arasında getiri ve volatilite yayılma etkisinin olası varlığının tespit edilmesi amaçlanmıştır. Bu amaçla 2 Ocak 1990 ile 10 Mart 2023 tarihleri arasında günlük veriler kullanılarak, petrol fiyatı ile kıymetli metal fiyatları arasında yayılma etkisinin olası varlığı Hong (2001) tarafından önerilen varyansta nedensellik testi ile araştırılmıştır. Ortalamada nedensellik testi sonuçları, petrol fiyatı ile altın dışındaki diğer kıymetli metaller arasında güçlü nedensel bağlantıların olduğunu göstermektedir. Buna göre, petrol fiyatındaki değişimin altın dışındaki kıymetli metal fiyatlarını etkilediği; öte yandan, paladyum, gümüş ve platin fiyatlarındaki değişimlerin de gecikmeli olarak petrol fiyatını etkilediği tespit edilmiştir. Varyansta nedensellik testi sonuçları ise petrol piyasası ile kıymetli metal piyasası arasında çift yönlü volatilite yayılma etkisinin olduğunu göstermektedir. Son olarak, zamanla değişen varyansta nedensellik testi sonuçlarının da varyansta nedensellik test sonuçlarıyla tutarlı olduğu görülmektedir.

Anahtar Kelimeler

• Petrol Fiyatları
• Kıymetli Metaller
• Hong Nedensellik Testi
• Volatilite Yayılma Etkisi

Kaynakça

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