PRICE TRANSMISSION BETWEEN GOLD, SILVER, COPPER PRICES AND MINING INDEX IN TURKEY
Öz
Mining
industry has a substantial role for countries development and economies. To
comprehend the factors affecting the mining sectors is most crucial for the
countries development. In order to fill in this gap, we studied on the relation
between gold, silver, copper prices and Mining Index (XMADN) in Borsa İstanbul
Stock Exchange (BIST). 1477 daily observations for the time period between 4
February 2013 to 13 December 2018 were used. To detect the cointegrationon between gold, silver,
copper and Mining Index, we use Fourier Autoregressive Distributive Lag FADL
which was developed by Banerje et al (2017). We find no evidence of a long run
relation but strong significant feedback in the short run. Gold and copper
price have positive relation with mining index. On the other hand, silver price
has negative relation with mining index. This study highlights the need for
dynamic policy making in Turkey to hedge against mining index fluctuations
using gold, silver and copper price as instruments.
Anahtar Kelimeler
Fourier Autoregressive Distributive Lag Method, Metal Prices, Mining Index
Kaynakça
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