Threshold Effect of Inflation on the Relationship between Stock Market Index and Interest Rate

Abstract

This research examines how the deposit interest rate impacts Turkey’s stock market index and the inflation rate from January 2003 to June 2024. The empirical findings derived from the analyses conducted under the threshold regression model indicate that the inflation rate has a single threshold impact on the connection among the stock market index and the interest rate. Thus, when inflation rates are at 2.67% or lower, rising bank deposit interest rates negatively impact the stock market index. Nevertheless, when inflation rates exceed 2.67%, the rise in bank deposit interest rates positively influences the stock market index. As a result, empirical evidence indicates that deposit interest rates have a nonlinear effect on the stock market index in Turkey, which is influenced by the level of inflation. These findings suggest policy implications for investors concerning the impact of the inflation rate on the connection among stock market indices and deposit rates.

Keywords

• Stock Market Index
• Inflation
• Interest Rate
• Threshold Regression

Borsa Endeksi ile Faiz Oranı Arasındaki İlişkide Enflasyonun Eşik Etkisi

Abstract

Bu çalışma, Türkiye bağlamında Ocak 2003- Haziran 2024 döneminde enflasyon düzeyine bağlı olarak mevduat faiz oranının borsa endeksi üzerindeki etkisine odaklanmıştır. Eşik regresyon modeli çerçevesinde yapılan analizlerden elde edilen ampirik sonuçlar enflasyon oranının, borsa endeksi ile faiz oranı arasındaki ilişkide tek bir eşik etkisine sahip olduğunu göstermektedir. Buna göre %2,67 ve altındaki enflasyon oranları döneminde banka mevduat faiz oranındaki artış borsa endeksini negatif yönde etkilemektedir. Ancak %2,67 üstündeki enflasyon oranı dönemlerinde ise banka mevduat faiz oranındaki artış borsa endeksi üzerinde pozitif yönlü etkiye neden olmaktadır. Bu nedenle, enflasyon düzeyine bağlı olarak mevduat faiz oranlarının Türkiye’deki borsa endeksi üzerinde doğrusal olmayan bir etkiye sahip olduğuna dair ampirik kanıtlara ulaşılmıştır. Elde edilen bu sonuçların yatırımcılar için borsa endeksi ile mevduat faizleri arasındaki ilişkide enflasyon oranının rolüne ilişkin politika çıkarımları sağladığı söylenebilir.

Keywords

• Borsa Endeksi
• Enflasyon
• Faiz Oranları
• Eşik Regresyon

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