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Küresel Risk Algýsýnýn Küresel Ticaret Üzerindeki Etkisi

Author

Listed:
  • Çiðdem Kurt Cihangir

    (Hitit Üniversitesi ÝÝBF Ýþletme Bölümü, Çorum)

Abstract

Bu çalýþmada, oynaklýk endeksi VIX ile küresel ticaretin öncüsü olarak kabul edilen Baltýk Kuru Yük Endeksi (Baltic Dry Index - BDI) arasýndaki iliþki 06.12.2010 - 30.11.2017 dönemi günlük verileri esas alýnarak incelenmiþtir. Engle - Granger Eþbütünleþme Testi, Hata Düzeltme Modeli ve Kalman Filtresi yaklaþýmýnýn kullanýldýðý analiz sonucunda iki deðiþken arasýnda uzun dönemde bir eþbütünleþme iliþkisinin olduðu, VIX’in BDI’daki deðiþimi kýsa ve uzun dönemde pozitif yönde ve istatistiksel olarak anlamlý biçimde etkilediði belirlenmiþtir. Yapýlan Kalman Filtresi Analizi de VIX’in BDI üzerindeki etkisini her zaman noktasý için tahmin ettiðinden, deðiþkenler arasýndaki iliþkiyi dinamik bir þekilde ortaya koymuþtur.

Suggested Citation

  • Çiðdem Kurt Cihangir, 2018. "Küresel Risk Algýsýnýn Küresel Ticaret Üzerindeki Etkisi," Isletme ve Iktisat Calismalari Dergisi, Econjournals, vol. 6(1), pages 1-10.
    • Handle: RePEc:eco:journ4:2018-01-1
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Oynaklýk Endeksi; Küresel Ticaret; Eþbütünleþme Analizi; Kalman Filtresi;
    All these keywords.

    JEL classification:

    • F14 - International Economics - - Trade - - - Empirical Studies of Trade
    • F43 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Economic Growth of Open Economies
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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