(A Comparative Analysis of the Factors Affecting Turkey's Gold Prices (Gau/Try))

Abstract

Purpose –The purpose of this study; It is a comparative analysis of the factors affecting Turkey's gold prices (Grams of Gold/Turkish Lira Parity). Design/methodology/approach – In the research, the variables explaining Turkey's gold prices come to equilibrium in the long run, and the deviations from the equilibrium in the short run come back to the equilibrium in the long run. According to the causality analysis, inflation, Bist-100, interest rate difference of 5% and VIX fear index at 10% significance level are the reasons for Turkey's gold prices. In the short run, all variables are statistically significant except for USD/TL at the 1st delay level. Among these variables, inflation, oil prices and the coefficient of the VIX index are negative in the short run, and the coefficients of other variables are positive. In the long run, oil prices, interest rate difference are significant at the level of 5%, and the Bist-100 index is significant at the level of 10%. Among these variables, the coefficient of the Bist-100 index and oil prices variables has a positive sign, and the coefficient of the interest difference variable has a negative sign. According to the variance decomposition results, the order of importance of the variables in explaining the gold prices is; interest difference, CPI, oil prices, Bist-100, CDS, Dollar/TL, VIX. According to the impact-response analysis; in the early periods; The gold prices variable reacted negatively to inflation, interest rate difference and shocks in the VIX index, while other variables reacted positively. Findings – In the research, the variables explaining Turkey's gold prices come to equilibrium in the long run, and the deviations from the equilibrium in the short run come back to the equilibrium in the long run. According to the causality analysis, inflation, Bist-100, interest rate difference of 5% and VIX fear index at 10% significance level are the reasons for Turkey's gold prices. In the short run, all variables are statistically significant except for USD/TL at the 1st delay level. Among these variables, inflation, oil prices and the coefficient of the VIX index are negative in the short run, and the coefficients of other variables are positive. In the long run, oil prices, interest rate difference are significant at the level of 5%, and the Bist-100 index is significant at the level of 10%. Among these variables, the coefficient of the Bist-100 index and oil prices variables has a positive sign, and the coefficient of the interest difference variable has a negative sign. According to the variance decomposition results, the order of importance of the variables in explaining the gold prices is; interest difference, CPI, oil prices, Bist-100, CDS, Dollar/TL, VIX. According to the impact-response analysis; in the early periods; The gold prices variable reacted negatively to inflation, interest rate difference and shocks in the VIX index, while other variables reacted positively. Discussion – While interest rate differential increases in the short term increase the gold prices in Turkey, they decrease the gold prices in the long term. Because, in the long run, it can be said that investors direct their savings to government bonds and deposits, since their interest expectations are higher. Inflation variable; In addition to the excessive depreciation in the TL in the short term, the effect is lower than the effect of interest rates and the negative real interest rate in the short term reduces gold prices. On the other hand, since rising oil prices are more attractive to investors, there is a negative relationship with gold prices in the short term, while oil prices increase gold prices in Turkey in the long term. In addition, real stock market returns, which decrease with the cheapening of TL, increase gold prices in the short and long term. Because theoretically, in the long run, gold investors generally expect more returns from gold investments than stock market investments. Gold prices in Turkey are a parity in the form of GAU/TRY, and the falling TL increases this parity. On the other hand, Turkey's risk premium in the short term is less than the interest rate difference, but it puts pressure on gold prices. Exchange rates; no statistically significant effect was observed at the level of 5% in the short and long term, it was observed at the level of 10% in the long term. This is because; It can be interpreted as the realization of the effects of foreign exchange in other variables. In short, interest rates and inflation are determinant in gold prices over interest differences in gold prices in Turkey, and Turkey's risk premium puts pressure on gold prices in the short term, and the negative effect of exchange rates takes place in the long term. The variables in the global markets are; oil prices and the Vix index decrease gold prices in the short run, while oil prices increase gold prices in the long run. It can be argued that the basis for the variable coefficient signs of the variables in the short and long run is the differentiation of the investors' gold and the returns they expect from these variables in the short and long run.