The examination of the impact of global uncertainties on developed and developing markets with structural VAR model

Year 2024, , 122 - 134, 27.08.2024

Özge Demirkale

https://doi.org/10.58308/bemarej.1515805

Abstract

This study aims to examine the impact of global uncertainties on developed and developing markets with the help of the Structural VAR model. Due to the integration of financial markets, it is of great importance for securities market investors to be able to predict the direction of the markets. One of the variables to be used to predict the development of financial markets is the MSCI indices. In the study, the Developed Markets Index (MSCIWO) was used to represent developed markets, and the MSCIEF Emerging Markets Index was used to represent emerging markets. In the study, two separate models were established to measure the impact of global uncertainties on developed and developing markets. Using monthly data from 2014-2023, this study identifies differences between developed and emerging markets and shows how these markets react to different types of uncertainty. The results obtained from the study show that the effect of the Global Economic Policy Uncertainty Index (GEPU) variable on developed and developing capital markets is positive in the long term. Additionally, it was determined that the Geopolitical Risk Index (GPR) variable has a long-term negative impact on both markets. Analysis results indicate that the effect of the VIX variable on advanced markets is not significant, whereas it shows a negative impact on developing markets.

Keywords

Global Uncertainties, Developed and Developing Markets, Structural VAR Model

Global belirsizliklerin gelişmiş ve gelişmekte olan piyasalara etkisinin yapısal VAR modeli ile incelenmesi

Abstract

Bu çalışmanın amacı global belirsizliklerin gelişmiş ve gelişmekte olan piyasalara etkisini Yapısal VAR modeli yardımıyla incelemektedir. Finansal piyasalardaki entegrasyon sebebiyle, menkul kıymet piyasası yatırımcıları için piyasaların yönünü tahmin edebilmek büyük öneme sahiptir. Finansal piyasaların gelişimini tahmin etmede kullanılacak değişkenlerden biriside MSCI endeksleridir. Çalışmada gelişmiş piyasaları temsilen Gelişmiş Piyasalar endeksi (MSCIWO), gelişmekte olan piyasaları temsilen MSCIEF Gelişmekte Olan Piyasalar Endeksi kullanılmıştır. Çalışmada global belirsizliklerin, gelişmiş ve gelişmekte olan piyasalara etkisini ölçebilmek amacıyla iki ayrı model kurulmuştur. 2014-2023 aylık verilerin kullanıldığı bu çalışma gelişmiş ve gelişmekte olan piyasalar arasındaki farklılıkları belirlemekte ve bu piyasaların farklı belirsizlik türleri karşısında nasıl tepki verdiğini göstermektedir. Çalışmadan elde edilen sonuçlar, Küresel Ekonomik Politika Belirsizliği Endeksi (GEPU) değişkeninin gelişmiş ve gelişmekte olan sermaye piyasalarına etkisinin uzun dönemde pozitif olduğunu göstermektedir. Bununla birlikte Jeopolitik Risk Endeksi (GPR) değişkeninin her iki piyasaya olan etkisinin uzun dönemde negatif olduğu tespit edilmiştir. Analiz sonuçları VIX değişkeninin gelişmiş piyasalara olan etkisinin anlamlı olmadığını gelişmekte olan piyasalara etkisinin ise negatif olduğunu göstermiştir.

Keywords

Global Belirsizlikler, Gelişmiş ve Gelişmekte Olan Piyasalar, Yapısal VAR Modeli

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