THE CAUSALITY BETWEEN AGRICULTURAL RAW MATERIALS AND ECONOMIC POLICY UNCERTAINTY: EVIDENCE FROM THE TIME- VARYING GRANGER CAUSALITY

Ahmet Tunc, (Şırnak Üniversitesi, Şırnak , Türkiye)
Savas Savas, (Erciyes Üniversitesi, Kayseri, Türkiye)
Doğan BARAK (Bingöl Üniversitesi, Bingöl, Türkiye)
Uluslararası Yönetim İktisat ve İşletme Dergisi
3 2
Yıl: 2023 Cilt: 19 Sayı: 1 Sayfa Aralığı: 1 - 13 Metin Dili: İngilizce DOI: 10.17130/ijmeb.1186996 İndeks Tarihi: 30-05-2023

THE CAUSALITY BETWEEN AGRICULTURAL RAW MATERIALS AND ECONOMIC POLICY UNCERTAINTY: EVIDENCE FROM THE TIME- VARYING GRANGER CAUSALITY

Öz:
This paper aims to examine the time-varying dynamics of the causal interaction between agricultural raw materials commodity prices and the US economic policy uncertainty (EPU). To this end, we use monthly data for the period spanning from January 1992 to November 2021. We employ a time-varying Granger causality test to provide empirical evidence on the time-varying dynamics of the causality interaction and thereby revealing potential heterogeneities of these interactions during major historical events. The results show that causality running from EPU to agricultural raw materials, as well as causality running from agricultural raw materials to EPU, exhibits time-varying dynamics. More specifically, the findings reveal that causality generally tended to run from agricultural raw materials to EPU for most of the 2000-2014 period but reversed with the US-China trade war and the Covid-19 pandemic period. This result highlights the importance of modeling the potential causality interactions in the economic uncertainty-commodity prices nexus within a dynamic framework and implies that these interactions cannot be considered independently of the prevailing economic, political and global conditions.
Anahtar Kelime:

TARIMSAL HAMMADDELER VE EKONOMİ POLİTİKASI BELİRSİZLİĞİ NEDENSELLİK İLİŞKİSİ: ZAMANLA DEĞİŞEN GRANGER NEDENSELLİK TESTİNDEN KANITLAR

Öz:
Bu çalışma, tarımsal hammadde emtia fiyatları ile ABD ekonomi politika belirsizliği (EPU) arasındaki nedensellik etkileşiminin zamanla değişen dinamiklerini incelemeyi amaçlamaktadır. Bu amaçla, Ocak 1992 - Kasım 2021 dönemini kapsayan aylık veriler kullanılmıştır. Nedensellik etkileşiminin zamanla değişen dinamiklerine ilişkin ampirik kanıtlar sağlamak ve böylece önemli tarihsel olaylar sırasında bu etkileşimlerin potansiyel heterojenliklerini ortaya çıkarmak için zamanla değişen bir Granger nedensellik testi kullanıyoruz. Sonuçlar, EPU’dan tarımsal hammaddelere uzanan nedenselliğin yanı sıra tarımsal hammaddelerden EPU’ya uzanan nedenselliğin de zamanla değişen dinamikler sergilediğini göstermektedir. Daha spesifik olarak, bulgular 2000-2014 döneminin büyük bir bölümünde nedenselliğin genellikle tarımsal hammaddelerden EPU’ya doğru gitme eğiliminde olduğunu, ancak bu durumun ABD-Çin ticaret savaşı ve Covid-19 pandemi dönemi ile tersine döndüğünü ortaya koymaktadır. Bu sonuç, ekonomik belirsizlik-emtia fiyatları ilişkisindeki potansiyel nedensel etkileşimlerin dinamik bir çerçeve içinde modellenmesinin önemini vurgulamakta ve bu etkileşimlerin hakim ekonomik, politik ve küresel koşullardan bağımsız olarak düşünülemeyeceğini ima etmektedir.
Anahtar Kelime:

