The Relationship Between Commodity Prices and Selected Macroeconomic Variables in Turkey: Evidence From Fourier Cointegration Test

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Author(s): Mustafa Uysal (Artvin Çoruh University, Turkey)and Zafer Adalı (Artvin Çoruh University, Turkey)
Copyright: 2020
Pages: 19
Source title: Handbook of Research on Decision-Making Techniques in Financial Marketing
Source Author(s)/Editor(s): Hasan Dinçer (Istanbul Medipol University, Turkey)and Serhat Yüksel (İstanbul Medipol University, Turkey)
DOI: 10.4018/978-1-7998-2559-3.ch024

Keywords: Accounting & Finance / Business & Management / Business Science Reference / Marketing and Consumer Behavior

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Abstract

This chapter determines whether there is a long-run relationship among oil, copper, natural gas, export figures and import figures, and BIST 100. Within this context, the study employs monthly periods from January 2006 to June 2019. ADF, Fourier ADF, and Banerjee Cointegration Test were applied. Banerjee Cointegration Test revealed that copper, oil, and natural gas and import figures move together in the long run but the existence of the long-run relationship between the selected inputs and export figures and BIST 100 has not been found. This evidence can be interpreted as the change in oil, copper, and natural gas may influence the amount of Turkish import figures.

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The Relationship Between Commodity Prices and Selected Macroeconomic Variables in Turkey: Evidence From Fourier Cointegration Test

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