Öz
The study estimates a dynamic vector autoregressive (VAR) model for cotton market prices in Turkey, considering the changes in policies and the market factors. VAR model consists of the annual data for the period between 1960 and 2010. In the cotton pricing model, the domestic stock-to-use ratio and stock-to-use ratio of the two competitive countries in Turkey’s cotton market (USA and Greece) are employed so as to obtain the effects of supply and demand factors. In the model, two dummy variables are used in an attempt to determine the effect of government support programs and 1973 oil crisis. The model led us to the result that government support programs do not have an effect on the determination of cotton market prices, and that the oil crisis of 1973 caused a structural change in cotton prices. Cotton price has a causal effect on the stock-to-use ratio of the two competitive countries (USA and Greece) and the domestic stock-to-use ratio. Additionally, there exists a unidirectional causality from the stock-to-use ratio of the two competitive countries to domestic stock-to-use ratio. Cotton price has an indirect causal effect on the domestic stock-to-use ratio.
Anahtar Kelimeler
Kaynakça
- Baker, A. and Menzie, K., 1988. Drought Effects on Corn Price Forecasts. Feed Situation and Outlook Report, fds-307, USDA, Economic Research Service, 25-28 pp.
- Dickey, D. A. and Fuller, A. W., 1979. Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74(366): 427–431.
- Enders, W., 2010. Applied Econometric Time Series, 3rd Ed. Hoboken, NJ: John Wiley, 544 pp.
- FAO., 2012. Agricultural Statistics. Food, Agriculture and Organization.
- Goodwin, B.K., Schnepf, R., Dohlman, E., 2005. Modelling Soybean Prices in a Changing Policy Environment. Applied Economics, 37: 253-263.
- Granger, C. W. J., 1969. Investigating Causal Relations by Econometric Models and Cross-Spectral Methods. Econometrica, 37(3): 424-438.
- Hamilton, J. D., 1994. Time Series Analysis. Princeton, NJ: Princeton University Press, 445 pp.
- Labys, W.C., 1973. Dynamic Commodity Models: Specification, Estimation and Simulation, Lexington, MA : Heath Lexington Books. 351 pp.
- Lee, J. and Strazicich, M. C., 2003. Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks. Review of Economics and Statistics, 85(4): 1082–1089.
- Lee, J. and Strazicich, M.C., 2001. Break Point Estimation and Spurious Rejections with Endogenous Unit Root Tests. Oxford Bulletin of Economics and Statistics, 63(5):535–558.
- Lütkepohl, H. and Reimers, H. E., 1992. Impulse Response Analysis of Co-integrated Systems. Journal of Economics Dynamics and Control, 16(1):53–78.
- MIT., 2010. Annual Cotton Report of the Ministry of Industry and Trade. Turkey, 12 pp.
- Sims, C. A., 1980. Macroeconomics and Reality. Econometrica, 48(1): 1-46.
- TUIK., 2012. Textile Sector Statistics. Turkish Statistical Institute, 56 pp.
- USDA., 2010. Cotton and Wool Yearbook Reports. United State Department of Agriculture, 8 pp.
- Van Meir, L. W., 1983. Relationships among Ending Stocks, Prices, and Loan Rates for Corn, Feed Outlook and Situation Report, FdS-290, U.S. Department of Agricultural Economics Research Service, 9-13 pp.
- Westcott, P. C. and Hoffman, L. A., 1999. Price Determination for Corn and Wheat. Economic Research Service Technical Bulletin No. 1878, July,Washington, D.C., 21 pp.
