Türkiye’de Borsa ve Makroekonomik Değişkenler Arasındaki Nedensellik İlişkisi: Dalgacık Bağdaşıklığı Analizi ile Yeniden İnceleme

Year 2020, , 229 - 254, 30.08.2020

Remzi Gök

https://doi.org/10.18070/erciyesiibd.666618

Cited By: 2

Abstract

Bu çalışmada makroekonomik değişkenlere ait (Bist100, 2 yıllık devlet tahvil faizi, 5 yıllık CDS, döviz sepeti, gram altın) eşbütünleşme ve nedensellik ilişkisi araştırılmıştır. 2011-01-14 ve 2019-04-30 arası günlük kapanış fiyatları kullanılarak önemli ampirik bulgular elde edilmiştir. Öncelikle, tüm değişkenler birinci farkta durağandır. İkincisi, oluşturulan yirmi modelin on üçünde eşbütünleşme ilişkisi tespit edilmiştir. Üçüncüsü, VECM modeline göre kısa ve uzun dönemli tek ve çift yönlü nedensellik bulgularına rastlanmıştır. Dördüncüsü, dalgacık bağdaşıklığı test sonuçlarına göre Bist100-döviz sepeti ve Bist100-altın fiyatları zıt yönde; tahvil faizleri-döviz sepeti, tahvil faizleri-altın fiyatları ve CDS-altın fiyatları aynı yönde hareket etmektedir. Ayrıca, 16-128 günlük periyotta ve 2013-2017 yılları arasında döviz sepeti, Bist100 endeksini tek yönlü olarak takip etmektedir. Durağan değişkenlerin ele alındığı testte, Bist100 ile CDS arasındaki anlamsız ve altın-döviz sepeti arasındaki iki yönlü hariç olmak üzere, diğer değişkenler arasında tek yönlü varyansta nedensellik ilişkisi bulunmuştur. Bu sonuçlar portföy ve risk yönetimi ve finansal istikrarın sağlanmasına yönelik alınacak kararlar için büyük öneme sahiptir.

Keywords

Dalgacıklar, Hisse, Altın, CDS

Causality Between Stock Market and Macroeconomic Variables in Turkey: New Evidence From Wavelet Coherence Analysis

Abstract

We examine the dependence and causal linkages among selected macroeconomic variables, namely BIST100, bond yields, CDS, currency basket, and gold prices, in Turkey. Using daily data covering the period 2011-01-14 to 2019-04-30, we find the following empirical results. First, all variables are found to be integrated into the first order, namely stationary in first log-difference. Second, our paper detects evidence of significant interdependence in thirteen out of twenty pairs of variables. Third, the findings of the VECM test reveal unidirectional and bidirectional causalities in the short- and long-run. Fourth, the results of wavelet coherence analysis highlight a negative relationship for the pairs of BIST100-currency basket and BIST100-gold prices while positive linkages are observed for the pairs of bond rates-currency basket, bond rates-gold prices, and CDS-gold prices. In addition, the BIST100 index unidirectionally leads currency basket between 16- and 128-day holding periods between 2013-2017 years. Lastly, there exist unidirectional causal linkages among changes in prices for all the pairs of variables, except for BIST100-CDS with noncausality and gold-currency basket with two-way causality. Our findings yield significant implications for portfolio and risk management and financial stability.

Keywords

Wavelets, Stock, Gold, CDS

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