Bir risk göstergesi olarak Baltık kuru yük endeksi ile petrol fiyatları arasındaki oynaklık geçişkenliği

This thesis aims to examine the correlation between the Baltic Dry Index which is published by Baltic Exchange in London on a daily basis and in terms of global trade is considered as one of the most important indicators by many and Crude Oil Prices for which the Brent Crude Oil Prices to be taken as a reference variable. The research expects to put forth the spillover effect that the Brent Crude Oil price fluctuations have upon the Baltic Dry Index through the cost of shipping directly affecting the vitality of international trade and production. In this context, the study firstly conducts a thorough review of available literature in order to establish the conclusion that by means of MV DCC-GARCH volatility approach, there is volatility transmission from Brent Crude Oil prices to the BDI. Afterward, respective variables were explained and volatility models were discussed. And ultimately, the test results for the selected model were explained and interpreted. Empirical findings indicate that as the cost of energy for ocean transportation accounts for a significant amount of total costs, concordantly fluctuations of oil prices for several reasons directly affect the performance of the Index on a global scale.