Publication: Petrol fiyatlarındaki değişmelere karşı risk yönetiminde bir uygulama : Azerbaycan örneği
Abstract
Son yıllarda dünya petrol fiyatlarındaki değişimler petrol üreticilerini sarsmaktadır. Petrole bağımlı ekonomileri olan ülkelerin petrol dışı sektörlere kayması ve petrolün yerine geçecek ürünleri üretmesi riskten tamamen arınmanın en iyi yöntemidir. Bu çalışmada bu süreç içerisinde çıkabilecek petrol risklerinin etkisini en aza indirmek için alternatif bir uygulama, fon kurulmuştur. Kurulan fonun Azerbaycan ekonomisi için nasıl sonuç verdiği hesaplanmıştır. Fon için dünya ekonomilerindeki endeksler, tahviller, bazı hisse senetleri ele alınarak Brent petrolle(Brent Crude Oil) korelasyonu hesaplanmıştır. Fona alınacak enstrümanların petrolle anlamlı negatif korelasyonda olmalarına dikkat edilmiştir. Hesaplamalar sonucu fonda dünyanın en önde gelen 10 endeksi enstrüman olarak seçilmiştir. Daha sonra bunlardan oluşan fonun varyansı ve standart sapması hesaplanmıştır. Çeşitlendirme ve ağırlıklandırma yapılarak en yüksek getiri ve en az risk faktörüne dikkat edilmiştir. En sonda basit doğrusal regresyon yapılarak, matamatiksel göstergelerin geleceğe yönelik yatırım yapılıp yapılamayacağı araştırılmıştır. Elde edilen sonuçlara göre, 2010-2017 yılı içerisinde petrolle dünyanın en büyük endekslerinden olan 10 endeks negatif anlamlı korelasyondadır. Aynı zamanda bu 10 endeksten oluşturulan fonun seçilen ağırlıkları itibari ile değişim katsayısı yani %1`lik getiri karşısında %0.5575 gibi bir değerde risk içerdiği sonucuna varılmıştır. Petrol fiyatlarının yükselişe geçtiği 2009 sonrası Azerbaycan`ın elde ettiği petrol gelirleri ile bahsi geçen fona yatırım yaptığında, petrol riksine karşı korunma sağlayabileceği ve bu durumda 2015 yılında yaşadığı krizin önüne geçilebileceği, 11.3 milyar dolarlık dış ödemeler bilançosu açığını tamamen kapatabileceği bulgularına ulaşılmıştır.
In recent years, changes in world oil prices have shaken oil producers. It is the best way to eliminate the risk that countries with oil-dependent economies are shifting to non-oil sectors and producing oil substitutes. In this study, an alternative application, the fund was established to minimize the effects of the oil risks that would have taken place during this process. It is calculated how the result of the established fund is for the Azerbaijani economy. For the Fund, correlations with Brent Crude oil price have been calculated by taking the indices, debts, and some stocks in world economies. Attention has been paid to the fact that the instruments to be fought are negatively correlated with oil. The calculations have been selected as the world's leading 10 indexing instruments as the final result. Then, the variance and standard deviation of the resulting funds are calculated. Diversification and weighting have been used to ensure maximum return and minimal risk. By conducting simple linear regression at the very end, it was researched whether or not mathematical indices are in the direction of future investment. According to the results obtained, 10 index which is the biggest index of the world with oil in 2010 between 2017 is a negative correlation. At the same time, it was concluded that the fund created from these 10 instruments had a risk of less than 0.5% against the yield of 1% by selected weights. It is estimated that if Azerbaijan invests this oil against petroleum incentives in the period when the oil prices started to rise after 2009, it will totally cover the 11.3 billion Dollars foreign payments balance situation which will not survive the crisis experienced in 2015.
In recent years, changes in world oil prices have shaken oil producers. It is the best way to eliminate the risk that countries with oil-dependent economies are shifting to non-oil sectors and producing oil substitutes. In this study, an alternative application, the fund was established to minimize the effects of the oil risks that would have taken place during this process. It is calculated how the result of the established fund is for the Azerbaijani economy. For the Fund, correlations with Brent Crude oil price have been calculated by taking the indices, debts, and some stocks in world economies. Attention has been paid to the fact that the instruments to be fought are negatively correlated with oil. The calculations have been selected as the world's leading 10 indexing instruments as the final result. Then, the variance and standard deviation of the resulting funds are calculated. Diversification and weighting have been used to ensure maximum return and minimal risk. By conducting simple linear regression at the very end, it was researched whether or not mathematical indices are in the direction of future investment. According to the results obtained, 10 index which is the biggest index of the world with oil in 2010 between 2017 is a negative correlation. At the same time, it was concluded that the fund created from these 10 instruments had a risk of less than 0.5% against the yield of 1% by selected weights. It is estimated that if Azerbaijan invests this oil against petroleum incentives in the period when the oil prices started to rise after 2009, it will totally cover the 11.3 billion Dollars foreign payments balance situation which will not survive the crisis experienced in 2015.