POLİTİKA BELİRSİZLİKLERİ VE JEOPOLİTİK RİSK İLE YATIRIMCI DUYARLILIĞI VE RİSKTEN KAÇINMA ÜZERİNE BİR ARAŞTIRMA: TVP-VAR YAKLAŞIMI

Year 2025, Issue: 102, 78 - 100, 22.06.2025

Elif Hilal Nazlıoğlu , Aslan Aydoğdu

https://doi.org/10.17753/sosekev.1615419

Abstract

Bu çalışmada, ekonomi, para, ticaret, petrol ve iklim politikası belirsizlikleri, jeopolitik riskler, yatırımcı duyarlılığı ve riskten kaçınma arasındaki dinamik ilişkiler Ocak 1997-Aralık 2023 dönemi aylık verileri için zamanla değişen parametre vektör otoregresyon (TVP-VAR) ve Toda-Yamamoto Granger nedensellik yöntemleri kullanılarak incelenmiştir. Sonuçlara göre ekonomik ve para politikası belirsizliğinin riskten kaçınma üzerinde daha etkili olduğu; ticaret ve iklim politikası belirsizliği ile jeopolitik risklerin ise sınırlı ve geçici etkiler taşıdığı tespit edilmiştir. EPU’nun yatırımcı davranışlarını şekillendiren en önemli faktörlerden biri olduğu; MPU’nun ise piyasa beklentilerini ve yatırımcı duyarlılığını etkileyen bir diğer kritik unsur olduğu gözlemlenmiştir. Bulgular, piyasa dayanıklılığının zamanla artış gösterdiğini ve yatırımcı davranışlarının ekonomik ve politik belirsizliklere uyum sağladığını ortaya koymaktadır. Ancak, belirsizliklerin finansal sistemde yarattığı asimetrik etkiler, politika yapıcılar ve yatırımcılar için önemli uyarılar sunmaktadır. Özellikle ekonomik politika belirsizliği, risk algısını şekillendirmede önemli bir rol oynarken, yatırımcı duyarlılığı ve riskten kaçınma davranışlarının bu belirsizliklerden önemli ölçüde etkilendiği görülmüştür. Politika önerileri arasında ekonomik ve politik belirsizliklerin yayılımını sınırlayan mekanizmaların geliştirilmesi ve piyasa düzenlemelerinin güçlendirilmesi yer almaktadır. Sonuç olarak, bu çalışma, ekonomik ve politik belirsizliklerin finansal piyasalar üzerindeki etkilerinin anlaşılmasına yönelik değerli katkılar sunmaktadır.

Keywords

Belirsizlik, Jeopolitik risk, Riskten kaçınma, Yatırımcı duyarlılığı, TVP-VAR, Nedensellik

A Study on Policy Uncertainties and Geopolitical Risk with Investor Sentiment and Risk Aversion: TVP-VAR Approach

Abstract

In this study, the dynamic relationships between economic, monetary, trade, oil, and climate policy uncertainty; geopolitical risks, investor sentiment; and risk aversion are analyzed using time-varying parameter vector autoregression (TVP-VAR) and Toda-Yamamoto Granger causality methods for monthly data for the period from January 1997 to December 2023. According to the results, economic and monetary policy uncertainty is more influential on risk aversion, while trade and climate policy uncertainty and geopolitical risks have limited and transitory effects. EMU is one of the most important factors shaping investor behavior, while MPU is another critical factor affecting market expectations and investor sentiment. The findings reveal that market resilience increases over time and investor behavior adapts to economic and political uncertainties. However, the asymmetric effects of uncertainties on the financial system provide important warnings for policymakers and investors. In particular, economic policy uncertainty plays an important role in shaping risk perception, while investor sentiment and risk aversion behaviors are significantly affected by these uncertainties. Policy recommendations include developing mechanisms to limit the propagation of economic and political uncertainty and strengthening market regulations. In conclusion, this study provides valuable contributions to the understanding of the effects of economic and political uncertainties on financial markets.

Keywords

Uncertainty, Geopolitical risk, Risk aversion, Investor sentiment, TVP-VAR, Causality

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