Year 2020, Volume 8 , Issue 1, Pages 29 - 42 2020-06-30

Investigation of Causality Relationships among COVID-19 Cases, ISE100 Index, Dollar, Euro, Gram Gold Prices and 2 Years Bond Rates: The Case of Turkey

Yüksel Akay ÜNVAN [1]


The purpose of this research is to analyze such economic data during the outbreak of the COVID-19 in Turkey. The variable rates were taken from COVID-19 situations, ISE-100 index, Turkish lira dollar (TRY), TRY euro prices, TRY gram Gold and two year bond rates. General COVID-19 information was provided and certain financial indicators were investigated in COVID-19 (47 days). First of all, these variables were used as descriptive statistics and correlation matrix. For the purposes of stationarity testing, the first variables were stationary with Augmented Dickey-Fuller and Phillips-Terron Tests. The lag duration of the deployment model VECM was then calculated as the fourth lag with the highest information requirement. The co-integration relationship between the variables was calculated by the Johansen Cointegration Test. Thanks to this relationship, the variables have a long-term correlation. The Vector Fix Model (VECM) was chosen because it is co-integration. Inverse roots, autocorrelation and normality have been developed, which are essential assumptions to use the VECM (4) model; Therefore, the Granger Causality / Block Exogeneity Wald Test was applied to the variables of the VECM(4) model to define causality relationships between these variables. The results of this test have identified causalities for Turkey 2 years of government bond rates, Euro in TRY, Dollar prices in TRY and Gram in TRY.
COVID-19, COVID-19 Turkey, Euro, Dollar, Gold, Bonds, ISE100
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Primary Language en
Subjects Operations Research and Management Science
Journal Section Articles
Authors

Orcid: 0000-0002-0983-1455
Author: Yüksel Akay ÜNVAN (Primary Author)
Institution: Ankara Yıldırım Beyazıt Üniversitesi
Country: Turkey


Dates

Application Date : May 3, 2020
Acceptance Date : June 17, 2020
Publication Date : June 30, 2020

APA Ünvan, Y . (2020). Investigation of Causality Relationships among COVID-19 Cases, ISE100 Index, Dollar, Euro, Gram Gold Prices and 2 Years Bond Rates: The Case of Turkey . Alphanumeric Journal , 8 (1) , 29-42 . DOI: 10.17093/alphanumeric.731303