PRICE TRANSMISSION IN WORLD DRIED APRICOT MARKET

Öz

Turkey is the leading country in dried apricot production and export in the world. In the study, by utilizing monthly data for the period 2006 – 2015 the price transmission in world dried apricot is estimated with Generalised Autoregressive Conditional Heteroscedasticity (GARCH) model. According to the model estimation results, all the variables included in the model, namely export price of Turkish dried apricot, real effective exchange rate index and exchange rate volatility, stock exchange quotation of Turkish dried apricot and its one month lagged value, and one month lagged world dried apricot price, are found to be statistically significant. The main findings of the study are that, the values of short term elasticities are lower than the values of long term elasticities; the values of elasticities are in between zero and one; in other terms the price transmission in world dried apricot market is incomplete.

Anahtar Kelimeler

• Dried apricot,Price transmission,eneralised Autoregressive Conditional Heteroscedasticity (GARCH) model

DÜNYA KURU KAYISI PİYASASINDA FİYAT GEÇİRGENLİĞİ

Öz

Türkiye kuru kayısı üretimi ve ihracatında dünyada lider ülke konumundadır. Bu çalışmada, 2006- 2015 dönemi aylık verileri kullanılarak dünya kuru kayısı fiyatlarındaki geçirgenlik, Genelleştirilmiş Otoregressif Koşullu Değişken Varyans (GARCH) modeli ile tahmin edilmiştir. Model tahmin sonuçlarına göre modele dahil edilen; Türkiye kuru kayısı ihracat fiyatı, reel efektif döviz kuru indeksi ile döviz kuru dalgalanması, Türkiye kuru kayısı borsa fiyatı ile bir aylık gecikmeli değeri ve dünya kuru kayısı fiyatının bir aylık gecikmeli değişkenlerinin tamamı istatistiksel olarak anlamlı bulunmuştur. Araştırmanın başlıca temel bulguları; kısa dönem esneklik değerlerinin uzun dönem esneklik değerlerinden daha düşük olduğu; esneklik değerlerinin sıfır ile bir arasında değerler aldığı; diğer bir ifade ile dünya kuru kayısı piyasasında fiyat geçirgenliğinin tam olmadığıdır.

Anahtar Kelimeler

• Kuru kayısı,Fiyat geçirgenliği,Genelleştirilmiş Otoregressif Koşullu Değişken Varyans (GARCH) modeli

Kaynakça

1. ALDERMAN, H., (1992). Intercommodity price transmittal. Analysis of food markets in Ghana. The World Bank, WPS 884, April 1992.
2. AVINGER, F., (2015). The Causal Relationship between the S&P 500 and the VIX Index: Critical Analysis of Financial Market Volatility and Its Predictability, Springer Gabler, Wiesbaden Germany.
3. BAFFES, J. ve GARDNER, B., (2003). “The Transmission of World Commodity Prices to Domestic Markets under Policy Reforms in Developing Countries”, Journal of Policy Reform, 6 (3): 159-80.
4. BALCOMBE, K., BAILEY, A. and BROOKS, J., (2007). “Threshold Effects in Price Transmission: The Case of Brazilian Wheat, Maize and Soya Prices”, American Journal of Agricultural Economics, 89 (May 2007): 308-323.
5. BOLLERSLEV, T., (1986). “Generalized Autoregressive Conditional Heteroscedasticity”, Journal of Econometrics, 31: 307-327.
6. BREDAHL, M. E., MEYERS W. and COLLINS K. J., (1979). “The Elasticity of Foreign Demand for us Agricultural Products: The Importance of the Price Transmission Elasticity”, American Journal of Agricultural Economics, 61 (November 1979): 58- 63.
7. ÇKS (Çiftçi Kayıt Sistemi), 2017, T.C. Gıda, Tarım ve Hayvancılık Bakanlığı Kayıtları, Ankara.
8. CONFORTI, P., (2004), Price Transmission in Selected Agricultural Markets, FAO Commodity and Trade Policy Research Working Paper No. 7, March, https://www.researchgate.net/profile/Piero_Conforti/publication/288891135_Market_Integration_and_Price_Transmission_in_Selected_Food_and_Cash_C rop_Markets_of_Developing_Countrie s_Review_and_Applications/links/570f83db08ae170055bc8806.pdf, Son Erişim: 07.05.2017.

