In this thesis the relationship between Brent oil prices, LME copper prices, Turkish gold and silver spot prices, XU100 index, interest rate and exchange rate is examined. Their long run Granger causality relationship is investigated by looking at Wald statistics. The short run relationship between them is examined by using generalized impulse responses. The data range is from January 2, 2002 to February 24, 2011. Due to the oil crisis in 2008, we divide the data into three periods: January 2, 2002 to December 31 as first period, 2007, from January 1, 2008 to December 31 as second period, 2008 and January 1, 2009 and February 24, 2011 as third period. We conduct each test separately for these periods but in third period we use Toda-Yamamoto procedure since maximum order of integration is 1.