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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APA Tunc A, Savas S, BARAK D (2023). THE CAUSALITY BETWEEN AGRICULTURAL RAW MATERIALS AND ECONOMIC POLICY UNCERTAINTY: EVIDENCE FROM THE TIME- VARYING GRANGER CAUSALITY. , 1 - 13. 10.17130/ijmeb.1186996
Chicago Tunc Ahmet,Savas Savas,BARAK Doğan THE CAUSALITY BETWEEN AGRICULTURAL RAW MATERIALS AND ECONOMIC POLICY UNCERTAINTY: EVIDENCE FROM THE TIME- VARYING GRANGER CAUSALITY. (2023): 1 - 13. 10.17130/ijmeb.1186996
MLA Tunc Ahmet,Savas Savas,BARAK Doğan THE CAUSALITY BETWEEN AGRICULTURAL RAW MATERIALS AND ECONOMIC POLICY UNCERTAINTY: EVIDENCE FROM THE TIME- VARYING GRANGER CAUSALITY. , 2023, ss.1 - 13. 10.17130/ijmeb.1186996
AMA Tunc A,Savas S,BARAK D THE CAUSALITY BETWEEN AGRICULTURAL RAW MATERIALS AND ECONOMIC POLICY UNCERTAINTY: EVIDENCE FROM THE TIME- VARYING GRANGER CAUSALITY. . 2023; 1 - 13. 10.17130/ijmeb.1186996
Vancouver Tunc A,Savas S,BARAK D THE CAUSALITY BETWEEN AGRICULTURAL RAW MATERIALS AND ECONOMIC POLICY UNCERTAINTY: EVIDENCE FROM THE TIME- VARYING GRANGER CAUSALITY. . 2023; 1 - 13. 10.17130/ijmeb.1186996
IEEE Tunc A,Savas S,BARAK D "THE CAUSALITY BETWEEN AGRICULTURAL RAW MATERIALS AND ECONOMIC POLICY UNCERTAINTY: EVIDENCE FROM THE TIME- VARYING GRANGER CAUSALITY." , ss.1 - 13, 2023. 10.17130/ijmeb.1186996
ISNAD Tunc, Ahmet vd. "THE CAUSALITY BETWEEN AGRICULTURAL RAW MATERIALS AND ECONOMIC POLICY UNCERTAINTY: EVIDENCE FROM THE TIME- VARYING GRANGER CAUSALITY". (2023), 1-13. https://doi.org/10.17130/ijmeb.1186996
APA Tunc A, Savas S, BARAK D (2023). THE CAUSALITY BETWEEN AGRICULTURAL RAW MATERIALS AND ECONOMIC POLICY UNCERTAINTY: EVIDENCE FROM THE TIME- VARYING GRANGER CAUSALITY. Uluslararası Yönetim İktisat ve İşletme Dergisi, 19(1), 1 - 13. 10.17130/ijmeb.1186996
Chicago Tunc Ahmet,Savas Savas,BARAK Doğan THE CAUSALITY BETWEEN AGRICULTURAL RAW MATERIALS AND ECONOMIC POLICY UNCERTAINTY: EVIDENCE FROM THE TIME- VARYING GRANGER CAUSALITY. Uluslararası Yönetim İktisat ve İşletme Dergisi 19, no.1 (2023): 1 - 13. 10.17130/ijmeb.1186996
MLA Tunc Ahmet,Savas Savas,BARAK Doğan THE CAUSALITY BETWEEN AGRICULTURAL RAW MATERIALS AND ECONOMIC POLICY UNCERTAINTY: EVIDENCE FROM THE TIME- VARYING GRANGER CAUSALITY. Uluslararası Yönetim İktisat ve İşletme Dergisi, vol.19, no.1, 2023, ss.1 - 13. 10.17130/ijmeb.1186996
AMA Tunc A,Savas S,BARAK D THE CAUSALITY BETWEEN AGRICULTURAL RAW MATERIALS AND ECONOMIC POLICY UNCERTAINTY: EVIDENCE FROM THE TIME- VARYING GRANGER CAUSALITY. Uluslararası Yönetim İktisat ve İşletme Dergisi. 2023; 19(1): 1 - 13. 10.17130/ijmeb.1186996
Vancouver Tunc A,Savas S,BARAK D THE CAUSALITY BETWEEN AGRICULTURAL RAW MATERIALS AND ECONOMIC POLICY UNCERTAINTY: EVIDENCE FROM THE TIME- VARYING GRANGER CAUSALITY. Uluslararası Yönetim İktisat ve İşletme Dergisi. 2023; 19(1): 1 - 13. 10.17130/ijmeb.1186996
IEEE Tunc A,Savas S,BARAK D "THE CAUSALITY BETWEEN AGRICULTURAL RAW MATERIALS AND ECONOMIC POLICY UNCERTAINTY: EVIDENCE FROM THE TIME- VARYING GRANGER CAUSALITY." Uluslararası Yönetim İktisat ve İşletme Dergisi, 19, ss.1 - 13, 2023. 10.17130/ijmeb.1186996
ISNAD Tunc, Ahmet vd. "THE CAUSALITY BETWEEN AGRICULTURAL RAW MATERIALS AND ECONOMIC POLICY UNCERTAINTY: EVIDENCE FROM THE TIME- VARYING GRANGER CAUSALITY". Uluslararası Yönetim İktisat ve İşletme Dergisi 19/1 (2023), 1-13. https://doi.org/10.17130/ijmeb.1186996
Sayfa Oluşturulma Tarihi
24-04-2024 7:34

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