World oil prices, precious metal prices and macroeconomy in Turkey

Energy Policy

Volumn 37, Issue 12, 2009, Pages 5557-5566

  Soytas, Ugur ^a   Sari, Ramazan ^a   Hammoudeh, Shawkat ^b   Hacihasanoglu, Erk ^c  

^a MIDDLE EAST TECHNICAL UNIVERSITY   (Turkey)

^b DREXEL UNIVERSITY   (United States)

^c CENTRAL BANK OF THE REPUBLIC OF TURKEY   (Turkey)

Author keywords

Oil prices; Precious metal prices; Toda Yamamoto procedure

Indexed keywords

EMERGING MARKETS; EXCHANGE RATES; GOLD AND SILVER; INTEREST RATES; OIL MARKET; OIL PRICES; POLICY MAKERS; PREDICTIVE POWER; PRICE TRANSMISSION; TURKISHS; US DOLLAR; WORLD OIL MARKETS;

COMMERCE; COSTS; ELECTRIC LOAD FORECASTING; GAS INDUSTRY; GOLD; METALS; SILVER;

PRECIOUS METALS;

ENERGY MARKET; EXCHANGE RATE; GOLD; INTEREST RATE; MACROECONOMICS; OIL SUPPLY; PRICE DETERMINATION; SILVER;

EURASIA; TURKEY;

EID: 71549150871     PISSN: 03014215     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.enpol.2009.08.020     Document Type: Article

References (27)

1. Amano R.A., and van Norden S. Oil prices and the rise and fall of the US real exchange rate. Journal of International Money and Finance 17 (1998) 299-316
2. Baffes J. Oil spills on other commodities. Resources Policy 32 (2007) 126-134
3. Baffes J., and Gardner B. The transmission of world commodity prices to domestic markets under policy reforms in developing countries. Journal of Economic Policy Reform 6 (2003) 159-180
4. Beahm, D., 2008. 5 factors Driving Gold in 2008. 〈http://www.blanchardonline.com/beru/five_factors.php〉.
5. Capital Markets Board of Turkey, (January 2009). Monthly Bulletin.
6. Cashin, P., McDormott, C., Scott, A., 1999. The myth of co-moving commodity prices. Discussion Paper # G99/9, Reserve Bank of New Zealand.
7. Ciner C. On the long-run relationship between gold and silver: a note. Global Financial Journal 12 (2001) 299-303
8. Deb P., Trivedi P.K., and Varangis P. The excess co-movement of commodity prices reconsidered. Journal of Applied Econometrics 11 (1996) 275-291
9. Dibooglu S., and Kibritcioglu A. Inflation, output growth, and stabilization in Turkey, 1980-2002. Journal of Economics and Business 56 (2004) 43-61
10. Dickey D.A., and Fuller W.A. Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Society 75 (1979) 427-431
11. Elliott G., Rothenberg T.J., and Stock J.H. Efficient tests for an autoregressive unit root. Econometrica 64 (1996) 813-836
12. Hammoudeh S., and Yuan Y. Metal volatility in presence of oil and interest rate shocks. Energy Economics 30 (2008) 606-620
13. Hammoudeh S., Sari R., and Ewing B.T. Relationships among strategic commodities and with financial variables. Contemporary Economic Policy 27 (1996) 251-264
14. Koop G., Pesaran M.H., and Potter S.M. Impulse response analysis in nonlinear multivariate models. Journal of Econometrics 74 (1996) 119-147
15. Kwiatkowski D., Phillips P.C.B., Schmidt P., and Shin Y. Testing the null hypothesis of stationary against the alternative of a unit root. Journal of Econometrics 54 (1992) 159-178
16. Lucey B.M., and Tully E. The evolving relationship between gold and silver 1978-2002: evidence from a dynamic cointegration analysis: a note. Applied Financial Economics Letters 2 (2006) 47-53
17. Maddala G.S., and Kim I. Unit Roots, Cointegration, and Structural Change (1998), Cambridge University Press, Cambridge
18. Ng S., and Perron P. Lag length selection and the construction of unit root tests with good size and power. Econometrica 69 (2001) 1519-1554
19. Palaskas T.B. Commodity prices: implications of the co-movement and excess co-movement. In: Nissake M., and Hewitt A. (Eds). Economic Crisis in Developing Countries: New Perspectives on Commodities, Trade and Finance (1993), Printer, New York 89-103
20. Palaskas, T.B., Varangis, P.N., 1991. Is there excess co-movement of primary commodity prices? a cointegration test. Working paper series No. 758, International: Economics Department, Washington: World Bank.
21. Pesaran M.H., and Shin Y. Generalized impulse response analysis in linear multivariate models. Economics Letters 58 (1998) 17-29
22. Phillips P.C.B., and Perron P. Testing for a unit root in time series regressions. Biometrica 75 (1988) 335-346
23. Pindyck R., and Rotemberg J. The excess co-movement of commodity prices. Economic Journal 100 (1990) 1173-1189
24. Plourde A., and Watkins G.C. Crude oil prices between 1985 and 1994: how volatile in relation to other commodities?. Resource and Energy Economics 20 (1998) 245-262
25. Sari R., Hammoudeh S., and Ewing B.T. Dynamic relationships between oil and metal commodity futures prices. Geopolitics of Energy 29 7 (2007) 2-13
26. Trivedi P.K. Tests of some hypotheses about the time series behavior of commodity prices. In: Maddala G.S., Phillips P.C.B., and Srinivasan T.N. (Eds). Advances in Econometrics and Quantitative Economics: Essays in Honor of C.R. Rao (1995), Blackwell, Oxford 382-412
27. Toda H.Y., and Yamamoto T. Statistical inference in vector autoregression with possibly integrated processes. Journal of Econometrics 66 (1995) 225-250