Determination of commodity bubbles: An analytical study in the Dow Jones Index

Yaşar Köse; Emre Yılmaz

Makale detayları

Determination of commodity bubbles: An analytical study in the Dow Jones Index

Yazarlar:

Yaşar Köse | Emre Yılmaz

Yayıncı:

Afyon Kocatepe University

Ana Başlıklar:

İşletme

Dergi:

Afyon Kocatepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.25 Issue 2, pp.206-225

Belge Tipi:

Makale

Yayın Tarihi:

1/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001295587

pISSN:

1302-1966

Anahtar kelimeler:

Özet:

 The aim of this study is to determine whether there are speculative bubbles in the American commodity market, if so, their duration and how many speculative bubbles occur in the analyzed period by using the commodity prices in the American Dow Jones index commodity market. In the study, 23 real-time commodity prices in the American Dow Jones index commodity market were used and the generalized Dickey Fuller GSADF test, which was brought to the literature by Phillips, Shi, and Yu 2015 over the monthly data in a 10-year period from 01.01.2012 to 01.08.2022. used. As a result of the study, it was determined that price bubble or bubbles occurred in various times and periods in the examined time period and in all of the commodities. The existence of a bubble in the commodity market can have devastating effects on the national and international economy. Considering that GSADF tests can be used as a real-time bubble detector, the application of this approach and time-varying causality tests by policy makers can provide significant benefits for the assessment and measurement of exogenous or exogenous risks.

 The aim of this study is to determine whether there are speculative bubbles in the American commodity market, if so, their duration and how many speculative bubbles occur in the analyzed period by using the commodity prices in the American Dow Jones index commodity market. In the study, 23 real-time commodity prices in the American Dow Jones index commodity market were used and the generalized Dickey Fuller GSADF test, which was brought to the literature by Phillips, Shi, and Yu 2015 over the monthly data in a 10-year period from 01.01.2012 to 01.08.2022. used. As a result of the study, it was determined that price bubble or bubbles occurred in various times and periods in the examined time period and in all of the commodities. The existence of a bubble in the commodity market can have devastating effects on the national and international economy. Considering that GSADF tests can be used as a real-time bubble detector, the application of this approach and time-varying causality tests by policy makers can provide significant benefits for the assessment and measurement of exogenous or exogenous risks.

 The aim of this study is to determine whether there are speculative bubbles in the American commodity market, if so, their duration and how many speculative bubbles occur in the analyzed period by using the commodity prices in the American Dow Jones index commodity market. In the study, 23 real-time commodity prices in the American Dow Jones index commodity market were used and the generalized Dickey Fuller GSADF test, which was brought to the literature by Phillips, Shi, and Yu 2015 over the monthly data in a 10-year period from 01.01.2012 to 01.08.2022. used. As a result of the study, it was determined that price bubble or bubbles occurred in various times and periods in the examined time period and in all of the commodities. The existence of a bubble in the commodity market can have devastating effects on the national and international economy. Considering that GSADF tests can be used as a real-time bubble detector, the application of this approach and time-varying causality tests by policy makers can provide significant benefits for the assessment and measurement of exogenous or exogenous risks.

 Bu çalışmanın amacı Amerikan Dow Jones indeksi emtia piyasasında yer alan Emtia Fiyatları kullanılarak, Amerikan emtia piyasasında spekülatif balonlarının var olup olmadığı, varsa toplam balon süreleri ve incelenen dönemde kaç kez spekülatif balon oluştuğunun belirlenmesidir. Çalışmada Amerikan Dow Jones indeksi emtia piyasasında yer alan 23 adet gerçek zamanlı Emtia fiyatları kullanılmış, 01.01.2012 tarihinden 01.08.2022 tarihine kadar 10 yıllık dönemde, aylık veriler üzerinden Phillips, Shi ve Yu 2015 tarafından literatüre kazandırılan genelleştirilmiş Dickey Fuller GSADF testi kullanılmıştır. Çalışma sonucunda incelenen zaman aralığında ve emtiaların tamamında fiyat balonu veya balonlarının çeşitli defa ve sürelerde oluştuğu belirlenmiştir. Emtia piyasasında bir balonun varlığı ulusal ve uluslararası ekonomi üzerinde yıkıcı etkiler yaratabilir. GSADF testlerinin gerçek zamanlı bir kabarcık detektörü olarak kullanılabileceği göz önüne alındığında bu yaklaşımın uygulanması ve politika yapıcılar tarafından yapılan zamanla değişen nedensellik testleri, dışsal veya dış kaynaklı risklerin değerlendirilmesi ve ölçülmesi açısından önemli faydalar sağlayabilir.

Makale detayları

Determination of commodity bubbles: An analytical study in the Dow Jones Index

Yazarlar:

Yaşar Köse | Emre Yılmaz

Yayıncı:

Afyon Kocatepe University

Ana Başlıklar:

İşletme

Dergi:

Afyon Kocatepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.25 Issue 2, pp.206-225

Belge Tipi:

Makale

Yayın Tarihi:

1/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001295587

pISSN:

1302-1966

Commodity market

GSADF test

Speculative bubblesEmtia Piyasası

GSADF testi

Spekülatif Balon

Sayı

Makale detayları

Determination of commodity bubbles: An analytical study in the Dow Jones Index

Yazarlar: Yaşar Köse | Emre Yılmaz

Yayıncı: Afyon Kocatepe University

Ana Başlıklar: İşletme

Dergi: Afyon Kocatepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.25 Issue 2, pp.206-225

Belge Tipi: Makale

Yayın Tarihi: 1/2023

Belge Dili: Türkçe

Document ID (Org No.): 2001295587

pISSN: 1302-1966

Commodity market

GSADF test

Speculative bubblesEmtia Piyasası

GSADF testi

Spekülatif Balon

Sayı

Yazarlar:

Yaşar Köse | Emre Yılmaz

Yayıncı:

Afyon Kocatepe University

Ana Başlıklar:

İşletme

Dergi:

Afyon Kocatepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.25 Issue 2, pp.206-225

Belge Tipi:

Makale

Yayın Tarihi:

1/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001295587

pISSN:

1302-1966