KÜRESEL EKONOMİK POLİTİKA BELİRSİZLİĞİ VE HAM PETROL FİYATLARI İLİŞKİSİ: FREKANSTA NEDENSELLİK UYGULAMASI

Amaç- Çalışmada küresel ekonomik politika belirsizliğinin ham petrol fiyatları üzerindeki etkisi araştırılmaktadır. Metodoloji- Küresel ekonomik politika belirsizliği göstergesi olarak Küresel Ekonomik Politika Belirsizlik (GEPU) Endeksi ile ham petrol için Amerikan WTI ham petrol spot ve vadeli fiyatlarının dikkate alındığı çalışmada, veri seti Ocak 1997-Nisan 2022 dönemi aylık verilerinden oluşmaktadır. Bu veriler ise Breitung ve Candelon’un (2006) frekansta nedensellik testiyle analiz edilmiştir. Bulgular- Breitung ve Candelon’un (2006) frekansta nedensellik testi sonuçlarına göre GEPU’dan Amerikan WTI ham petrol spot ve vadeli fiyatlarına doğru sadece uzun dönemde nedensellik ilişkisi tespit edilmiştir. Ayrıca Amerikan WTI ham petrol spot fiyatlarından GEPU’ya yönelik kısa, orta ve uzun dönemde herhangi bir nedensellik ilişkisine ulaşılamadığı, Amerikan WTI ham petrol future fiyatlarından GEPU’ya doğru ise sadece uzun dönemde bir nedenselliğin olduğu belirlenmiştir. Sonuç- Ekonomi politikası belirsizliğinin taleplerle ilgili farklılıklardan kaynaklı olarak ham petrol fiyatlarını etkileme eğiliminde olduğu düşünülmektedir. Bu sonuçlar doğrultusunda yatırımcıların riskten korunma stratejileri kapsamında GEPU Endeksi’ni ve bu endekse etki eden ekonomik koşulları dikkate almalarının gerekliliği önem kazanmaktadır.

Anahtar Kelimeler:

Ekonomik politika belirsizliği, ham petrol, spot piyasa, vadeli piyasa, frekansta nedensellik

THE RELATIONSHIP OF GLOBAL ECONOMIC POLICY UNCERTAINTY AND CRUDE OIL PRICES: APPLICATION OF CAUSALITY IN FREQUENCY

Purpose- In this study, the effect of global economic policy uncertainty on crude oil prices is investigated. Methodology- In the study, which considers the Global Economic Policy Uncertainty (GEPU) Index as an indicator of global economic policy uncertainty and the American WTI crude oil spot and forward prices for crude oil, the data set consists of monthly data for the period January 1997-April 2022. These data were analyzed by Breitung and Candelon's (2006) frequency causality test. Findings- According to the results of Breitung and Candelon's (2006) frequency causality test, only long-term causality relationship was found from GEPU to American WTI crude oil spot and futures prices. In addition, it is seen that there is no causality relationship from American WTI crude oil spot prices to GEPU in short-term, mid-term and long-term while there is only long-term causality from American WTI crude oil future prices to GEPU. Conclusion- It is thought that economic policy uncertainty tends to affect crude oil prices due to differences in demand. In line with these results, it becomes important for investors to consider the GEPU Index and the economic conditions affecting this index within the scope of their hedging strategies.

Keywords:

Economic policy uncertainty, crude oil, spot market, futures market, causality in frequency,

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