Explore publications.

In the past 20 years, commodity markets have been examined under the hypothesis of whether the prices exhibit recurrent patterns or follow the stochastic processes. In this study, we analyze both global energy markets and food markets to detect the presence of multiple equilibria, which may lead to higher spikes in prices and to the occurrence of intermittency. This study focuses on daily prices in Brent petrol and Natural gas markets from 23 May 2017 to 23 May 2022. This time interval covers the period where extraordinary economic and financial policies have been preferred in countries worldwide amid the Covid-19 pandemic crisis. On the other hand, the study investigates global Food index monthly data from 2007M11 to 2022M4. Similarly, the time interval under examination points out the effects of the 2008 global crisis where expansionary monetary policies have been implemented both by the Federal Reserve of the U.S and the European Central Bank. We employed the phase-space reconstruction method for the Crude oil Brent Europe and spot Natural gas prices series, and global Food index data respectively. The main findings of the study demonstrate that commodity markets do not converge to a unique equilibrium level, instead multiple equilibria persist and chaotic behavior occurs. The presence of multiple equilibria leads to an increase in complexity and recurrently causes volatility in commodity markets, which may have spillover effects on other financial markets. Our results suggest that these effects simultaneously increase global inflationary pressures. From the perspective of policy making, it is crucial to establish a strategy to eliminate multiple equilibria and prevent high price spikes. Our findings have important implications for Central bank policies in emerging markets and portfolio and risk management.

The aim of this study is to determine the causality relationship between energy prices, which are among the most important inputs of the economy, and selected stock market indices of developed countries. Crude oil and natural gas are used as energy variables. G7 countries were selected to represent developed countries. Stock indices used in the study are Dow & Jones (USA), DAX (Germany), CAC40 (France), FTSE250 (England), FTSE Italia All Share (Italy), NIKKEI225 (Japan), and S&P/TSX (Canada). In the study, Johansen (1988) cointegration test and Granger (1969) causality test were used to analyse the causality relationship between energy prices and selected stock market indices. The research could not find a long-term balance relationship between energy prices and developed country indices. Also, while the causality relationship was determined between crude oil prices and NIKKEI225, DAX, and CAC40 indices, a causal relationship between natural gas prices and Dow & Jones and FTSE250 indices was determined. In the study, it was found that energy prices can be used for diversification in investments to be made with stock market indices of developed countries. This study is one of the most comprehensive studies in the literature that examines the relationship between energy prices and the stock market indices of G7 countries. It is expected to contribute to the literature in this way.

Gold and oil price volatilities are thought to have an impact on financial markets. The main aim of this study is to examine the effects of changes in gold and oil prices on Turkish financial markets. For this purpose, the effects of gold and oil price volatilities on nominal US dollar/Turkish lira exchange rate, Borsa Istanbul 100 Index and Turkey 10-year bond interest rates are used to represent Turkish financial markets are analysed by Granger Casuality Test. The study comprises daily data over the period of June 1, 2010 - April 30, 2017. According to the results of the analysis, there is no causality relationship from gold and oil prices to Turkish financial markets. On the other hand, it is concluded that there is a one-way causality relationship from BIST100 index to Turkey 10-year bond interest rate and two-way causality relationship between BIST 100 index and nominal US dollar/Turkish lira exchange rate.

<p>Considering the impacts of the conflict on the economic parameters in terms of macroeconomics, the following factors might affect the profitability of the company: foreign capital outflows, decrease in exports, increase in the interest rates, disruption of the investment climate, increase in the exchange rates, increase in the costs of import entry etc. Due to the expectable decrease in profit shares as to the investors, the contraction in the risk appetite will cause volatility in the prices of equity securities markets based on the impacts of the conflict, and the equity securities will depreciate. In this study, the main contributions on conflict risk and related econometric models have been discussed.</p>