The Relationship Between İnternational Trade and Financial Markets in the Scope of Socionomics Approach: The Analysis of Cointegration and Causality

Year 2019, Volume: 7 Issue: 6, 229 - 239, 13.12.2019

Ayberk Şeker

https://doi.org/10.18506/anemon.521134

Abstract

This
study examines the relationship between Turkish export to USA, Germany, United
Kingdom, France and financial markets which is an indicator of socionomics of
these countries examined within the scope of socionomic approach. Turkish
export to USA, Germany, United Kingdom, France and returns of financial markets
(Dow Jones, Dax, FTSE100, CAC40) of these countries are used as variables
within the period of 1995-2018. In this study, ARDL Bound Test show that there
are co-integration relationships between series. The result of Granger
causality analysis demonstrates that there is an unidirectional causality
between series. These unidirectional causality occurs from financial markets of
USA (Dow Jones) and Germany (Dax) to Turkis export. Another unidirectional
causality takes place between Turkish export and financial market of United
Kingdom.

Keywords

International Trade, Financial Markets, Socionomics, ARDL Bound Test, Granger Causality Test

Sosyonomik Yaklaşım Kapsamında Uluslararası Ticaret ve Finansal Piyasalar Arasındaki İlişki: Eşbütünleşme ve Nedensellik Analizi

Abstract

Bu
çalışma ile sosyonomik yaklaşım kapsamında Türkiye’nin ABD, Almanya, İngiltere
ve Fransa’ya gerçekleştirdiği ihracat ile aynı ülkelerin ekonomik olarak sosyal
ruh hallerinin göstergesi olan finansal piyasaları arasındaki ilişki analiz
edilmektedir. Çalışmada, 1996 ve 2018 yılları arasındaki dönemi kapsayan aylık
ihracat verileri ile aylık finansal piyasa getirileri kullanılmıştır. ARDL
sınır testi sonucunda, Türkiye’nin ABD, Almanya, İngiltere ve Fransa’ya
gerçekleştirdiği ihracat ile bu ülkelerin finansal piyasaları arasında eşbütünleşme
ilişkisi olduğu görülmüştür. Granger Nedensellik analizi sonucunda, ABD ve
Almanya finansal piyasalarından (Dow Jones-Dax) Türkiye’nin ABD’ye ve
Almanya’ya gerçekleştirdiği ihracata doğru ve Türkiye’nin İngiltere’ye
gerçekleştirdiği ihracattan İngiltere finansal piyasalarına (FTSE100) doğru tek
yönlü bir nedensellik ilişkisi tespit edilmiştir.

Keywords

Uluslararası Ticaret, Finansal Piyasalar, Sosyonomi, ARDL Sınır Testi, Granger Nedensellik Testi

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