PRICE TRANSMISSION BETWEEN GOLD, SILVER, COPPER PRICES AND MINING INDEX IN TURKEY

Günümüzde, madencilik sektörü, ülkelerin kalkınması ve ekonomileri için önemli bir rol oynamaktadır. Madencilik sektörünü etkileyen faktörleri kavramak, ülkelerin kalkınması için oldukça büyük öneme sahiptir. Bu amaçla altın, gümüş ve bakır fiyatları ile Borsa İstanbul (BİST) ulusal pazarda işlem gören Madencilik Endeksi (XMADN) arasındaki ilişki incelenmiştir. 4 Şubat 2013 - 13 Aralık 2018 arasındaki dönem için 1477 günlük gözlem kullanılmıştır. Altın, gümüş ve bakır fiyatları ile Madencilik Endeksi (XMADN) arasındaki uzun dönem ilişki Banerje vd. (2017) tarafından geliştirilen Fourier Otoregressive Dağıtıcı Lag (FADL) eşbütünleşme testi kullanılarak analiz edilmiştir. Elde edilen sonuçlara göre, ele alınan değişkenler arasında uzun dönemde bir ilişki tespit edilememiş ancak kısa dönemde madencilik endeksi ile altın ve bakır fiyatları arasında istatistiksel olarak anlamlı ve pozitif, gümüş fiyatları ile ise istatistiksel olarak anlamlı ve negatif bir ilişki tespit edilmiştir. Ayrıca çalışma ile Türkiye'de altın, gümüş ve bakır fiyatlarının madencilik endeksindeki değişimlere karşı dinamik politika oluşturma ihtiyacı vurgulanmaktadır.

Anahtar Kelimeler:

Fourier Otoregressive Dağıtıcı Lag Yöntemi, Metal Fiyatları, Madencilik Endeksi

PRICE TRANSMISSION BETWEEN GOLD, SILVER, COPPER PRICES AND MINING INDEX IN TURKEY

Mining industry has a substantial role for countries development and economies. To comprehend the factors affecting the mining sectors is most crucial for the countries development. In order to fill in this gap, we studied on the relation between gold, silver, copper prices and Mining Index (XMADN) in Borsa İstanbul Stock Exchange (BIST). 1477 daily observations for the time period between 4 February 2013 to 13 December 2018 were used. To detect the cointegrationon between gold, silver, copper and Mining Index, we use Fourier Autoregressive Distributive Lag FADL which was developed by Banerje et al (2017). We find no evidence of a long run relation but strong significant feedback in the short run. Gold and copper price have positive relation with mining index. On the other hand, silver price has negative relation with mining index. This study highlights the need for dynamic policy making in Turkey to hedge against mining index fluctuations using gold, silver and copper price as instruments.

Keywords:

Fourier Autoregressive Distributive Lag Method, Metal Prices, Mining Index,

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