The Causality Relationship Between World Oil Price, Coal Price and Natural Gas Price and BIST Electricity Index, and Volatility Spillover
نویسندگان
چکیده
Bu çalışmanın amacı, dünya petrol, kömür ve doğal gaz fiyatlarındaki değişikliklerin düzeltilmemiş piyasa faiz oranına göre düzeltilmiş BIST elektrik endeksinin getirisine etkisinin 17 Mayıs 2010 – 29 2020 dönemi için araştırılmasıdır. Değişkenler arasındaki nedensellik ilişkisi Granger Nedensellik testi ile, oynaklık yayılımı ise GARCH (1,1) ADC BEKK yöntemleri ile incelenmiştir. Analiz bulgularına göre, 100 endeksi getirisi petrol üzerinde güçlü bir yayılma etkisi vardır. Buna karşın, gerek gerekse açısından etki tespit edilmemiştir.
منابع مشابه
Investigating Cointegration and the Causal Relationship Between of Exchange Rate, Oil Price and Gas Price in Regional Markets
Short-term and long-term relationship between exchange rate, oil price and spot gas price of three regional gas markets was investigated using and estimating the Vector Autoregressive model. There is a significant and long-term relationship between variables.Short-term interactions of variables with Granger causality test One-year interaction of variables with intervals of one to twelve months ...
متن کاملForecasting Crude Oil Price Volatility
We use high-frequency intra-day realized volatility to evaluate the relative forecasting performance of several models for the volatility of crude oil daily spot returns. Our objective is to evaluate the predictive ability of time-invariant and Markov switching GARCH models over different horizons. Using Carasco, Hu and Ploberger (2014) test for regime switching in the mean and variance of the ...
متن کاملLong-Run and Short-Run Causality between Stock Price and Gold Price: Evidence of VECM Analysis from India
The prime objective of the study is to identify the long-run and short-run relationship between Indian stock price viz., BSE SENSEX (hereafter named as BSE) and gold price (GOLD) in India. The daily closing price data were collected for the period of ten years ranging from 1st April 2004 to 31st March 2014 with 2490 observations. The study employed two models: Model one us...
متن کاملThe Long-run Oil-natural Gas Price Relationship and the Shale Gas Revolution
The gas extraction technological developments of the 2000s have allowed shale gas production, which in the US has become a significant part of the total gas production. Such a significant change might have affected the long-run relationship between oil and natural gas prices postulated by several authors. By using monthly data of oil and gas prices, as well as gas quantities from 1997 to 2013, ...
متن کاملPrice Relationships and Spillover Effects of Price Volatilities in Iran's Rice Market
Rice plays an especial role in Iranian households' nutrition basket. The volatilities of its price during recent years caused consumers' dissatisfaction. This paper investigates spillover effects of price volatilities (at the wholesale and retail levels) in the Guilan Province rice market. The Generalized Autoregressive Conditional Hetroscedasitic (GARCH) model was used for the monthly time per...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Alanya akademik bak??
سال: 2022
ISSN: ['2547-9733']
DOI: https://doi.org/10.29023/alanyaakademik.887155