Değerli Metaller ve Makroekonomik Değişkenler: Türkiye İçin Bir Fourier Eşbütünleşme Testi Uygulaması

Emtia ve ekonomik aktiviteler arasındaki ilişki son yılların dikkat çeken konuları arasındayer almaktadır. Altın, gümüş ve platin gibi değerli metalleri içeren emtialar en fazla işlem görenvarlıklar arasında yer aldığından bu varlıkların makroekonomik değişkenlerle ilişkisi hem politikayapıcılar hem de yatırımcılar açısından büyük önem arz etmektedir. Bu çalışmada kıymetli metallerile seçilmiş makroekonomik değişkenler arasındaki uzun dönemli ilişki Fourier eşbütünleşme testi ileMart-1999 ile Ekim-2016 dönemi için incelenmiştir. Kıymetli metal olarak en fazla işlem gören altın,gümüş ve platin, makroekonomik değişken olarak faiz oranı ve döviz kuru dikkate alınmıştır. Ayrıcaönemli finansal makro göstergelerden biri olarak BIST 100 endeks verisi de analize dâhil edilmiştir.Çalışma sonuçlarına göre incelenen kıymetli metaller ile makroekonomik değişkenler arasında uzundönemli ilişkinin olduğunu doğrulayan eşbütünleşmenin varlığına ilişkin hipotez kabul edilmiştir.

Precious Metals And Macroeconomic Variables: An Application of Fourier Cointegration Test For Turkey

The relationship between commodity and economic activities is one of the most remarkable topics in recent years. Because commodities containing precious metals such as gold, silver and platinum are among the most traded assets, their relation with macroeconomic variables is very important for both policy makers and investors. In this study, the long-run relationship between precious metals and selected macroeconomic variables has been examined by the Fourier cointegration test for the period of March-1999 and October-2016. As precious metals gold, silver and platinum which are the most traded are taken into consideration while interest rate and exchange rate have been included as macroeconomic variables. As one of the key financial macro indicators BIST 100 index data has also been included in the analysis. According to the study results, hypothesis of the existence of contegration which means there is a long-term relationship between precious metals and macroeconomic variables has been accepted.

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