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The Effect of US Monetary Policy Uncertainty on Stock Returns: BIST100 Example

Yıl 2023, Sayı: 120, 231 - 246, 16.10.2023
https://doi.org/10.33203/mfy.1328940

Öz

The study in question was Husted et al. (2017) aims to test the effect of the US Monetary Policy Uncertainty Index, developed by using the scaled frequency numbers of articles discussing monetary policy uncertainty in US national newspapers, on the BIST100 index, one of Turkey’s leading stock market indexes. In the study using monthly data between January 1990 and April 2023, the causality test developed in the Granger (1969) study and the Frequency Causality test developed in the Breitung and Candelon (2006) study were applied. According to Granger causality test results, while indicating the existence of a statistically significant causality from MPU index to BIST100 index, it was determined that causality is permanent according to Frequency Causality Test results.

Kaynakça

  • Aktaş, Z., Alp, H., Gürkaynak, R., Kesriyeli, M., & Orak, M. (2009). Türkiye'de para politikasının aktarımı: Para politikasının mali piyasalara etkisi. iktisat isletme ve Finans, 24(278), 9-24.
  • Antonakakis, N., Chatziantoniou, I. ve Filis, G. (2013). Dynamic co-movements of stock market returns, implied volatility and policy uncertainty. Economics Letters, 120(1), 87-92.
  • Arouri, M., Estay, C., Rault, C., & Roubaud, D. (2016). Economic policy uncertainty and stock markets: Long-run evidence from the US. Finance Research Letters, 18, 136-141.
  • Asteriou, D., & Hall, S. G. (2011). Applied econometrics (2.baskı). UK: Macmillan International Higher Education.
  • Baker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring economic policy uncertainty. The quarterly journal of economics, 131(4), 1593-1636.
  • Bernanke, Ben S., and Kenneth N. Kuttner. "What explains the stock market's reaction to Federal Reserve policy?." The Journal of finance 60, no. 3 (2005): 1221-1257.
  • Bozoklu, S., & Yilanci, V. (2013). Energy consumption and economic growth for selected OECD countries: Further evidence from the Granger causality test in the frequency domain. Energy Policy, 63, 877-881.
  • Breitung, J., & Candelon, B. (2006). Testing for short and long-run causality: A frequency domain approach. Journal of Econometrics, 132(2), 363–378.
  • Brogaard J. ve Detzel A. (2012). The Asset Pricing Implications of Government Economic Policy Uncertainty. University of Washington mimeo.
  • Chang, T., Chen, W. Y., Gupta, R. ve Nguyen, D. K. (2015). Are stock prices related to the political uncertainty index in OECD countries? Evidence from the bootstrap panel causality test. Economic Systems, 39(2), 288–300. doi:10.1016/j.ecosys.2014.10.005
  • Ciner, Ç. (2011), ''Eurocurrency Interest Rate Linkages: A Frequency Domain Analysis'', International Review of Economics and Finance, 20, 498-505.
  • Çevik, S., Erduman, Y. (2020). Measuring Monetary Policy Uncertainty and Its Effects on the Economy: The Case of Turkey. Eastern European Economics, 58(5), 436–454, https://doi.org/10.1080/0012877 5.2020.1798161
  • Das, D., Kannadhasan, M., & Bhattacharyya, M. (2019). Do the emerging stock markets react to international economic policy uncertainty, geopolitical risk and financial stress alike?. The North American Journal of Economics and Finance, 48, 1-19.
  • Demir, E., & Ersan, O. (2018). The impact of economic policy uncertainty on stock returns of Turkish tourism companies. Current Issues in Tourism, 21(8), 847–855.
  • Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: Journal of the Econometric Society, 1057-1072.
  • Galí, J., & Gambetti, L. (2015). The effects of monetary policy on stock market bubbles: Some evidence. American Economic Journal: Macroeconomics, 7(1), 233-257.
  • Gemici, E. (2020). Ekonomi politikası belirsizliği ile G7 ülke borsaları arasındaki ilişki. Bingöl Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 10(20), 353–372. doi:10.29029/busbed.732124
  • Gospodinov, N., & Jamali, I. (2015). The response of stock market volatility to futures-based measures of monetary policy shocks. International Review of Economics & Finance, 37, 42-54.
  • Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: Journal of The Econometric Society, 424-438.
  • Greenspan, A. (2003). Opening remarks at “Monetary Policy Under Uncertainty”. In at a symposium sponsored by the Federal Reserve Bank of Kansas City, Jackson Hole, Wyoming.
