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

Yıl 2023, Cilt: 8 Sayı: 2, 385 - 399, 30.12.2023

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.

Kaynakça

  • Altarturi, B. H., Alshammari, A. A., Saiti, B., & Erol, T. (2018). A three-way analysis of the relationship between the USD value and the prices of oil and gold: A wavelet analysis. AIMS Energy, 6(3), 487-504.
  • Baillie, R. T., Bollerslev, T., & Mikkelsen, H. O. (1996). Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 74(1), 3-30.
  • Baruník, J., Kočenda, E., & Vácha, L. (2016). Gold, oil, and stocks: Dynamic correlations. International Review of Economics & Finance, 42, 186-201.
  • Bildirici, M. E., & Turkmen, C. (2015). Nonlinear causality between oil and precious metals. Resources Policy, 46, 202-211.
  • Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327.
  • Cai, X. J., Fang, Z., Chang, Y., Tian, S., & Hamori, S. (2020). Co-movements in commodity markets and implications in diversification benefits. Empirical Economics, 58, 393-425.
  • Cevik, N. K., Cevik, E. I., & Dibooglu, S. (2020). Oil prices, stock market returns and volatility spillovers: Evidence from Turkey. Journal of Policy Modeling, 42(3), 597-614.
  • Cheung, Y. & Ng, L. K. (1996). A Causality-in Variance Test and Its Applications to Financial Market Prices. Journal of Econometrics, 72, 33-48.
  • Churchill, S. A., Inekwe, J., Ivanovski, K., & Smyth, R. (2019). Dynamics of oil price, precious metal prices and the exchange rate in the long-run. Energy Economics, 84, 104508.
  • Ding, Z., Granger, C. W., & Engle, R. F. (1993). A long memory property of stock market returns and a new model. Journal of empirical finance, 1(1), 83-106.
  • Dutta, A., Bouri, E., & Roubaud, D. (2019). Nonlinear relationships amongst the implied volatilities of crude oil and precious metals. Resources Policy, 61, 473-478.
  • Ewing, B. T., & Malik, F. (2010). Estimating volatility persistence in oil prices under structural breaks. Financial Review, 45(4), 1011-1023.
  • Ewing, B. T., & Malik, F. (2013). Volatility transmission between gold and oil futures under structural breaks. International Review of Economics & Finance, 25, 113-121.
  • Galeano, P., & Tsay, R. S. (2010). Shifts in individual parameters of a GARCH model. Journal of Financial Econometrics, 8(1), 122-153.
  • Hammoudeh, S., & Yuan, Y. (2008). Metal volatility in presence of oil and interest rate shocks. Energy Economics, 30(2), 606-620.
  • Hong, Y. (2001). A test for volatility spillover with application to exchange rates. Journal of Econometrics, 103(1-2), 183-224.
  • Hunt, B. (2006). Oil price shocks and the US stagflation of the 1970s: Some insights from GEM. The Energy Journal, 27(4), 61-80.
  • Inclan, C., & Tiao, G. (1994). Use of Cumulative Sums of Squares Retrospective Detection of Changes in Variance. Journal of the American Statistic Association, 89, 913-923.
  • Jain, A., & Ghosh, S. (2013). Dynamics of global oil prices, exchange rate and precious metal prices in India. Resources policy, 38(1), 88-93.
  • Kang, S. H., McIver, R., & Yoon, S. M. (2017). Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets. Energy Economics, 62, 19-32.
  • Kuriyama, N. (2016). Testing cointegration in quantile regressions with an application to the term structure of interest rates. Studies in Nonlinear Dynamics & Econometrics, 20(2), 107-121.
