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The volatility of meat prices affects the accessibility and even food security of some consumers in Turkey. This study analyses the prices of selected livestock and a major feed component, wheat, as well as the exchange rate of the domestic currency in Turkey because imports augmented the domestic live calf and sheep supply. The analysis applies 470 price observations from January 2005 to October 2019 for each of the following price series: live calf, live sheep, feed wheat, and exchange rate of Turkish lira to US dollar. The series are analyzed by using the VAR-Asymmetric BEKK-GARCH technique. The results show that the elicited conditional variances of the return series were significantly affected by both short-term shocks and shocks across the return series. The uncertainties in the live calf, live sheep, and feed wheat markets were affected by both long-term volatilities and long-term swings in their own and the other markets, but their own market-induced effects were stronger. Similarly, the conditional variances of the returns of live calves, live sheep, and feed wheat were significantly affected by the rapid price ascent in the exchange rate and the periods of livestock imports as compared to the periods when imports were absent. The unfavorable news exerted particularly negative effects on persistent volatility in markets. Additionally, the live sheep market faced greater risks than the live calf or wheat markets and was greatly affected by the limited domestic sheep supply. Results provide knowledge useful in augmenting policy, assuring sustained accessibility to animal protein in Turkey and eliminating food insecurity.

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Bu çalışmada, benzin ve ithalat dışsal değişkenleri kullanılarak, Türkiye’de dana ve kuzu karkas etleri ile yemlik buğday reel fiyatları arasındaki uzun dönem oynaklık ilişkisi ve simetrisi 2005:01-2019:06 dönemi günlük verilerinden yararlanılarak VAR (1)-Asimetrik BEKK-GARCH (1, 1) Modeli kullanılarak analiz edilmiştir. Çalışmada, benzin piyasasında meydana gelen oynaklıkların kuzu karkas ve yemlik buğday piyasalarındaki oynaklıkları arttırdığı, dana karkas piyasasındaki oynaklığı ise azalttığı tespit edilmiştir. Çalışmada ürün piyasalarında oynaklık geçişkenliklerinde asimetrik etkilerin mevcut olduğu sonucuna varılmıştır. Dana karkasın kuzu karkas ve yemlik buğday fiyat getirileriyle olan optimal portföy ağırlıkları sırasıyla 0.643 ve 0.560 iken kuzu karkasın yemlik buğday fiyat getirisiyle olan optimal portföy ağırlığı 0.442 olarak tespit edilmiştir.

The study used the VECM-BEKK-MGARCH method to model the volatility transmission between the markets of gasoline, exchange rates, and the hazelnut market for the period of 21.07.2005-20.3.2018. The suitability of the VECM-BEKK-MGARCH method was confirmed by statistical testing. The changes in hazelnut prices were not affected by the changes in the prices or final values in the other two sectors (Granger causality). Moreover, the Granger causality tests revealed that, while the change in the gasoline market was not affected by the other two markets, the change in the exchange rates market was affected by the other two markets. Furthermore, especially the volatilities (long-term uncertainties) of the markets were affected by both their own short-and long-term volatilities and other sectors' shortand long-term volatilities. It was shown that the longterm swings in these three markets were affected by the cross-interaction in the markets. Additionally, as opposed to the case in the positive news, it was observed that pieces of negative news affected the markets. JEL Classification: Q11, Q13, Q14, G17, G18