Evaluating the asymmetric effects of production, interest rate and exchange rate on the Turkish stock prices.

Year 2019, Volume: 19 Issue: 2, 293 - 300, 30.04.2019

Hüseyin Kaya , Barış Soybilgen

https://doi.org/10.21121/eab.556344

Cited By: 4

Abstract

The relationship between stock prices and macro variables has been studied exhaustively
in the literature. However, most of the studies assume that this relationship
is linear. In this paper, we evaluate the asymmetric effects of production, the
interest rate and the exchange rate on Turkish stock prices using non-linear
autoregressive distributed lags models. We find that there are both long-run
and short-run asymmetric relationships between macro variables and Turkish
stock prices. Our results indicate that non-linear models can yield more
plausible results compare to linear models.The relationship between stock prices and macro variables has been studied exhaustively
in the literature. However, most of the studies assume that this relationship
is linear. In this paper, we evaluate the asymmetric effects of production, the
interest rate and the exchange rate on Turkish stock prices using non-linear
autoregressive distributed lags models. We find that there are both long-run
and short-run asymmetric relationships between macro variables and Turkish
stock prices. Our results indicate that non-linear models can yield more
plausible results compare to linear models. 

 

Keywords

Stock Prices, macro variables, interest rate, asymmetry, exchange rate

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