  • Le, T. H., & Chang, Y. (2012). Oil price shocks and gold returns. International Economics, 131, 71-103.
  • Lombardi, M. J., & Van Robays, I. (2011). Do financial investors destabilize the oil price? European Central Bank, Working Paper No.1346.
  • Lu, F. B., Hong, Y. M., Wang, S. Y., Lai, K. K., & Liu, J. (2014). Time-varying Granger causality tests for applications in global crude oil markets. Energy Economics, 42, 289-298.
  • Mensi, W., Hkiri, B., Al-Yahyaee, K. H., & Kang, S. H. (2018). Analyzing time–frequency co-movements across gold and oil prices with BRICS stock markets: A VaR based on wavelet approach. International Review of Economics & Finance, 54, 74-102.
  • Mohammadi, H., & Su, L. (2010). International evidence on crude oil price dynamics: Applications of ARIMA-GARCH models. Energy Economics, 32(5), 1001-1008.
  • Morales, L., & Andreosso-O’Callaghan, B. (2014). Volatility analysis of precious metals returns and oil returns: An ICSS approach. Journal of Economics and Finance, 38, 492-517.
  • Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the econometric society, 59(2), 347-370.
  • Reboredo, J. C., & Ugolini, A. (2016). The impact of downward/upward oil price movements on metal prices. Resources Policy, 49, 129-141.
  • Regnier, E. (2007). Oil and energy price volatility. Energy economics, 29(3), 405-427.
  • Rehman, M. U., Shahzad, S. J. H., Uddin, G. S., & Hedström, A. (2018). Precious metal returns and oil shocks: A time varying connectedness approach. Resources Policy, 58, 77-89.
  • Sansó, A., Carrion, J. L., & Aragó, V. (2004). Testing for changes in the unconditional variance of financial time series. Revista de Economía Financiera, 2004, 4, 32-52.
  • Sari, R., Hammoudeh, S., & Soytas, U. (2010). Dynamics of oil price, precious metal prices, and exchange rate. Energy Economics, 32(2), 351-362.
  • Shafiullah, M., Chaudhry, S. M., Shahbaz, M., & Reboredo, J. C. (2021). Quantile causality and dependence between crude oil and precious metal prices. International Journal of Finance & Economics, 26(4), 6264-6280.
  • Shahzad, S. J. H., Rehman, M. U., & Jammazi, R. (2019). Spillovers from oil to precious metals: quantile approaches. Resources Policy, 61, 508-521.
  • Soytas, U., Sari, R., Hammoudeh, S., & Hacihasanoglu, E. (2009). World oil prices, precious metal prices and macroeconomy in Turkey. Energy Policy, 37(12), 5557-5566.
  • Tiwari, A. K., & Sahadudheen, I. (2015). Understanding the nexus between oil and gold. Resources Policy, 46, 85-91.
  • Troster, V. (2018). Testing for Granger-causality in quantiles. Econometric Reviews, 37(8), 850-866.
  • Wang, K. M., & Thi, T. B. N. (2007). Testing for contagion under asymmetric dynamics: Evidence from the stock markets between US and Taiwan. Physica A: Statistical Mechanics and its Applications, 376, 422-432.
  • Yaya, O. S., Tumala, M. M., & Udomboso, C. G. (2016). Volatility persistence and returns spillovers between oil and gold prices: Analysis before and after the global financial crisis. Resources Policy, 49, 273-281.
  • Yıldırım, D. Ç., Cevik, E. I., & Esen, Ö. (2020). Time-varying volatility spillovers between oil prices and precious metal prices. Resources Policy, 68, 101783.
  • Zhang, Y. J., & Wei, Y. M. (2010). The crude oil market and the gold market: Evidence for cointegration, causality and price discovery. Resources Policy, 35(3), 168-177.

