TR
Avrasya Ekonometri �statistik ve Ampirik Ekonomi DergisiYl:2018 Say: 10 Alan: Ekonometri

idem Ylmaz zsoy, Raife Y. Eyiler
Trkiyede Altn Fiyatn Etkileyen Temel Faktrler zerine Bir Uygulama almas
 
Bu almada, stanbul Altn Borsasnda oluan gram altn sat fiyatlar ile, altn fiyatn etkileyebilecek uluslararas makro faktrler; altn sat fiyat (ABD Dolar/Ons), Amerikan Merkez Bankas faiz oran (FED), dier petrol fiyatlarnn belirlenmesinde referans kabuledildiinden BRENT petrol fiyat, Dow Jones Endstri Endeksi ile, Trkiye makro verileri Tketici Fiyat Endeksi(TFE), ABD Dolar Kuru/TL al fiyat ve Trkiyenin altn ithalatele alnm ve analiz edilmitir. Analizin gerekletirildii dnem; 2004:Ocak ile 2018:Ocak arasndaki 157 ay iermektedir. Analize balamadan nce serilerin duraanlk zellikleri ADF birim kk testi ile belirlenmitir. Deikenler arasndaki uzun dnem ilikileri ve ksa dnem dinamikleri JohansenKoentegrasyon Testi ve Hata Dzeltme (VECM) Modeli erevesinde incelenmitir.Analiz sonularna gre gram altn sat fiyat ile BRENT petrol fiyatlar, FED faiz oran, Dow Jones Endstri Endeksi ve Trkiyenin altn ithalat, Dolar kuru ve TFE ile uzun dnemde ilikili olduklar tespit edilmitir. Uzun dnem ilikisini ortaya kartmak iin kurulan hata dzeltme (VECM) modelinde, hata dzeltme teriminin beklenildii gibi negatif ve istatistiksel olarak anlaml olmas uzun dnemde dengeyednleceini gstermektedir.

Anahtar Kelimeler: Altn Sat Fiyat,Fiyat Etkileyen Faktrler, ADF birim kk testi, Koentegrasyon Analizi, Hata Dzeltme Modeli


Key Factors Affecting Gold Prices On A Case Study in Turkey
 
In this study, withthe gram goldsellingpriceswhichareformed in Istanbul Gold Exchange, international macro factors which can affect gold price; gold selling price (US $ / ounce), theAmerican Central Bank interest rate (FED), the determination of other oil reference price declares that the BRENT oil price, with the Dow Jones Industrial Index, Turkey macro data from the Consumer Price Index (CPI), the US Dollar Rate / TL purchase price, and Turkey's gold imports were discussed and nalyzed. The period during which the analysis is carried out; 157 months between 2004: January and 2018: January. Stationary property of the series was determined by the ADF unit root test before analysis was started. The long term relationships between variables and their short-term dynamics are examined in the Johansen Cointegration Test and Error Correction (VECM) Model framework.According to the results with gram gold selling price of BRENT oil prices, Fed interest rate, the Dow Jones Industrial Index and Turkey's gold imports, and the dollar exchange rate has been found to be associated with long-term CPI. In the error correcting (VECM) model established to elicit a long-term relationship, the error correction term is negative and statistically significant as expected, indicating that it will turn into a long term equilibrium.

Keywords: Gold SellingPrices, FactorsAffecting Gold Price, ADF UnitRoot Test, Cointegration Analysis, ErrorCorrection Model


Detay

ÇERK