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Yapısal Kırılma Varlığında Türkiye ve Dünya Buğday Fiyatlarının Nedensellik Analizi

Yıl 2008, Cilt: 10 Sayı: 1-2, 183 - 200, 06.05.2014

Doğan Uysal Arzu Kan Şerife Şaylan

Öz

Bu çalışmada, Türkiye ve dünya buğday fiyatlarındaki 1996:06-2007:10 dönemine ait nedensellik ilişkisi araştırılmıştır. Zaman serilerinde geleneksel birim kök testinin (Augmented Dickey Fuller) yanı sıra, yapısal kırılmanın varlığının tespiti için, Tekrarlı Tahmin Yöntemi ve Philips Perron birim kök testi kullanılmış ve Türkiye ve Dünya buğday fiyatları arasında Granger nedensellik analizi yapılmıştır. Philips Perron ve ADF testi sonuçları benzer şekilde verilerin fark durağan olduğunu göstermiştir. Standart Granger nedensellik testi sonuçlarına göre %90 güven sınırında dünya buğday fiyatlarının, Türkiye buğday fiyatlarının oluşumunda etkili olduğu sonucuna varılmıştır. Ancak bu durum, daha yüksek güven düzeylerinde Türkiye’de buğday fiyatlarının oluşumunu dış şartlardan daha çok içsel ekonomik, siyasi ve buğday arz durumu gibi faktörlere bağlı olduğunu göstermektedir.

Anahtar Kelimeler

Buğday fiyatı; Yapısal kırılma; Nedensellik; Zaman serileri

Kaynakça

  • Ahmadi—Esfahani, F.Z-.(2006). “Testing the Law of One Price in the Chinese
  • Wholesale Food Markets”, Agribusiness, 22(4): 569—589. Altınay, G., Karagöl, E. (2004). Structural break, unit root, and the causality between energy comsumption and GDP in Turkey. Energy Economics 26, pp. 985—994.
  • Ardeni, P.G.(1989). “Does the Law of One Price Really Hold for Commodity
  • Prices?”, American Journal of Agricultural Economics, 71(3): 661—669. Baffes, J. (1991). “Some Further Evidence on the Law of One Price: The Law of One Price Still Holds”, American Journal of Agricultural Economics, (4): 1264— 1273.
  • Baffes, J. ve Ajwad, M.(1998). “Detecting Price Links in the World Cotton
  • Market”, The World Bank Policy Research Working Paper Series 1944.
  • Baldwin J.R. ve Yan B.(2004). “The Law of One Price: A Canada/U.S.
  • Exploration”, The Review of Income and Wealth, 50(1): 1—10. Bessler, D. ve S. Fuller (1993) “Cointegration Between U.S. Wheat Markets.”
  • Journal ofRegional Science, 33(4): 481—501. Davidson, R. ve MacKinnon, J.G. (1993). Estimation and Inference in
  • Econometrics. Oxford, Oxford University Press. Dawson, P. J., and A. I. Sanjuan (2005). “Structural Breaks, the Export
  • Enhancement Program and the Relationship between Canadian and the U.S. Hard Wheat Prices”, Journal of Agricultural Economics 57: 101- Dickey, D.A. ve Fuller, WA. (1979). “Distributions of the Estimators for
  • Autoregressive Time Series with a Unit Root”, Journal of the American StatisticaiAssociation, 74: 427—43 1. Dölekoğlu, T.(2003). “Türkiye’nin Tarım Üıünleri Dış Ticareti”, Tarımsal
  • Ekonomi Araştırma Enstitüsü, 2. Eryiğit, K. ve Karaman, S.(2007). “Yapısal Kırılma Varlığında Türkiye Ve Dünya Pamuk Fiyatları Eşbütünleşik Mi?”, 8. Türkiye Ekonometri ve Istatistik Kongresi.
  • Goodwin, B.K.(1992). “Multivariate Cointegration Tests and the Law of One
  • Price in International Wheat Markets”, Review of Agricultural Economics, 14(1): 117-124