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

Yıl 2023, Cilt: 8 Sayı: 2, 385 - 399, 30.12.2023

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.

Kaynakça

  • Altarturi, B. H., Alshammari, A. A., Saiti, B., & Erol, T. (2018). A three-way analysis of the relationship between the USD value and the prices of oil and gold: A wavelet analysis. AIMS Energy, 6(3), 487-504.
  • Baillie, R. T., Bollerslev, T., & Mikkelsen, H. O. (1996). Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 74(1), 3-30.
  • Baruník, J., Kočenda, E., & Vácha, L. (2016). Gold, oil, and stocks: Dynamic correlations. International Review of Economics & Finance, 42, 186-201.
  • Bildirici, M. E., & Turkmen, C. (2015). Nonlinear causality between oil and precious metals. Resources Policy, 46, 202-211.
  • Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327.
  • Cai, X. J., Fang, Z., Chang, Y., Tian, S., & Hamori, S. (2020). Co-movements in commodity markets and implications in diversification benefits. Empirical Economics, 58, 393-425.
  • Cevik, N. K., Cevik, E. I., & Dibooglu, S. (2020). Oil prices, stock market returns and volatility spillovers: Evidence from Turkey. Journal of Policy Modeling, 42(3), 597-614.
  • Cheung, Y. & Ng, L. K. (1996). A Causality-in Variance Test and Its Applications to Financial Market Prices. Journal of Econometrics, 72, 33-48.
  • Churchill, S. A., Inekwe, J., Ivanovski, K., & Smyth, R. (2019). Dynamics of oil price, precious metal prices and the exchange rate in the long-run. Energy Economics, 84, 104508.
  • Ding, Z., Granger, C. W., & Engle, R. F. (1993). A long memory property of stock market returns and a new model. Journal of empirical finance, 1(1), 83-106.
  • Dutta, A., Bouri, E., & Roubaud, D. (2019). Nonlinear relationships amongst the implied volatilities of crude oil and precious metals. Resources Policy, 61, 473-478.
  • Ewing, B. T., & Malik, F. (2010). Estimating volatility persistence in oil prices under structural breaks. Financial Review, 45(4), 1011-1023.
  • Ewing, B. T., & Malik, F. (2013). Volatility transmission between gold and oil futures under structural breaks. International Review of Economics & Finance, 25, 113-121.
  • Galeano, P., & Tsay, R. S. (2010). Shifts in individual parameters of a GARCH model. Journal of Financial Econometrics, 8(1), 122-153.
  • Hammoudeh, S., & Yuan, Y. (2008). Metal volatility in presence of oil and interest rate shocks. Energy Economics, 30(2), 606-620.
  • Hong, Y. (2001). A test for volatility spillover with application to exchange rates. Journal of Econometrics, 103(1-2), 183-224.
  • Hunt, B. (2006). Oil price shocks and the US stagflation of the 1970s: Some insights from GEM. The Energy Journal, 27(4), 61-80.
  • Inclan, C., & Tiao, G. (1994). Use of Cumulative Sums of Squares Retrospective Detection of Changes in Variance. Journal of the American Statistic Association, 89, 913-923.
  • Jain, A., & Ghosh, S. (2013). Dynamics of global oil prices, exchange rate and precious metal prices in India. Resources policy, 38(1), 88-93.
  • Kang, S. H., McIver, R., & Yoon, S. M. (2017). Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets. Energy Economics, 62, 19-32.
  • Kuriyama, N. (2016). Testing cointegration in quantile regressions with an application to the term structure of interest rates. Studies in Nonlinear Dynamics & Econometrics, 20(2), 107-121.
  • Le, T. H., & Chang, Y. (2012). Oil price shocks and gold returns. International Economics, 131, 71-103.
  • Lombardi, M. J., & Van Robays, I. (2011). Do financial investors destabilize the oil price? European Central Bank, Working Paper No.1346.
