Econometric Evaluation of Price Transmission Relationships in Turkey
Başlık çevirisi mevcut değil.
- Tez No: 708232
- Danışmanlar: DR. FRANCİSCO AREAL
- Tez Türü: Yüksek Lisans
- Konular: Ekonometri, Ekonomi, Econometrics, Economics
- Anahtar Kelimeler: [Red meat price], [volatility], [crude oil], [exchange rates], [GARCH models], [Turkey]
- Yıl: 2017
- Dil: İngilizce
- Üniversite: The University of Reading
- Enstitü: Yurtdışı Enstitü
- Ana Bilim Dalı: Belirtilmemiş.
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: 82
Özet
Özet yok.
Özet (Çeviri)
Turkey's agricultural commodity prices are prone to fluctuation but have gradually over time. A considerable amount of literature examines the changes in these prices by dealing with other commodities such as energy. Links between agricultural and energy markets have therefore been extensively investigated. We touch upon the red meat prices becoming increasingly volatile in Turkey. This study investigates relationships between red meat, crude oil and exchange rates, and reveals whether there is price volatility transmission among these variables. Turkey associates with the increase in red meat prices with two scenarios, which are firstly to produce more and secondly, to import more red meat. Hence, we can estimate that the changes in oil and exchange rates could be related to red meat prices, and there can be a transmission of the volatility from the crude oil and exchange rates to red meat prices. This paper analyses the price volatility of veal, lamb and the relationship between red meat and crude oil, exchange rates in Turkey by applying the generalize all period unconstraint volatility model, which generalises the GARCH (p, q) model for analysing weekly data covering a period of May 2006 to February 2017. Empirical results show that veal and lamb prices present volatility during the last decade, but particularly between 2009 and 2012. Moreover, oil prices have a significant effect on veal and lamb prices as well as their previous periods and have exchange rates at time t-2 and t-4 have a significant effect on lamb prices but not on veal at all. Consequently, our research can lead policy makers to evaluate policy implementation in the appropriate way and reduce the impacts of oil prices by supporting producers.
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