9. EKONOMİ BAKANLIĞI, (2017). Kuru Kayısı, İhracat genel Müdürlüğü Tarım Ürünleri Daire Başkanlığı, Ankara.
10. ENGLE, R. F., (1982). “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of U.K. Inflation”. Econometrica, 50: 987- 1008.
11. GUJARATI, D. N., (1999). Temel Ekonometri. (Çev. Ü. Şenesen & G. G. Şenesen). Literatür Yayınları, İstanbul.
12. HAHN, W., STEWART, H., BLANEY, D. P. ve DAVIS, C., (2015). Modelling Price Transmission between Farm and Retail Prices: A Soft Switches Approach. Paper presented at annual meeting of American Agricultural Economics Association and Western Agricultural Economics Association. San Francisco, CA. July.
13. INC, (2016), “Global Statistical Review 2014-2015”, https://www.nutfruit.org/wp- continguts/uploads/2015/11/global- statistical-review-2014- 2015_101779.pdf, Son Erişim: 09.05.2017.
14. KAYISI ARAŞTIRMA ENSTİTÜSÜ MÜDÜRLÜĞÜ, http://arastirma.tarim.gov.tr/kayisi/Duy uru/4/30-31-Mart-2014-Tarihlerinde- Ilimizde-Meydana-Gelen-Zirai-Don- Afeti, Son Erişim: 09.05.2017.
15. LI, W. K., (2002). “Recent Theoretical Results for Time Series Models with GARCH Errors”, Journal of Economic Survey, 16(3).
16. MALATYA TİCARET BORSASI, Güncel Kayısı Fiyatları (2010-2016), http://malatyatb.tobb.org.tr/tr/sayfa/gun cel-kayisi-fiyatlari, (Erişim Tarihi: 02.07.2016)
17. MERKEZ BANKASI, Reel Efektif Döviz Kuru, http://www.tcmb.gov.tr/ wps/wcm/connect/tcmb+tr/tcmb+tr/mai n+menu/istatistikler/doviz+, (Erişim Tarihi: 05.06.2016).
18. MILJKOVIC, D. and RODNEY J. P., (2001). “Product Aggregation, Market Integration and Relationships between Prices: an Application to World Salmon Markets: Comment”, American Journal of Agricultural Economics, 83 (November 2001): 1087-1089.
19. MOSTAFA, F., DILLON, T. ve CHANG, E., (2017). Computational Intelligence Applications to Option Pricing, Volatility Forecasting and Value at Risk, Springer Nature, Switzerland.
20. MUNDLAK, Y. and LARSON, D. F., (1992). “On the Transmission of World Agricultural Prices”, World Bank Economic Review, 6 (3), 399-422.
21. NEWTON, J., (2016). “Price Transmission in Global Dairy Markets”, International Food and Agribusiness Management Review Special Issue - Volume 19 (B).
22. POON, S., (2005). A Practical Guide to Forecasting Financial Market Volatility. New Jersey, John Wiley Sons, Inc.
23. POZO, S., (1992). “Conditional Exchange Rate Variability and the volume of International Trade: Evidence from the Early 1990s”, Review of Economics And Statistics, 74:325-329.
24. RAPSOMANIKIS, G., HALLAM, D. ve CONFORTI, P., (2003). “Market Integration and Price Transmission in Selected Food and Cash Crop Markets of Developing Countries: Review and Applications”, Commodity Market Review 2003-2004: 51-72, ftp://ftp.fao.org/docrep/fao/006/y5117E/y5117E00.pdf, Son Erişim: 04.05.2017.
25. RIEDEL, J., (1988). “The Demand for LDC Exports of Manufactures: Estimates for Hong Kong,” Economic Journal 98: 138-148
26. SAMOUILHAN, N. L. ve SHANNON, G., (2008). “Forecasting volatility on the JSE”, Investment Analysts Journal, 37:67, 19-28, http://dx.doi.org/10.1080/10293523.20 08.11082496.
27. SHARMA, R., (2002). “The Transmission of World Price Signals: Concepts, Issues and Some Evidence from Asian Cereal Markets”, OECD Global Forum on Agriculture, 23-24 May 2002.
28. T.C. GIDA, TARIM VE HAYVANCILIK BAKANLIĞI, (2016). Yaş ve Kuru Meyve Sebze ile Seracılık Dış Pazar Çalışması, https://www.tarim.gov.tr/ABDGM/Belgeler/%C4%B0DAR%C4%B0%20%C4%B0%C5%9ELER/D%C4%B1%C5%9F%20Pazar%20Stratejileri/Ya%C5m%9F%20Kuru%20Meyve%20Sebze%20ile%20Serac%C4%B1l%C4%B1k%20D%C4%B1%C5%9F%20Pazar%20mStratejisi%20Raporu_09112016.pdf, Son Erişim: 09.05.2017.
29. TARIM DÜNYASI, http://www. tarimdunyasi.net/2015/04/30/tarim- urunlerini-yine-don-vurdu/, Son Erişim: 09.05.2017.
30. THURSBY, M. C. ve THURSBY, J. G., (1987). “Bilateral Trade Flows, the Linder Hypothesis, and Exchange Rate Risk”, Review of Economics and Statistics, 69: 488-495.
31. TRADEMAP (Trade Statistics for International Business Development), http://www.trademap.org/Country_Sel Country_MQ_TS.aspx, (Erişim Tarihi: 02.07.2016).
32. TÜİK, (2017). Dış Ticaret İstatistikleri, https://biruni.tuik.gov.tr/disticaretapp/ menu.zul, Son Erişim: 16.05.2017.
33. ULUSAL KAYISI ÇALIŞTAYI, (2014). T.C. GIDA TARIM HAYVANCILIK BAKANLIĞI Bitkisel Üretim Genel Müdürlüğü, http://www.tarim.gov.tr/BUGEM/Belg eler/Duyurular/kayisimail.pdf, Son Erişim: 09.05.2017.
34. ÜNAL, M. R., (2010). Kayısı Araştırma Raporu, Fırat Kalkınma Ajansı, http://fka.gov.tr/sharepoint/userfiles/Icerik_Dosya_Ekleri/FKA_ARASTIRMA_RAPORLARI/FKA%20KAYISI%20mARA%C5%9ETIRMA%20RAPORU.p ,df, Son Erişim: 09.05.2017.