Analyzing the volatility spillover and cointegration relationship between daily spot West Texas intermediate crude oil price and US dollar
Yazarlar (1)
Prof. Dr. Utku ALTUNÖZ Sinop Üniversitesi, Türkiye
| Makale Türü |
Özgün Makale
(Diğer hakemli uluslarası dergilerde yayınlanan tam makale)
|
||
| Dergi Adı | JOURNAL OF EKONOMİ | ||
| Dergi ISSN | 2687-2390 | ||
| Dergi Tarandığı Indeksler | doaj, copernicus | ||
| Makale Dili | Türkçe | Basım Tarihi | 05-2023 |
| Cilt / Sayı / Sayfa | 5 / 1 / 21–31 | DOI | – |
| Makale Linki | https://dergipark.org.tr/tr/pub/ekonomi/issue/76982/1255288 | ||
| UAK Araştırma Alanları |
Enflasyon
|
||
| Özet |
| In the study, it is aimed to analyze the diffusion and cointegration relationship between WTI and US Dollar in the period of 2016-2021. In the study, after a comprehensive literature review of the theoretical review, the econometric analysis section was started. In the first part of the analysis, the short and long-term relationships between the variables were examined with the autoregressive distributed lag methodology and the existence of a cointegration relationship was reached. According to the findings, the effect of WTI on foreign exchange volatility in the long run is statistically significant and negative. In the short-term evaluation, ECT is negative and significant within expectations. In this context, the changes between the variables approach the long-term equilibrium level. According to the results obtained in the causality and variance causality analyzes applied in the last part of the analysis, it is understood that there is a volatility spillover effect from WTI to foreign currency. |
| Anahtar Kelimeler |
