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ABD Dolarinin Emtia Fiyatlari Uzerindeki Etkisinin Incelenmesi

Author

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  • Onder BUBERKOKU

    (Yuzuncu Yil Universitesi)

Abstract

Bu calismada emtia piyasalarindaki fiyat hareketlerinin aciklanmasinda ABD dolarinin kuresel bazdaki degeri uzerinde durulmustur. ABD dolarini temsilen genis tanimli reel efektif ABD dolar endeksi (Broad dollar index) kullanilmistir. Emtia olarak IMF tarafindan yayinlanan gida, icecek, metal, yakit, petrol ve tarimsal emtia fiyat endeksleri kullanilmistir. Degiskenler arasindaki uzun donemli iliski analizinde Johansen (1988) koentagrasyon testi ile Maki (2012) coklu yapisal kirilmali koentegrasyon testinden yararlanilmistir. Calismada kullanilan serilerin ve modellerin yapisal degisimler icerip icermedigi ise Bai ve Perron (1998,2003) testi ile incelenmistir. Serilerin duraganlik ozelliklerinin incelenmesinde ise Carrion-i Silvestre vd. (2009) coklu yapisal kirilmali birim kok testinden yararlanilmistir. Kisa donemli iliski analizinde ise Hatemi-J (2012) tarafindan gelistirilen asimetrik nedensellik testi kullanilmistir. Calisma bulgulari ABD dolari ile gida, yakit ve petrol emtialari arasinda ters yonlu uzun donemli bir iliski olduguna isaret etmektedir. Uzun donemde ABD dolarinin %1 deger kazanmasinin ilgili emtialarin fiyatinda sirasiyla %0.44, %1 ve %1.3’luk bir azalisa yol actigi gorulmektedir. ABD dolari ile metal, icecek ve tarimsal emtia endeksleri arasinda ise herhangi bir uzun donemli iliskiye rastlanmamistir. Kisa donemli iliski analizi sonuclarina bakildiginda ise Hatemi-J (2012) asimetrik nedensellik testi sonuclarina gore ABD dolarinin deger kaybetmesi sadece yakit, ham petrol ve tarimsal emtia fiyatlarinin yukselmesine yol acarken ABD dolarinin deger kazanmasi inceleme kapsamindaki tum emtialarin fiyatlarinin dusmesine yol acmaktadir. Dolayisiyla, kisa donemde ABD dolarinin deger kaybetmesinden ziyade deger kazanmasinin emtia fiyatlari uzerinde daha fazla etkili oldugu anlasilmaktadir.

Suggested Citation

  • Onder BUBERKOKU, 2017. "ABD Dolarinin Emtia Fiyatlari Uzerindeki Etkisinin Incelenmesi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 17(3), pages 323-336.
    • Handle: RePEc:ege:journl:v:17:y:2017:i:3:p:323-336
    DOI: 10.21121/eab.2017328400
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