Regime shifts in gold certificate premiums: evidence from Türkiye’s dual gold market
SN BUSINESS & ECONOMICS, cilt.4, sa.455, 2026 (Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 4 Sayı: 455
- Basım Tarihi: 2026
- Doi Numarası: 10.1007/s43546-026-01418-9
- Dergi Adı: SN BUSINESS & ECONOMICS
- Derginin Tarandığı İndeksler: Scopus, ABI/INFORM
- İstanbul Üniversitesi Adresli: Evet
Özet
Through a structural analysis of the causes of the high price premium between the two organized and unorganized markets for a good with identical quality gold the study will investigate short-term determinants and non-linear regime-transition dynamics. These markets are Borsa Istanbul ALTIN.S1 Mint Certificate (Organized Market) and spot gram gold (Unorganized Market). Using a daily comprehensive data set covering January 1, 2023, to December 31, 2025, the study first establishes, on the basis of joint ADF and KPSS testing, that the premium series is integrated of order one and that the two markets are not tied by a stable long-run cointegrating relationship, so that the short-run model is specified in first differences. The short run dynamics that were explored using an OLS model with Newey-West corrections show the premium is significantly driven by changes in the sovereign risk premium, by behavioural liquidity constraints before the market closes (from weekends and holidays), and by domestic equity returns. The results also show that local MPC decisions and geopolitical risk do not have significant effects on the premium. In the second phase, the three-regime Markov Regime Switching Model (MSM) is used to model the nonlinear structure of the premium. The MSM outputs indicate that the premium is clustered into three structural states which are low, medium and high. The results of the study reveal considerable variance in the arbitrage mechanism where its persistence is strong. The high-premium stage shows the most pronounced impact of this phenomenon. Regime-level evidence indicates that the high-premium state coincides with rising international gold prices and a depreciating lira rather than with elevated sovereign or global risk. This suggests that persistent divergences arise when domestic retail demand meets a binding conversion constraint, rather than from market stress as such.