Osman Tahidu DAMBA, Abdulbaki BİLGİÇ, Adem AKSOY

Dünya Ham Petrol ve Seçilmiş Gıda Ürünlerin Arasındaki Fiyat Oynaklığın Tahmini: Bir BEKK-GARCH Yaklaşımı

Bu çalışma, 1990-2015 yılları arasında dünya ham petrol ve bazı temel gıda fiyatları arasındaki geçişkenliği analiz etmek amacıyla, çok değişkenli-BEKK GARCH modeli kullanarak petrol fiyatının ve seçilen gıda ürünlerin fiyat oynaklığının hareketi ve boyutunu ortaya koymayı amaçlamıştır. Bu çalışma dünya ham petrol fiyatındaki değişme ile tarımsal gıda piyasaları arasındaki fiyat oynaklığının kaynağını anlamak, oynaklığı azaltma arayışlarını artırmak, oynaklıktan gıda güvencesini kontrol altına almak ve gelecekte planlamada istikrarı sağlamak amacı büyük önem taşımaktadır. Makalede ayrıca, çalışmada gerçek (reel) fiyat getirileri uygulanmış ve seri normalleştirilmiştir. Ampirik sonuçlar, ham petrol ile mandıra ürünleri hariç diğer gıda ürünlerinin fiyat getirileri arasında belirgin bir oynaklık geçişkenliği etkisinin olduğunu göstermiştir. Ham petrol fiyatı getirisi ile et, tahıl, yenilebilir yağlar ve şekerler arasında kuvvetli ikili çapraz korelasyon ilişkisi mevcuttur. Ayrıca şoklar gıda ürünlerin fiyatlarında ve ilk gecikmelerinde gözlenmiştir.

Anahtar Kelimeler:

Fiyatlar, Oynaklık, Ham Petrol, Gıda Ürünleri

Estimating Price Volatility Transmission between World Crude Oil and Selected Food Commodities: A BEKK Approach

This paper quantified the behaviour and extent of oil price and selected food commodity price volatilities using a multivariate-BEKK GARCH model to analyse the shocks and volatility transmission effect between crude oil and these commodities prices during 1990-2015. In line with the properties of time series data, a series of test such as collinearity, unit root as well as the presence of ARCH effects were conducted. The objective of this paper was to understand the most volatile commodity due to changes in world crude oil price returns and explore ways to reduce volatility relevant to food security and its stability for future planning purposes. The paper further used real price returns and demeans for normalization. Empirical results showed significant volatility transmission effects between crude oil and the all the food commodity except for dairy. Strong correlations existed between crude oil price returns and meat, cereal, edible oils and sugars. Shocks were also observed food commodity prices and its first lags.

Keywords:

Prices, Volatility, Crude Oil, Food Commodities,

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