  • Gujarati, DN., (1995). Basic Econometrics, third edit, MC—Graw-Hill,Inc.,USA, ss.712—7l3.
  • Haskel, J. ve Wolf, H.(2001). “The Law of One Price: A Case Study”, The Scandinavian Journal of Economics, 103(4): 545-558.
  • Isard, P.(l977). “How Far Can We Push the Law of One Price?”, American Economic Review, 67(5): 942—948. Johansen, S., R. Mosconi, and B. Nielsen (2000). “Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend”, Econometrics Journal, 3: 216—249.
  • Koç, A.(2005). “Türkiye’de Tarımsal Ürün ve Girdi Piyasaları”, Türkiye’de
  • Tarım, Edt: Fahri Yavuz, Tarım ve Köyişleri Bakanlığı: 130-159. Kostov, P.(2006). “Can the Law of One Price be tested?”, MPRA (Munich Personal RePEc Archive), 628: 1-10.
  • Lamont, O.A. ve Thaler, R.(2003). “The Law of One Price in Financial
  • Markets”, Journal of Economic Perspectives, l7( 4): 191-202. Miran, B.(2005). “Tarımsal Yapı ve Üretim”, Türkiye’de Tarım, Edt: Fahri
  • Yavuz, Tarım ve Köyişleri Bakanlığı: 9—42. Mohanty, S., Peterson E.W.F., Smith, D.B.(1996). “Relationships Between U.S. and Canadian Wheat Prices: ‘Cointegration and Error Correction
  • Approach”, Canadian Journal of Agricultural Economics, 44(3): 265— - Miljkovic, D. (1999). “The Law of One Price in International Trade: A Critical
  • Review”, Review of Agricultural Economics, 21: 126-139. Parsley, D.C. ve Wei, S.(l996). “Convergence to the Law of One Price Without Trade Barriers or Currency Fluctuations”, NBER Working Paper, No. W5654.
  • Perron, P. (1988). “Testing for a Unit Root in Time Series Regression”, Biometrica, 75: 335-346.
  • Perron, P. (1989). The Great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57, pp.1361-1401. . (1990). Testing for a unit root in a time series with a changing mean. Journal of Business and Economic Statistics, 8, pp. 1 53-1 62.
  • Peron, P. (1990). “Testing for a Unit Root in a Time Series with a Changing
  • Mean”, Journal of Business and Economic Statistics, 8: 153-162. Perron,P ve Vogelsang,T.J . (1992), “The Great Crash, the Oil Price Shock and the Unit Root Hypothesis: Erratum” Econometrica,vol:61.,1993,ss.248- ve Perron,P ve Vogelsang,T.J , “testing for a unit root in a time series with a changing mean: corrections and extensions” journal of business and economic statistics, vol: 10, ss: 467-470
  • Perron, P.(1997). “Further Evidence on Breaking Trend Functions in
  • Macroeconomic Variables”, Journal of Econometrics, 80: 355-385. TUİK, (Erişim Tarihi 2008), www.tuik.gov.tr.
  • TMO(2007). 2007 Yılı Hububat Raporu.
  • USDA (United States Department of Agriculture) (2008). http://www.usda.gov/wps/Dortallusdahome
  • Vataja, J .(2000). “Should the Law of One Price be Pushed Away? Evidence from International Commodity Markets”, Open Economies Review, ll: —415.
  • Zanias, G.P.(l993). “Testing for Integration in European Community Agricultural Product Markets”, Journal of Agricultural Economics, (3): 418-427. Zivot, E., Andrews, D.W.K., (1992). Further evidence on the great crash, the oil-price shock,and the unit—root hypothesis. Journal of Business &
  • Economic Statistic, 10, pp.251—270.