  • Guo, P., Zhu, H. ve You, W. (2018). Asymmetric dependence between economic policy uncertainty and stock market returns in G7 and BRIC: A quantile regression approach. Finance Research Letters, 25, 251–258. doi:10.1016/j.frl.2017.11.001
  • Gürsoy S. & Zeren, F. (2022). Ekonomik Politika Belirsizliği ve Borsa İlişkisi: G7 ve BRIC Ülkeleri Örneği Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, (61), 353-368. DOI: 10.18070/erciyesiibd.986321.
  • Gürsoy, S. ve Kılıç, E. (2021). Küresel ekonomik politik belirsizliğin Türkiye CDS primi ve BİST bankacılık endeksi üzerindeki volatilite etkileşimi: DCCGARCH modeli uygulaması. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 35 (4) , 1323-1334 . doi: 10.16951/atauniiibd.876769
  • Hasan , M., Naeem, M. ve Arif, M. (2020). The Role of Economic Policy Uncertainty in the Inter-Country Equity Market Volatility. Application of Mathematical Methods in Financial Economics, 1-27. doi:https://doi.org/10.3390/math8111904
  • Husted, L., Rogers, J., & Sun, B. (2017). Monetary Policy Uncertainty. International Finance Discussion Papers 1215.
  • Korkmaz, Ö., & Güngör, S. (2018). Küresel ekonomi politika belirsizliğinin borsa istanbul’da işlem gören seçilmiş endeks getirileri üzerindeki etkisi. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, 6(ICEESS’18), 211-219.
  • Li, X., Balcilar, M., Gupta, R. ve Chang, T. (2016). The causal relationship between economic policy uncertainty and stock returns in China and India: Evidence from a bootstrap rolling window approach. Emerging Markets Finance and Trade, 52(3), 674–689. doi:10.1080/1540496X.2014.998564
  • Maquieira, C. P., Espinosa-Méndez, C., & Gahona-Flores, O. (2023). How does economic policy uncertainty (EPU) impact copper-firms stock returns? International evidence. Resources Policy, 81, 103372.
  • Ologunde, A. O., Elumilade, D. O., & Asaolu, T. O. (2006). Stock Market Capitalization and Interest Rate in Nigeria: A Time Series Analysis. International Research Journal of Finance and Economics(No. 4), 154-166.
  • Pearce, D. K., & Roley, V. V. (1983). The reaction of stock prices to unanticipated changes in money: A note. The Journal of Finance, 38(4), 1323-1333.
  • Phillips, P.C.B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75, 335-346.
  • Sadeghzadeh Emsen, H., ve Aksu, L. (2020). Borsa İstanbul ve Belirsizlik Endeksi Arasındaki İlişkilerin Doğrusal Olup Olmadığına Dair İncelemeler (1998:01- 2018:12). Atatürk Üniversitesi SBE Dergisi, 24 (1), 445-462.
  • Şahin, B. C. (2011). Para Politikasi Kararlarinin Hisse Senedi Piyasasi Üzerine Etkisi: Türkiye Uygulamasi. TCMB Uzmanlik Yeterlilik Tezi. Ankara.
  • Ugurlu‐Yildirim, E., Kocaarslan, B., & Ordu‐Akkaya, B. M. (2021). Monetary policy uncertainty, investor sentiment, and US stock market performance: New evidence from nonlinear cointegration analysis. International Journal of Finance & Economics, 26(2), 1724-1738.
  • Wen, F., Shui, A., Cheng, Y., & Gong, X. (2022). Monetary policy uncertainty and stock returns in G7 and BRICS countries: A quantile-on-quantile approach. International Review of Economics & Finance, 78, 457-482.
  • Wu, T.-P., Liu, S.-B. ve Hsueh, S.-J. (2016). The causal relationship between economic policy uncertainty and stock market: A panel data analysis. International Economic Journal, 30(1), 109–122. doi:10.1080/10168737.2015.1136668
  • www.investing.com
  • www.policyuncertainty.com
  • Xu, Y., Wang, J., Chen, Z., & Liang, C. (2021). Economic policy uncertainty and stock marreturnurns New evidence. The North American Journal of Economics and Finance, 58, 101525.
  • Yıldırım, H. ve Akdağ, S. (2019). Borsa Endeksleri Arasındaki Finansal Bulaşıcılık Etkisi: Suriye ve Türkiye Örneği, V. Uluslararası Orta Doğu Sempozyumu, 2019/9, 467-475.
  • You, W., Guo, Y., Zhu, H., & Tang, Y. (2017). Oil price shocks, economic policy uncertainty and industry stock Returns in China: Asymmetric effects with quantile regression. Energy Economics, 68, 1–18.
  • Yule, G. U. (1926). Why do we sometimes get nonsense-correlations between Time-Series? A study sampling and the nature of time-series. Journal of The Royal Statistical Society, 89(1), 1-63.
  • Zivot, E. and Andrews, D.W.K. (1992). Further evidence on the great crash, the oil price shock, and the unit root hypothesis. J. Bus. Econ. Stat. 10, 25–44.

