FINDIK PİYASASINDA FİYAT GEÇİRGENLİĞİNİN ANALİZİ

Türkiye fındık üretimi ve ihracatında dominant ülke olmasına karşın, dünya fındık fiyatları önemli seviyede dünya fındık ithalatında ilk sırada yer alan Almanya’da Hamburg borsası tarafından belirlenmektedir. Bu çalışmada, 1996–2006 dönemi aylık verileri kullanılarak Türkiye’den Almanya’ya fındık fiyatları geçirgenliği incelenmiştir. Ekonometrik model olarak çift yönlü logaritmik model kullanılmış olup döviz kuru dalgalanmaları da modele GARCH yaklaşımı ile dahil edilmiştir. Modelin temel tahmin sonuçlarına göre, fiyat geçirgenliği ve döviz kuru esneklikleri kısa ve uzun dönemde az esnek olarak hesaplanmış olup geçirgenliğin tam olmadığını ifade etmektedir

Anahtar Kelimeler:

Fiyat Geçirgenliği, Döviz Kuru, Dalgalanma, GARCH, Fındık

An Analysis of Price Transmission in Hazelnut Market

Even though Turkey is the world’s dominant producer and exporter of hazelnut, world price of hazelnut is mainly determined at Stock Exchange of Hamburg in Germany, leading importer of hazelnut in the world. In this study, price transmission of hazelnut from Turkey to Germany was investigated using monthly data, covering from 1996 to 2006. As an econometric model, double-logarithmic functional form was used and exchange rate volatility was also included into model using GARCH approach. Based on the main findings of the model, the results showed that price transmission and exchange rate elasticities in both short and long run are less than one, indicating an incomplete pass through.

Keywords:

Price Transmission, Exchange Rate, Volatility, GARCH, Hazelnut,

PDF

___

Alexander, C. and Wyeth, J., 1994. Co-integration and Market Integration: An Application to the Indonesian Rice Market. Journal of Development Studies, 30(2): 303-34.
Baffes, J. and Ajwad, M., 2001. Identifying Price Linkages: A Review of the Literature and an Application to the Indonesian Rice Market. Journal of Development Studies, 30:303-328.
Bollerslev, T., 1986. Generalized Autoregressive Conditional Heteroscedasticity. Journal of Econometrics, 31: 307-327.
Bredahl, M E., Meyers, W. H. and Collins, K. J., 1979. The Elasticity of Foreign Demand for U.S. Agricultural Products: The Importance of the Price Transmission Elasticity. Amer. J.Agr. Econ, 61: 249-57.
Dercon, S., 1995. On Market Integration and Liberalisation: Method and Application to Ethiopia. The Journal of Development Studies, 32, (1): 112-143.
Enders, W., 1995. Applied Econometric Time
Series, John Wiley and Sons Inc. NewYork.
Engel, R., 1982. Autoregressive Conditional Heteroscedasticity with Programing. Journal of Farm Economics, 46:67-93.
FAO, Food and Agriculture Organization of the United Nations, Çeşitli Yıllar.
FISKOBİRLİK, Fiskobirlik Kayıtları, Çeşitli Yıllar.
Goletti, F. and Babu, S., 1994. Market Liberalisation and Integration of Maize Markets in Malawi. Agricultural Economics, 11: 311-324.
Gujarati, D., 1995. Basic Econometrics. New York:McGraw-Hill.
IMF, World Economic Outlook Database, Çeşitli Yıllar.
Johnson, P. R., 1977. The Elasticity of Foreign Demand for U.S. Agricultural Products. Am. J. Agric. Econ., 59:735–736.
KİB, Karadeniz İhracatçı Birlikleri Genel Sekreterliği Kayıtları, Çeşitli Yıllar.
Pick, D. H. and Carter, C.A., 1994. Pricing to Market with Transactions Denominated in a Common Currency. Amer. J. Agr. Econ., 76:55-60.
Pozo, S. 1992. Conditional Exchange Rate
Variability and the volume of International Trade:Evidence from the Early 1990s. Review of Economics and Statistics 74:325-329.
Samuelson, P., 1952. Spatial Price Equilibrium and Linear Programming. American Economic Review, 42:283-303.
Takayama, T. and Judge, G. 1964. Spatial Equilibrium and Quadratic Estimates of the Variance of the United Kingdom Inflation. Econometrica, 50: 987-1007.
T.C.M.B. T.C. Merkez Bankası Kayıtları, Çeşitli Yıllar.
Thursby, M.C. and Thursby, J.G., 1987. Bilateral Trade Flows, the Linder Hypothesis, and Exchange Rate Risk, Review of Economics and Statistics 69: 488-495.