Show/Hide Menu
Hide/Show Apps
Logout
Türkçe
Türkçe
Search
Search
Login
Login
OpenMETU
OpenMETU
About
About
Open Science Policy
Open Science Policy
Open Access Guideline
Open Access Guideline
Postgraduate Thesis Guideline
Postgraduate Thesis Guideline
Communities & Collections
Communities & Collections
Help
Help
Frequently Asked Questions
Frequently Asked Questions
Guides
Guides
Thesis submission
Thesis submission
MS without thesis term project submission
MS without thesis term project submission
Publication submission with DOI
Publication submission with DOI
Publication submission
Publication submission
Supporting Information
Supporting Information
General Information
General Information
Copyright, Embargo and License
Copyright, Embargo and License
Contact us
Contact us
Inluence of world oil and copper prices on turkish precious metals and financial markets
Download
index.pdf
Date
2011
Author
Gürsel, Gökçe
Metadata
Show full item record
Item Usage Stats
180
views
112
downloads
Cite This
In this thesis the relationship between Brent oil prices, LME copper prices, Turkish gold and silver spot prices, XU100 index, interest rate and exchange rate is examined. Their long run Granger causality relationship is investigated by looking at Wald statistics. The short run relationship between them is examined by using generalized impulse responses. The data range is from January 2, 2002 to February 24, 2011. Due to the oil crisis in 2008, we divide the data into three periods: January 2, 2002 to December 31 as first period, 2007, from January 1, 2008 to December 31 as second period, 2008 and January 1, 2009 and February 24, 2011 as third period. We conduct each test separately for these periods but in third period we use Toda-Yamamoto procedure since maximum order of integration is 1.
Subject Keywords
Finance
,
Money.
,
Prices.
URI
http://etd.lib.metu.edu.tr/upload/12613494/index.pdf
https://hdl.handle.net/11511/21033
Collections
Graduate School of Social Sciences, Thesis
Suggestions
OpenMETU
Core
The volatility spillover among a country’s foreign exchange, bond, and stock markets: a multivariate garch analysis
Kubilay, Mustafa Murat; Danışoğlu, Seza; Department of Financial Mathematics (2012)
The purpose of this study is to examine the volatility spillover among a country’s foreign exchange, bond and stock markets and the volatility transmission from the global bond, stock and commodity markets to these local financial markets. The sample for the study includes data from both emerging and developed economies in the time period between 2004 and 2011. A multivariate GARCH methodology with the BEKK representation is applied for the local financial markets and global variables are included as exogen...
Oil Prices and Emerging Market Exchange Rates
Turhan, Ibrahim; Hacıhasanoğlu, Erk; Soytaş, Uğur (Informa UK Limited, 2013-01-01)
This paper investigates the role of oil prices in explaining the dynamics of selected emerging countries' exchange rates. Using daily data series, the study concludes that a rise in oil prices leads to significant appreciation of emerging economies' currencies against the U.S. dollar. The authors divide daily returns from January 3, 2003, to June 2, 2010, into three subsamples and test the impact of changes in oil prices on exchange rate movements, generalizing impulse response functions to track the dynami...
Deviations from PPP and UIP in a financially open economy: The Turkish evidence
Özmen, Erdal (Informa UK Limited, 2004-07-01)
This paper investigates the interrelations between purchasing power parity (PPP) and uncovered interest parity (UIP) in Turkey using Johansen cointegration analysis for a system containing Turkish and US inflation rates, interest rates, and exchange rate. The results of a structural model obtained by data-acceptable over-identifying restrictions over the cointegration space suggest the existence of two cointegration vectors representing UIP and PPP with proportionality and symmetry conditions, respectively....
International fisher effect: a reexamination within co-integration and dsue frameworks
Ersan, Eda; Danışoğlu, Seza; Department of Business Administration (2008)
International Fisher Effect (IFE) is a theory in international finance which asserts that the spot exchange rate between countries should move in opposite direction with the interest rate differential between these countries. The aim of this thesis is to analyze whether differences in nominal interest rates between countries and the movement of spot exchange rates between their currencies tend to move together over the long run. The presence of IFE is tested among the G-5 countries and Turkey for the period...
Dynamics of oil price, precious metal prices, and exchange rate
Sarı, Ramazan; Soytaş, Uğur (2010-03-01)
This study examines the co-movements and information transmission among the spot prices of four precious metals (gold. silver, platinum, and palladium), oil price, and the US dollar/euro exchange rate. We find evidence of a weak long-run equilibrium relationship but strong feedbacks in the short run. The spot precious metal markets respond significantly (but temporarily) to a shock in any of the prices of the other metal prices and the exchange rate. Furthermore, we discover some evidence of market overreac...
Citation Formats
IEEE
ACM
APA
CHICAGO
MLA
BibTeX
G. Gürsel, “Inluence of world oil and copper prices on turkish precious metals and financial markets,” M.B.A. - Master of Business Administration, Middle East Technical University, 2011.