ABD Para Politikaları Belirsizliğinin Pay Senedi Getirileri Üzerine Etkisi: BİST100 Örneği

Yıl 2023, Sayı: 120, 231 - 246, 16.10.2023
https://doi.org/10.33203/mfy.1328940

Öz

Bu çalışmada, ABD para politikası belirsizliğinin Türkiye’de hisse senetlerinin getirilerine etkileri araştırılmıştır. Bu bağlamda Husted vd. (2017) çalışmasında geliştirilen ve ABD ulusal gazetelerinde para politikaları belirsizliğini tartışan makalelerin ölçeklendirilmiş frekans sayıları kullanılarak hesaplanan ABD Para Politikaları Belirsizlik Endeksi ile BİST100 endeksinin Ocak 1990 ile Nisan 2023 tarihleri arasındaki aylık verilerin kullanıldığı çalışmada Granger (1969) çalışmasında geliştirilen nedensellik testi ile Breitung ve Candelon (2006) çalışmasında geliştirilen Frekans Nedensellik testi uygulanmıştır. Granger nedensellik testi sonuçları MPU endeksinden BİST100 endeksine doğru istatistiksel olarak anlamlı bir nedenselliğin varlığına işaret ederken, frekans nedensellik testi sonuçlarına göre nedenselliğin kalıcı olduğu tespit edilmiştir.

