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World oil prices, precious metal prices and macroeconomy in Turkey
Date
2009-12-01
Author
Soytaş, Uğur
Sarı, Ramazan
Hammoudeh, Shawkat
Hacıhasanoğlu, Erk
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This work is licensed under a
Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License
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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