World oil prices, precious metal prices and macroeconomy in Turkey

Date

2009-12-01

Author

Soytaş, Uğur
Sarı, Ramazan

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

159
views

0
downloads

We examine the long- and short-run transmissions of information between the world oil price, Turkish interest rate, Turkish lira-US dollar exchange rate, and domestic spot gold and silver price. We find that the world oil price has no predictive power of the precious metal prices, the interest rate or the exchange rate market in Turkey. The results also show that the Turkish spot precious metals, exchange rate and bond markets do not also provide information that would help improve the forecasts of world oil prices in the long run. The findings suggest that domestic gold is also considered a safe haven in Turkey during devaluation of the Turkish lira, as it is globally. It is interesting to note that there does not seem to be any significant influence of developments in the world oil markets on Turkish markets in the short run either. However, transitory positive initial impacts of innovations in oil prices on gold and silver markets are observed. The short-run price transmissions between the world oil market and the Turkish precious metal markets have implications for policy makers in emerging markets and both local and global investors in the precious metals market and the oil market.

Subject Keywords

Oil prices, Precious metal prices, Toda-Yamamoto procedure

URI

https://hdl.handle.net/11511/35205

Journal

ENERGY POLICY

DOI

https://doi.org/10.1016/j.enpol.2009.08.020

Collections

Department of Business Administration, Article

Suggestions

OpenMETU
Core

World oil prices and agricultural commodity prices: Evidence from an emerging market NAZLIOĞLU, ŞABAN; Soytaş, Uğur (2011-05-01) Oil prices are thought to have direct effect on agricultural prices followed by an indirect effect through the exchange rate. This paper examines the short- and long-run interdependence between world oil prices, lira-dollar exchange rate, and individual agricultural commodity prices (wheat, maize, cotton, soybeans, and sunflower) in Turkey. To this end, the Toda-Yamamoto causality approach and generalized impulse-response analysis for identification of the long- and short-run interrelationships are applied ...
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...
Inluence of world oil and copper prices on turkish precious metals and financial markets Gürsel, Gökçe; Soytaş, Uğur; Department of Business Administration (2011) 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 Decem...
Volatility Spillover from Oil to Food and Agricultural Raw Material Markets Kaltalıoğlu, Müge; Soytaş, Uğur (2011-05-01) The upward movement in oil and food prices in the 2000s has attracted interest in the information transmission mechanism between the two markets. This paper investigates the volatility spillover between oil, food consumption item, and agricultural raw material price indexes for the period January 1980 to April 2008.The results of the Cheung-Ng procedure show that variation in oil prices does not Granger cause the variance in food and agricultural raw material prices. Since there is no volatility spillover f...
Volatility spillover from world oil spot markets to aggregate and electricity stock index returns in Turkey Soytaş, Uğur; Oran, Adil (2011-01-01) This study examines the inter-temporal links between world oil prices, ISE 100 and ISE electricity index returns unadjusted and adjusted for market effects. The traditional approaches could not detect a causal relationship running from oil returns to any of the stock returns. However, when we examine the causality using Cheung-Ng approach we discover that world oil prices Granger cause electricity index and adjusted electricity index returns in variance, but not the aggregate market index returns. Hence, ou...

Citation Formats

U. Soytaş and R. Sarı, “World oil prices, precious metal prices and macroeconomy in Turkey,” ENERGY POLICY, pp. 5557–5566, 2009, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/35205.