Ekonomik Politik Belirsizlik, Finansal Faktörler ve Türkiye'de BIST 100 Oynaklığı: TVP-VAR Modelinden Kanıtlar

Abstract

Bu çalışma, makroekonomik ve finansal faktörlerin zaman içinde Türkiye borsa volatilitesini nasıl etkilediğini incelemektedir. Bağımlı değişken, finansal piyasalarda yaygın olarak görülen volatilite kümelenmesini yansıtan, GARCH(1,1) modeline dayalı koşullu volatilite serisidir. Bağımsız değişkenler ise Baker, Bloom ve Davis (2016) tarafından geliştirilen Ekonomik Politika Belirsizliği (EPU) endeksi, Türkiye ile ABD arasında 10 yıllık devlet tahvillerine ilişkin getiri farkı ve USD/TRY döviz kuru getirisidir. Analizde Şubat 2010 ile Aralık 2024 arasındaki aylık veriler kullanılmıştır. TVP-VAR modeli tahmin edilmiş ve her dönem için ayrı ayrı hesaplanan sonuçtaki etki tepki fonksiyonları, üç boyutlu yüzey grafikleri olarak sunulmuştur. Bulgular, EPU şoklarının 2014 - 2015 küresel para politikası normalleşme süreci boyunca BIST 100 volatilitesi üzerinde güçlü bir pozitif etkiye sahip olduğunu, ancak 2018 döviz krizi sırasında bu etkinin negatife döndüğünü göstermektedir. Faiz oranı farkı şokları, 2010 - 2013 döneminde inandırıcı para politikası yoluyla volatiliteyi dizginlemiştir. Ancak bu istikrar sağlayıcı etki, 2021 - 2022 dönemindeki geleneksel olmayan para politikası sürecinde neredeyse ortadan kalkmıştır. Döviz kuru getiri şokları, 2016 - 2018 döneminde en derin olumsuz etkisine ulaşmış, ardından geleneksel para politikasına geri dönülmesiyle kısmi bir toparlanma göstermiştir.

Keywords

• BIST 100 Oynaklığı
• Ekonomik Politik Belirsizlik
• TVP-VAR
• Faiz Koridoru
• Kur Getirisi

Economic Policy Uncertainty, Financial Factors, and BIST 100 Volatility in Türkiye: Evidence from A TVP-VAR Model

Abstract

This study examines how macroeconomic and financial factors affect Turkish stock market volatility over time. The dependent variable is a GARCH(1,1) based conditional volatility series that captures the volatility clustering common in financial markets. The independent variables are the Economic Policy Uncertainty (EPU) index of Baker, Bloom, and Davis (2016), the sovereign yield spread between Türkiye and the United States on 10-year government bonds, and the USD/TRY exchange rate return. The analysis uses monthly data from February 2010 to December 2024. A TVP-VAR model is estimated, and the resulting impulse response functions, computed separately for each period, are presented as three-dimensional surface plots. The findings indicate that EPU shocks have a strongly positive effect on BIST 100 volatility during the 2014-2015 global monetary policy normalization process, but turn negative during the 2018 currency crisis. Interest rate spread shocks discipline volatility through credible monetary policy in the 2010-2013 period, yet this stabilizing effect nearly vanishes during the unconventional monetary policy episode of 2021-2022. Exchange rate return shocks reach their strongest negative effect in the 2016-2018 period before exhibiting a partial recovery following the return to orthodox monetary policy.

Keywords

• BIST 100 Volatility
• Economic Policy Uncertainty
• TVP-VAR
• Interest Spread
• Exchange Rate Return

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