Detection of Causal Relationship among Apricot Production, Dollar Exchange Rate and Gold Prices Using Co-integration Analysis and VECM: The Case of Turkey

Senol Celik

Abstract: In this study, causalities among apricot production (AP), dollar exchange rate (DE) and gold price (GP) are examined for Turkey using data covering the period from 1950 to 2015. The co-integration analysis and vector error correction model (VECM) are used the casualty relationship among AP, DE, and GP in predicting. According to unit root test, results indicate that each of series is not stationary, when the variables are defined in levels, but that each of series is stationary, when the variables are defined in first differences. Johansens co-integration test results show that there exists a long-run equilibrium relationship among AP, DE, and GP. It is concluded that there is one co-integration vector in the data. Since the series are found to be co-integrated, it used VECM model to test the existence of causality. According to the VECM, there has been long-term relationship among the variables.

Keywords: Stationary, long-run changes, apricot production