Akademik Veri Yönetim Sistemi
KSU TARIM VE DOGA DERGISI-KSU JOURNAL OF AGRICULTURE AND NATURE, cilt.21, sa.4, ss.565-579, 2018 (ESCI)
In this study, it was examined how the volatility and volatility transmission between wheat, barley, gasoline prices and real exchange rate were related, whether the volatility pass-through was symmetric or not using VAR (1) - Asymmetric BEKK - GARCH (1, 1) for the period of 2005: M5-2016: M8 in Turkey. The results obtained from the VAR (1) - Asymmetric BEKK - GARCH (1, 1) model show that the conditional variances of wheat, barley, gasoline and real exchange rate returns were not statistically affected by the direct or indirect shocks in the short term, however, they were directly and indirectly affected by the long-run volatilities of both own and other cross-markets. The study also concluded that there are no asymmetric effects for volatility transmission. In the study, both the hedging ratios and portfolio weights of wheat and barley against gasoline market were determined.