Yıl 2008, Cilt: 10 Sayı: 1-2, 183 - 200, 06.05.2014

Doğan Uysal Arzu Kan Şerife Şaylan

Öz

Kaynakça

  • Ahmadi—Esfahani, F.Z-.(2006). “Testing the Law of One Price in the Chinese
  • Wholesale Food Markets”, Agribusiness, 22(4): 569—589. Altınay, G., Karagöl, E. (2004). Structural break, unit root, and the causality between energy comsumption and GDP in Turkey. Energy Economics 26, pp. 985—994.
  • Ardeni, P.G.(1989). “Does the Law of One Price Really Hold for Commodity
  • Prices?”, American Journal of Agricultural Economics, 71(3): 661—669. Baffes, J. (1991). “Some Further Evidence on the Law of One Price: The Law of One Price Still Holds”, American Journal of Agricultural Economics, (4): 1264— 1273.
  • Baffes, J. ve Ajwad, M.(1998). “Detecting Price Links in the World Cotton
  • Market”, The World Bank Policy Research Working Paper Series 1944.
  • Baldwin J.R. ve Yan B.(2004). “The Law of One Price: A Canada/U.S.
  • Exploration”, The Review of Income and Wealth, 50(1): 1—10. Bessler, D. ve S. Fuller (1993) “Cointegration Between U.S. Wheat Markets.”
  • Journal ofRegional Science, 33(4): 481—501. Davidson, R. ve MacKinnon, J.G. (1993). Estimation and Inference in
  • Econometrics. Oxford, Oxford University Press. Dawson, P. J., and A. I. Sanjuan (2005). “Structural Breaks, the Export
  • Enhancement Program and the Relationship between Canadian and the U.S. Hard Wheat Prices”, Journal of Agricultural Economics 57: 101- Dickey, D.A. ve Fuller, WA. (1979). “Distributions of the Estimators for
  • Autoregressive Time Series with a Unit Root”, Journal of the American StatisticaiAssociation, 74: 427—43 1. Dölekoğlu, T.(2003). “Türkiye’nin Tarım Üıünleri Dış Ticareti”, Tarımsal
  • Ekonomi Araştırma Enstitüsü, 2. Eryiğit, K. ve Karaman, S.(2007). “Yapısal Kırılma Varlığında Türkiye Ve Dünya Pamuk Fiyatları Eşbütünleşik Mi?”, 8. Türkiye Ekonometri ve Istatistik Kongresi.
  • Goodwin, B.K.(1992). “Multivariate Cointegration Tests and the Law of One
  • Price in International Wheat Markets”, Review of Agricultural Economics, 14(1): 117-124
  • Gujarati, DN., (1995). Basic Econometrics, third edit, MC—Graw-Hill,Inc.,USA, ss.712—7l3.
  • Haskel, J. ve Wolf, H.(2001). “The Law of One Price: A Case Study”, The Scandinavian Journal of Economics, 103(4): 545-558.
  • Isard, P.(l977). “How Far Can We Push the Law of One Price?”, American Economic Review, 67(5): 942—948. Johansen, S., R. Mosconi, and B. Nielsen (2000). “Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend”, Econometrics Journal, 3: 216—249.
  • Koç, A.(2005). “Türkiye’de Tarımsal Ürün ve Girdi Piyasaları”, Türkiye’de
  • Tarım, Edt: Fahri Yavuz, Tarım ve Köyişleri Bakanlığı: 130-159. Kostov, P.(2006). “Can the Law of One Price be tested?”, MPRA (Munich Personal RePEc Archive), 628: 1-10.
  • Lamont, O.A. ve Thaler, R.(2003). “The Law of One Price in Financial
  • Markets”, Journal of Economic Perspectives, l7( 4): 191-202. Miran, B.(2005). “Tarımsal Yapı ve Üretim”, Türkiye’de Tarım, Edt: Fahri
  • Yavuz, Tarım ve Köyişleri Bakanlığı: 9—42. Mohanty, S., Peterson E.W.F., Smith, D.B.(1996). “Relationships Between U.S. and Canadian Wheat Prices: ‘Cointegration and Error Correction
  • Approach”, Canadian Journal of Agricultural Economics, 44(3): 265— - Miljkovic, D. (1999). “The Law of One Price in International Trade: A Critical
  • Review”, Review of Agricultural Economics, 21: 126-139. Parsley, D.C. ve Wei, S.(l996). “Convergence to the Law of One Price Without Trade Barriers or Currency Fluctuations”, NBER Working Paper, No. W5654.
  • Perron, P. (1988). “Testing for a Unit Root in Time Series Regression”, Biometrica, 75: 335-346.
  • Perron, P. (1989). The Great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57, pp.1361-1401. . (1990). Testing for a unit root in a time series with a changing mean. Journal of Business and Economic Statistics, 8, pp. 1 53-1 62.
  • Peron, P. (1990). “Testing for a Unit Root in a Time Series with a Changing
  • Mean”, Journal of Business and Economic Statistics, 8: 153-162. Perron,P ve Vogelsang,T.J . (1992), “The Great Crash, the Oil Price Shock and the Unit Root Hypothesis: Erratum” Econometrica,vol:61.,1993,ss.248- ve Perron,P ve Vogelsang,T.J , “testing for a unit root in a time series with a changing mean: corrections and extensions” journal of business and economic statistics, vol: 10, ss: 467-470
  • Perron, P.(1997). “Further Evidence on Breaking Trend Functions in
  • Macroeconomic Variables”, Journal of Econometrics, 80: 355-385. TUİK, (Erişim Tarihi 2008), www.tuik.gov.tr.
  • TMO(2007). 2007 Yılı Hububat Raporu.
  • USDA (United States Department of Agriculture) (2008). http://www.usda.gov/wps/Dortallusdahome
  • Vataja, J .(2000). “Should the Law of One Price be Pushed Away? Evidence from International Commodity Markets”, Open Economies Review, ll: —415.
  • Zanias, G.P.(l993). “Testing for Integration in European Community Agricultural Product Markets”, Journal of Agricultural Economics, (3): 418-427. Zivot, E., Andrews, D.W.K., (1992). Further evidence on the great crash, the oil-price shock,and the unit—root hypothesis. Journal of Business &
  • Economic Statistic, 10, pp.251—270.
Toplam 36 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Doğan Uysal Bu kişi benim

Arzu Kan Bu kişi benim

Şerife Şaylan Bu kişi benim

Yayımlanma Tarihi 6 Mayıs 2014
Gönderilme Tarihi 31 Aralık 2014
Yayımlandığı Sayı Yıl 2008 Cilt: 10 Sayı: 1-2

Kaynak Göster

APA Uysal, D., Kan, A., & Şaylan, Ş. (2014). Yapısal Kırılma Varlığında Türkiye ve Dünya Buğday Fiyatlarının Nedensellik Analizi. Selçuk Üniversitesi Sosyal Bilimler Meslek Yüksekokulu Dergisi, 10(1-2), 183-200.

Selçuk Üniversitesi Sosyal Bilimler Meslek Yüksekokulu Dergisi Creative Commons Atıf-GayriTicari 4.0 Uluslararası Lisansı (CC BY NC) ile lisanslanmıştır.