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Stock – Watson Eşbütünleşme Analizi Yardımıyla Altın Fiyatları Mekanizması Üzerine

Author

Listed:
  • Gönül AKINCI

    (Ordu University)

  • Merter AKINCI

    (Ordu University)

  • Ömer YILMAZ

    (Ataturk University)

Abstract

Bu çalışmada; altın fiyatları, enflasyon ve uzun dönem faiz oranları ile FED bilançoları arasındaki ilişkiler Stock–Watson eşbütünleşme ve Granger nedensellik analizleri kullanılarak ABD ekonomisi için 1960–2011 dönemi itibariyle incelenmiştir. Stock–Watson eşbütünleşme analiz sonuçları, ifade edilen değişkenler arasında uzun dönemli ilişkilerin varlığını göstermiştir. Ayrıca, Stock–Watson eşbütünleşme analizi kapsamında yapılan Granger nedensellik analizi ise uzun dönem faiz oranları, enflasyon oranları ve altının dahil olmadığı FED bilançosundan altın fiyatlarına doğru tek yönlü ve altın fiyatları ile altının dahil olduğu FED bilançosu arasında ise çift yönlü nedensellik ilişkilerinin olduğunu ortaya koymuştur.

Suggested Citation

  • Gönül AKINCI & Merter AKINCI & Ömer YILMAZ, 2013. "Stock – Watson Eşbütünleşme Analizi Yardımıyla Altın Fiyatları Mekanizması Üzerine," Ekonomik Yaklasim, Ekonomik Yaklasim Association, vol. 24(86), pages 55-81.
    • Handle: RePEc:eyd:eyjrnl:v:24:y:2013:i:86:p:55-81
    DOI: 10.5455/ey.35107
    Note: [English Title] On the Mechanics of Gold Prices with the Help of Stock – Watson Cointegration Analysis [English Abstract] In this paper, the linkages between gold prices, inflation rates, long-run interest rates and FED balance sheets in USA economy are investigated by using Stock–Watson cointegration and Granger causality analysis in the period 1960–2011. The results of Stock–Watson cointegration analysis show the existence of long-run relationship among the variables mentioned. Besides, the results of Granger causality analysis in the context of Stock–Watson cointegration test indicate that there is unidirectional causality relationship run from long-term interest rates, inflation rates and FED balance sheet in which gold is excluded to gold prices, whereas bidirectional causality nexus between gold prices and FED balance sheet in which gold is included. [English Keywords] Gold Prices, Inflation Rates, Interest Rates, FED Balance Sheets, Stock–Watson Cointegration Test.
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    Keywords

    Altın Fiyatları; Enflasyon Oranları; Faiz Oranları; FED Bilançoları; Stock–Watson Eşbütünleşme Analizi.;
    All these keywords.

    JEL classification:

    • 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
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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