Estimating Volatility Transmission in Real Prices of Mutton, Fattening Fodder, Gasoline, and Exchange Rate in Turkey Using VAR - Asymmetric BEKK - GARCH (1, 1) Model

Özdemir F. N., Urak F., Bilgiç A., Yavuz F.

KSU TARIM VE DOGA DERGISI-KSU JOURNAL OF AGRICULTURE AND NATURE, cilt.23, sa.5, ss.1270-1284, 2020 (ESCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 23 Sayı: 5
  • Basım Tarihi: 2020
  • Doi Numarası: 10.18016/ksutarimdoga.vi.631256
  • Dergi Adı: KSU TARIM VE DOGA DERGISI-KSU JOURNAL OF AGRICULTURE AND NATURE
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), TR DİZİN (ULAKBİM)
  • Sayfa Sayıları: ss.1270-1284
  • Anahtar Kelimeler: Mutton, Fattening Fodder, Gasoline Pricees, Exchange Rate, Volatility, Conditional Variance and VAR-BEKK-GARCH, AGRICULTURAL COMMODITY PRICES, OIL PRICES, SPILLOVER, ENERGY, WHEAT
  • Atatürk Üniversitesi Adresli: Evet

Özet

In this study, the long-term volatility relation between the mutton market and fattening fodder market in Turkey and whether this pass-thorough was symmetric were estimated using 2010:01-2016:12 monthly data with VAR - Asymmetric BEKK - GARCH (1, 1) model. Results show that while only the mutton return was affected by the variables of gasoline and exchange rate, the long-term volatility in the mutton and fattening fodder markets was affected by both their short-term shocks and long-term volatility and cross-markets. While the energy market was a factor in increasing the long-term volatility in the mutton and fattening fodder markets, the exchange rate market, on the contrary, was a factor in reducing the long-term uncertainty in the fattening fodder market. The fact that the correlation level between mutton and fattening fodder volatilities has decreased since 2013, which can be attributed to the depreciation of the Turkish Lira against the foreign currencies (e.g., especially USD and Euro) in the same period leading great swings. Therefore, it should not be overlooked that having a stable foreign exchange market will cause a more stable relationship between the mutton market and the feed market as in the whole economy.