  • Lu, F. B., Hong, Y. M., Wang, S. Y., Lai, K. K., & Liu, J. (2014). Time-varying Granger causality tests for applications in global crude oil markets. Energy Economics, 42, 289-298.
  • Mensi, W., Hkiri, B., Al-Yahyaee, K. H., & Kang, S. H. (2018). Analyzing time–frequency co-movements across gold and oil prices with BRICS stock markets: A VaR based on wavelet approach. International Review of Economics & Finance, 54, 74-102.
  • Mohammadi, H., & Su, L. (2010). International evidence on crude oil price dynamics: Applications of ARIMA-GARCH models. Energy Economics, 32(5), 1001-1008.
  • Morales, L., & Andreosso-O’Callaghan, B. (2014). Volatility analysis of precious metals returns and oil returns: An ICSS approach. Journal of Economics and Finance, 38, 492-517.
  • Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the econometric society, 59(2), 347-370.
  • Reboredo, J. C., & Ugolini, A. (2016). The impact of downward/upward oil price movements on metal prices. Resources Policy, 49, 129-141.
  • Regnier, E. (2007). Oil and energy price volatility. Energy economics, 29(3), 405-427.
  • Rehman, M. U., Shahzad, S. J. H., Uddin, G. S., & Hedström, A. (2018). Precious metal returns and oil shocks: A time varying connectedness approach. Resources Policy, 58, 77-89.
  • Sansó, A., Carrion, J. L., & Aragó, V. (2004). Testing for changes in the unconditional variance of financial time series. Revista de Economía Financiera, 2004, 4, 32-52.
  • Sari, R., Hammoudeh, S., & Soytas, U. (2010). Dynamics of oil price, precious metal prices, and exchange rate. Energy Economics, 32(2), 351-362.
  • Shafiullah, M., Chaudhry, S. M., Shahbaz, M., & Reboredo, J. C. (2021). Quantile causality and dependence between crude oil and precious metal prices. International Journal of Finance & Economics, 26(4), 6264-6280.
  • Shahzad, S. J. H., Rehman, M. U., & Jammazi, R. (2019). Spillovers from oil to precious metals: quantile approaches. Resources Policy, 61, 508-521.
  • Soytas, U., Sari, R., Hammoudeh, S., & Hacihasanoglu, E. (2009). World oil prices, precious metal prices and macroeconomy in Turkey. Energy Policy, 37(12), 5557-5566.
  • Tiwari, A. K., & Sahadudheen, I. (2015). Understanding the nexus between oil and gold. Resources Policy, 46, 85-91.
  • Troster, V. (2018). Testing for Granger-causality in quantiles. Econometric Reviews, 37(8), 850-866.
  • Wang, K. M., & Thi, T. B. N. (2007). Testing for contagion under asymmetric dynamics: Evidence from the stock markets between US and Taiwan. Physica A: Statistical Mechanics and its Applications, 376, 422-432.
  • Yaya, O. S., Tumala, M. M., & Udomboso, C. G. (2016). Volatility persistence and returns spillovers between oil and gold prices: Analysis before and after the global financial crisis. Resources Policy, 49, 273-281.
  • Yıldırım, D. Ç., Cevik, E. I., & Esen, Ö. (2020). Time-varying volatility spillovers between oil prices and precious metal prices. Resources Policy, 68, 101783.
  • Zhang, Y. J., & Wei, Y. M. (2010). The crude oil market and the gold market: Evidence for cointegration, causality and price discovery. Resources Policy, 35(3), 168-177.

Ayrıntılar

Birincil Dil Türkçe
Konular Uygulamalı Ekonomi (Diğer), Finansal Ekonometri, Finansal Piyasalar ve Kurumlar
Bölüm Araştırma Makalesi
Yazarlar

Serhat SEZEN 0000-0002-8018-2769

Erken Görünüm Tarihi 24 Ekim 2023
Yayımlanma Tarihi 30 Aralık 2023
Yayımlandığı Sayı Yıl 2023 Cilt: 8 Sayı: 2

Kaynak Göster

APA SEZEN, S. (2023). Petrol Fiyatları ile Kıymetli Metal Fiyatları Arasında Zamanla Değişen Volatilite Yayılma Etkisinin Analizi. JOEEP: Journal of Emerging Economies and Policy, 8(2), 385-399.

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