Kaynakça

  • Aktaş, Z., Alp, H., Gürkaynak, R., Kesriyeli, M., & Orak, M. (2009). Türkiye'de para politikasının aktarımı: Para politikasının mali piyasalara etkisi. iktisat isletme ve Finans, 24(278), 9-24.
  • Antonakakis, N., Chatziantoniou, I. ve Filis, G. (2013). Dynamic co-movements of stock market returns, implied volatility and policy uncertainty. Economics Letters, 120(1), 87-92.
  • Arouri, M., Estay, C., Rault, C., & Roubaud, D. (2016). Economic policy uncertainty and stock markets: Long-run evidence from the US. Finance Research Letters, 18, 136-141.
  • Asteriou, D., & Hall, S. G. (2011). Applied econometrics (2.baskı). UK: Macmillan International Higher Education.
  • Baker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring economic policy uncertainty. The quarterly journal of economics, 131(4), 1593-1636.
  • Bernanke, Ben S., and Kenneth N. Kuttner. "What explains the stock market's reaction to Federal Reserve policy?." The Journal of finance 60, no. 3 (2005): 1221-1257.
  • Bozoklu, S., & Yilanci, V. (2013). Energy consumption and economic growth for selected OECD countries: Further evidence from the Granger causality test in the frequency domain. Energy Policy, 63, 877-881.
  • Breitung, J., & Candelon, B. (2006). Testing for short and long-run causality: A frequency domain approach. Journal of Econometrics, 132(2), 363–378.
  • Brogaard J. ve Detzel A. (2012). The Asset Pricing Implications of Government Economic Policy Uncertainty. University of Washington mimeo.
  • Chang, T., Chen, W. Y., Gupta, R. ve Nguyen, D. K. (2015). Are stock prices related to the political uncertainty index in OECD countries? Evidence from the bootstrap panel causality test. Economic Systems, 39(2), 288–300. doi:10.1016/j.ecosys.2014.10.005
  • Ciner, Ç. (2011), ''Eurocurrency Interest Rate Linkages: A Frequency Domain Analysis'', International Review of Economics and Finance, 20, 498-505.
  • Çevik, S., Erduman, Y. (2020). Measuring Monetary Policy Uncertainty and Its Effects on the Economy: The Case of Turkey. Eastern European Economics, 58(5), 436–454, https://doi.org/10.1080/0012877 5.2020.1798161
  • Das, D., Kannadhasan, M., & Bhattacharyya, M. (2019). Do the emerging stock markets react to international economic policy uncertainty, geopolitical risk and financial stress alike?. The North American Journal of Economics and Finance, 48, 1-19.
  • Demir, E., & Ersan, O. (2018). The impact of economic policy uncertainty on stock returns of Turkish tourism companies. Current Issues in Tourism, 21(8), 847–855.
  • Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: Journal of the Econometric Society, 1057-1072.
  • Galí, J., & Gambetti, L. (2015). The effects of monetary policy on stock market bubbles: Some evidence. American Economic Journal: Macroeconomics, 7(1), 233-257.
  • Gemici, E. (2020). Ekonomi politikası belirsizliği ile G7 ülke borsaları arasındaki ilişki. Bingöl Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 10(20), 353–372. doi:10.29029/busbed.732124
  • Gospodinov, N., & Jamali, I. (2015). The response of stock market volatility to futures-based measures of monetary policy shocks. International Review of Economics & Finance, 37, 42-54.
  • Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: Journal of The Econometric Society, 424-438.
  • Greenspan, A. (2003). Opening remarks at “Monetary Policy Under Uncertainty”. In at a symposium sponsored by the Federal Reserve Bank of Kansas City, Jackson Hole, Wyoming.
  • Guo, P., Zhu, H. ve You, W. (2018). Asymmetric dependence between economic policy uncertainty and stock market returns in G7 and BRIC: A quantile regression approach. Finance Research Letters, 25, 251–258. doi:10.1016/j.frl.2017.11.001
  • Gürsoy S. & Zeren, F. (2022). Ekonomik Politika Belirsizliği ve Borsa İlişkisi: G7 ve BRIC Ülkeleri Örneği Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, (61), 353-368. DOI: 10.18070/erciyesiibd.986321.
  • Gürsoy, S. ve Kılıç, E. (2021). Küresel ekonomik politik belirsizliğin Türkiye CDS primi ve BİST bankacılık endeksi üzerindeki volatilite etkileşimi: DCCGARCH modeli uygulaması. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 35 (4) , 1323-1334 . doi: 10.16951/atauniiibd.876769
