Uluslararası Kıymetli Metal Piyasalarının Rejim Dinamikleri

Bu çalışmanın amacı, kıymetli metal piyasalarının doğrusal olmayan yapılarını Çok Değişkenli Markov Rejim Değişim Modelleriyle (MMS-VAR) analiz etmektir. Çalışmanın gözlem aralığı 02 Ocak 2002 – 28 Mart 2016 olup, spot altın, gümüş, paladyum ve platine ait günlük kapanış fiyatlarını içermektedir. Araştırma sonuçları, uluslararası kıymetli metal piyasasının daralma, ılımlı büyüme ve genişleme rejimlerinden oluşan bir yapıya sahip olduğuna dair kanıtlar sunmaktadır.

Regime Dynamics of International Precious Metal Markets

The aim of this study is to analyze whether the precious metals have a nonlinear pattern by using Multivariate Markov Switching Vector Autoregressive Models (MMS-VAR). The observation period is between 02 January 2002 and 28 March 2016 and includes daily closed prices of gold, silver, palladium and platinum. Research results have evidence that the international precious metal market have a structure with three regimes as depression, moderate growth and expansion.

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Kaynak Göster

APA Koy, A , Çetin, G , Ersan, İ . (2017). Uluslararası Kıymetli Metal Piyasalarının Rejim Dinamikleri . Maliye ve Finans Yazıları , 1 (107) , 26-40 . DOI: 10.33203/mfy.307172