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Journals / Doğuş Üniversitesi Dergisi / 2017 / Cilt: 18 - Sayı: 2

Causality between Gold-Oil Parity and Real Exchange Rate: A Research on 7 Countries Producing Oil and Gold

Altın-Petrol Paritesi ile Döviz Kuru Arasındaki Nedensellik: Altın ve Petrol Üreten 7 Ülke Üzerine Bir Araştırma

FATİH KAPLAN
Sevda YAPRAKLI
Pages
69–83
DOI
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

H test results show that the real exchange rates in the countries studied against to negative and positive shocks in the gold-oil parity have reacted in different directions fall-rise .

📌 3 Key Takeaways

🎯
Objective & Hypothesis:The aim of this study is to examine the causality between the gold-oil parity and the real exchange rate in seven countries Mexico, Brazil, Russia, Indonesia, Australia, China and the United States , both gold and oil producers.
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Key Findings & Data:For this purpose, Toda and Yamamoto TY linear causality test and Hatemi-J H symmetric causality tests were performed using the monthly data of 2008-2015 period.
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Conclusion & Impact:H test results show that the real exchange rates in the countries studied against to negative and positive shocks in the gold-oil parity have reacted in different directions fall-rise .
🔬Design:Research Article
📍Scope:2008-2015 Verileri
⚙️Variables:Altın-Petrol Paritesi · Reel Döviz Kuru · Petrol ve Altın Üreten Ülkeler

Abstract

The aim of this study is to examine the causality between the gold-oil parity and the real exchange rate in seven countries Mexico, Brazil, Russia, Indonesia, Australia, China and the United States , both gold and oil producers. For this purpose, Toda and Yamamoto TY linear causality test and Hatemi-J H symmetric causality tests were performed using the monthly data of 2008-2015 period. According to the findings of the TY test, there is causality between the gold-oil parity and the real exchange rate in Brazil, Russia and China. H test results show that the real exchange rates in the countries studied against to negative and positive shocks in the gold-oil parity have reacted in different directions fall-rise . In conclusion, the analyzes done in this study show that the causality relationship between the gold-oil parity and the real exchange rate is not always consistent with the theoretical expectations and is sensitive to the analysis methods used

Özet

Bu çalışmanın amacı hem altın hem de petrol üretimi olan 7 ülkede Meksika, Brezilya, Rusya, Endonezya, Avustralya, Çin ve ABD altın-petrol paritesi ile reel döviz kuru arasındaki nedenselliği incelemektir. Bu amaçla 2008-2015 dönemine ait aylık veriler kullanılarak, Toda ve Yamamoto TY lineer nedensellik testi ve Hatemi-J H simetrik nedensellik testleri yapılmıştır. TY testinden elde edilen bulgulara göre Brezilya, Rusya ve Çin’de altın-petrol paritesi ile reel döviz kuru arasında nedensellik bulunmaktadır. H testi sonuçları ise altın-petrol paritesindeki negatif ve pozitif şoklara karşı ele alınan ülkelerde reel döviz kurlarının farklı yönlerde düşme-yükselme tepki verdiklerini göstermektedir. Sonuç olarak bu çalışmada yapılan analizler, altın-petrol paritesi ile reel döviz kuru arasındaki nedensellik ilişkisinin teorik beklentilerle her zaman uyumlu olmadığını ve kullanılan analiz yöntemlerine duyarlı olduğunu göstermektedir.

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Cite This Article

KAPLAN, F., YAPRAKLI, S. (2017). Causality between Gold-Oil Parity and Real Exchange Rate: A Research on 7 Countries Producing Oil and Gold. Doğuş Üniversitesi Dergisi, Cilt: 18 - Sayı: 2, 69–83. https://ajindex.com/articles/125889

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