World oil prices, precious metal prices and macroeconomy in Turkey

By Ugur Soytas, Ramazan Sari, Shawkat Hammoudeh, E. Hacihasanoglu. 2009

253 citations recorded by the source corpus.

We examine the long- and short-run transmissions of information between the world oil price, Turkish interest rate, Turkish lira-US dollar exchange rate, and domestic spot gold and silver price. We find that the world oil price has no predictive power of the precious metal prices, the interest rate or the exchange rate market in Turkey. The results also show that the Turkish spot precious metals, exchange rate and bond markets do not also provide information that would help improve the forecasts of world oil prices in the long run. The findings suggest that domestic gold is also considered a safe haven in Turkey during devaluation of the Turkish lira, as it is globally. It is interesting to note that there does not seem to be any significant influence of developments in the world oil markets on Turkish markets in the short run either. However, transitory positive initial impacts of innovations in oil prices on gold and silver markets are observed. The short-run price transmissions between the world oil market and the Turkish precious metal markets have implications for policy makers in emerging markets and both local and global investors in the precious metals market and the oil market.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/22d3c5a2d5b2761d1534e94004fd4b4abdce4dea

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Citations in the corpus

World oil prices and agricultural commodity prices: Evidence from an emerging market (2011, methodology): “Note that Soytas et al. (2009) and Kaltalioglu and Soytas (2009) also utilize the TY procedure and generalized impulse response analysis.”
The Financial Economics of Gold – A Survey (2015, methodology): “Starr and Tran (2008) provide an analysis of the factors, which affect the physical demand for gold (such as jewelry and dental) using data from 1992 to 2003.”
The impact of gold and crude oil prices on stock market in Turkey: Empirical evidences from ARDL bounds test and combined cointegration (2017, background): “Soytas et al. (2009) explained that there is a high level of gold ownership in Turkey.”
Persistence of precious metal prices: A fractional integration approach with structural breaks (2014, background): “It has long been known that the main drivers of commodity prices are the result of compound interactions between macroeconomic factors such as demand, exchange rate, input prices as well as production processes (Soytas et al., 2009; Abbott et al., 2009).”
Dynamic linkages among oil price, gold price, exchange rate, and stock market in India (2016, background): “Soytas et al. (2009) investigated the long run and short run impacts of gold and silver prices on oil price but found no causal relationship amongst the variables.”
Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2017, background): “Other researchers have investigated the commodity cross-market linkages between the oil and goldmarkets (e.g., Soytas et al., 2009; Reboredo, 2013; Yaya et al., 2016) and oil–agricultural relationships (e.g. Du et al., 2011; Nazlioglu et al., 2013; Mensi et al., 2014, 2015).”
Oil price, agricultural commodity prices, and the dollar: A panel cointegration and causality analysis (2012, background): “At first glance this seems to be puzzling, but oil prices are determined in global markets rather than the local markets (Soytas et al., 2009) and local agricultural prices may be subject to stabilization policies.”
Long memory and structural breaks in modeling the return and volatility dynamics of precious metals (2012, background): “When considering the case of an emerging market (Turkey), Soytas et al. (2009) find that spot prices of domestic precious metals (gold and silver) are significantly Granger-caused in the short run by domestic interest rate, but not by the changes in the world oil prices (Brent).”