Öz
Çalışmada, Türkiye kütlü pamuk fiyatları için politika çerçevesindeki değişiklikleri ve pazar faktörlerini dikkate alan dinamik vektör otoregressif model tahmin edilmiştir. VAR model, 1960-2010 dönemini kapsayan yıllık verileri içermektedir. Kütlü pamuk fiyatının belirlenmesinde, arz ve talep faktörlerinin etkisini elde etmek için yurtiçi stok kullanım oranı ve Türkiye pamuk piyasasında rekabetçi iki ülkenin stok kullanım oranı(USA ve Greece) değişkenleri kullanılmıştır. VAR modelinde devlet destekleme politikasındaki değişikliğin ve 1973 petrol krizinin etkisini belirlemek için iki kukla değişkeni kullanılmıştır. Kütlü pamuk fiyatları üzerinde devlet destekleme politikasındaki değişikliğin önemli bir etkisi olmadığı sonucuna varılmıştır. Dünya 1973 petrol krizinin pamuk fiyatlarında yapısal değişime neden olduğu belirlenmiştir. Pamuk fiyatı ile iki rekabetçi ülkenin stok kullanım oranı ve yurtiçi stok kullanım oranı arasında ileriye doğru tek yönlü nedensellik vardır. Ayrıca, iki rekabetçi ülkenin stok kullanım oranından yurtiçi stok kullanım oranına doğru tek yönlü bir nedensellik vardır. Pamuk fiyatı ve yurtiçi stok kullanım oranı arasında ise dolaylı nedensellik ilişkisi vardır
Anahtar Kelimeler
Pamuk stok kullanım oranı nedensellik testi vektör otoregressif
Kaynakça
- Baker, A. and Menzie, K., 1988. Drought Effects on Corn Price Forecasts. Feed Situation and Outlook Report, fds-307, USDA, Economic Research Service, 25-28 pp.
- Dickey, D. A. and Fuller, A. W., 1979. Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74(366): 427–431.
- Enders, W., 2010. Applied Econometric Time Series, 3rd Ed. Hoboken, NJ: John Wiley, 544 pp.
- FAO., 2012. Agricultural Statistics. Food, Agriculture and Organization.
- Goodwin, B.K., Schnepf, R., Dohlman, E., 2005. Modelling Soybean Prices in a Changing Policy Environment. Applied Economics, 37: 253-263.
- Granger, C. W. J., 1969. Investigating Causal Relations by Econometric Models and Cross-Spectral Methods. Econometrica, 37(3): 424-438.
- Hamilton, J. D., 1994. Time Series Analysis. Princeton, NJ: Princeton University Press, 445 pp.
- Labys, W.C., 1973. Dynamic Commodity Models: Specification, Estimation and Simulation, Lexington, MA : Heath Lexington Books. 351 pp.
- Lee, J. and Strazicich, M. C., 2003. Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks. Review of Economics and Statistics, 85(4): 1082–1089.
- Lee, J. and Strazicich, M.C., 2001. Break Point Estimation and Spurious Rejections with Endogenous Unit Root Tests. Oxford Bulletin of Economics and Statistics, 63(5):535–558.
- Lütkepohl, H. and Reimers, H. E., 1992. Impulse Response Analysis of Co-integrated Systems. Journal of Economics Dynamics and Control, 16(1):53–78.
- MIT., 2010. Annual Cotton Report of the Ministry of Industry and Trade. Turkey, 12 pp.
- Sims, C. A., 1980. Macroeconomics and Reality. Econometrica, 48(1): 1-46.
- TUIK., 2012. Textile Sector Statistics. Turkish Statistical Institute, 56 pp.
- USDA., 2010. Cotton and Wool Yearbook Reports. United State Department of Agriculture, 8 pp.
- Van Meir, L. W., 1983. Relationships among Ending Stocks, Prices, and Loan Rates for Corn, Feed Outlook and Situation Report, FdS-290, U.S. Department of Agricultural Economics Research Service, 9-13 pp.
- Westcott, P. C. and Hoffman, L. A., 1999. Price Determination for Corn and Wheat. Economic Research Service Technical Bulletin No. 1878, July,Washington, D.C., 21 pp.
Ayrıntılar
| Birincil Dil | İngilizce |
|---|---|
| Bölüm | Makaleler |
| Yazarlar | |
| Yayımlanma Tarihi | 31 Aralık 2015 |
| Yayımlandığı Sayı | Yıl 2015 Cilt: 1 Sayı: 2 |