Uluslararası Ham Petrol ve Altın Fiyatlarının Amerikan Doları ile İlişkisi: Ampirik Bir Uygulama

Bu çalışmada, uluslararası altın ve petrol fiyatlarının Amerikan doları ile etkileşimi 1989:01 ve 2013:12 dönemi için araştırılmıştır. Bu bağlamda öncelikle ADF ve DF-GLS birim kök testleri yapılmıştır. Bu test sonuçlarına göre her üç değişken de birinci farkı alınmak suretiyle durağan hale gelmektedir. Birim kök testlerinin ardından Vektör Otoregresif (VAR) modeli etki tepki analizi gerçekleştirilmiştir. Buna göre, Amerikan dolarında meydana gelen bir standart hatalık şok altın ve petrol fiyatlarını negatif etkilerken, altın ve petrol fiyatlarında meydana gelen bir standart hatalık şok, Amerikan dolarını negatif, birbirlerini ise pozitif etkilemektedir.

In this study, the international gold and crude oil prices interaction with the U.S. dollar between the period of 1989:01 and 2013:12 were investigated. In this context, primarily the ADF and DF-GLS unit root tests were conducted. According to the results of this test, all three variables by taking the first difference is becoming stationary. Following the unit root tests Vector Autoregressive (VAR) model impulse-response analysis was carried out. According to impulse-response analysis results, a shock on the U.S. dollar, gold and crude oil prices negative affects. In addition to, gold and crude oil price shocks resulting on the U.S. dollar negative, and positive affect each other

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