  • Hasan , M., Naeem, M. ve Arif, M. (2020). The Role of Economic Policy Uncertainty in the Inter-Country Equity Market Volatility. Application of Mathematical Methods in Financial Economics, 1-27. doi:https://doi.org/10.3390/math8111904
  • Husted, L., Rogers, J., & Sun, B. (2017). Monetary Policy Uncertainty. International Finance Discussion Papers 1215.
  • Korkmaz, Ö., & Güngör, S. (2018). Küresel ekonomi politika belirsizliğinin borsa istanbul’da işlem gören seçilmiş endeks getirileri üzerindeki etkisi. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, 6(ICEESS’18), 211-219.
  • Li, X., Balcilar, M., Gupta, R. ve Chang, T. (2016). The causal relationship between economic policy uncertainty and stock returns in China and India: Evidence from a bootstrap rolling window approach. Emerging Markets Finance and Trade, 52(3), 674–689. doi:10.1080/1540496X.2014.998564
  • Maquieira, C. P., Espinosa-Méndez, C., & Gahona-Flores, O. (2023). How does economic policy uncertainty (EPU) impact copper-firms stock returns? International evidence. Resources Policy, 81, 103372.
  • Ologunde, A. O., Elumilade, D. O., & Asaolu, T. O. (2006). Stock Market Capitalization and Interest Rate in Nigeria: A Time Series Analysis. International Research Journal of Finance and Economics(No. 4), 154-166.
  • Pearce, D. K., & Roley, V. V. (1983). The reaction of stock prices to unanticipated changes in money: A note. The Journal of Finance, 38(4), 1323-1333.
  • Phillips, P.C.B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75, 335-346.
  • Sadeghzadeh Emsen, H., ve Aksu, L. (2020). Borsa İstanbul ve Belirsizlik Endeksi Arasındaki İlişkilerin Doğrusal Olup Olmadığına Dair İncelemeler (1998:01- 2018:12). Atatürk Üniversitesi SBE Dergisi, 24 (1), 445-462.
  • Şahin, B. C. (2011). Para Politikasi Kararlarinin Hisse Senedi Piyasasi Üzerine Etkisi: Türkiye Uygulamasi. TCMB Uzmanlik Yeterlilik Tezi. Ankara.
  • Ugurlu‐Yildirim, E., Kocaarslan, B., & Ordu‐Akkaya, B. M. (2021). Monetary policy uncertainty, investor sentiment, and US stock market performance: New evidence from nonlinear cointegration analysis. International Journal of Finance & Economics, 26(2), 1724-1738.
  • Wen, F., Shui, A., Cheng, Y., & Gong, X. (2022). Monetary policy uncertainty and stock returns in G7 and BRICS countries: A quantile-on-quantile approach. International Review of Economics & Finance, 78, 457-482.
  • Wu, T.-P., Liu, S.-B. ve Hsueh, S.-J. (2016). The causal relationship between economic policy uncertainty and stock market: A panel data analysis. International Economic Journal, 30(1), 109–122. doi:10.1080/10168737.2015.1136668
  • www.investing.com
  • www.policyuncertainty.com
  • Xu, Y., Wang, J., Chen, Z., & Liang, C. (2021). Economic policy uncertainty and stock marreturnurns New evidence. The North American Journal of Economics and Finance, 58, 101525.
  • Yıldırım, H. ve Akdağ, S. (2019). Borsa Endeksleri Arasındaki Finansal Bulaşıcılık Etkisi: Suriye ve Türkiye Örneği, V. Uluslararası Orta Doğu Sempozyumu, 2019/9, 467-475.
  • You, W., Guo, Y., Zhu, H., & Tang, Y. (2017). Oil price shocks, economic policy uncertainty and industry stock Returns in China: Asymmetric effects with quantile regression. Energy Economics, 68, 1–18.
  • Yule, G. U. (1926). Why do we sometimes get nonsense-correlations between Time-Series? A study sampling and the nature of time-series. Journal of The Royal Statistical Society, 89(1), 1-63.
  • Zivot, E. and Andrews, D.W.K. (1992). Further evidence on the great crash, the oil price shock, and the unit root hypothesis. J. Bus. Econ. Stat. 10, 25–44.
Toplam 43 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Para Politikası, Sermaye Piyasaları
Bölüm Makaleler
Yazarlar

Hakan Yıldırım 0000-0002-3271-2841

Saffet Akdağ 0000-0001-9576-6786

İ. Gökçe Kaya 0000-0002-2949-2147

Erken Görünüm Tarihi 16 Ekim 2023
Yayımlanma Tarihi 16 Ekim 2023
Gönderilme Tarihi 18 Temmuz 2023
Yayımlandığı Sayı Yıl 2023 Sayı: 120

Kaynak Göster

APA Yıldırım, H., Akdağ, S., & Kaya, İ. G. (2023). ABD Para Politikaları Belirsizliğinin Pay Senedi Getirileri Üzerine Etkisi: BİST100 Örneği. Maliye Ve Finans Yazıları(120), 231-246. https://doi.org/10.33203/mfy.1328940

Dergi özellikle maliye, finans ve bankacılık alanlarında faaliyet göstermektedir.