The Relationship between Interest Rates, Exchange Rates, Gold Prices, and Stock Prices: Evidence from the Fourier Analysis

Abstract

This study aims to examine the long-term and short-term relationships between interest rates, exchange rates, gold prices, and stock prices in Türkiye. The relationship between interest rates, exchange rates, gold prices, and stock prices in Türkiye was investigated for the period 2012:05-2024:10 in this study. The study employs traditional unit root tests, Fourier stationarity test, and Fourier cointegration test. The results of the Fourier cointegration analysis reveal a long-term relationship among interest rates, exchange rates, gold prices, and stock prices. The findings indicate that increases in gold prices, exchange rates, and interest rates positively affect stock prices. However, short-term analyses show that these variables do not have a significant effect on stock prices. The study provides important insights that investors and policymakers should consider when making strategic decisions. The results can contribute to understanding the dynamics of financial markets in Türkiye and offer valuable guidance to investors in their decision-making processes related to market behaviors.

Keywords

• Interest Rate
• Exchange Rate
• Gold Prices
• Stock Market
• Fourier Cointegration

Faiz Oranı, Döviz Kuru, Altın Fiyatları ve Hisse Senedi Fiyatları İlişkisi: Fourier Analizinden Kanıtlar

Öz

Bu çalışma, Türkiye'deki faiz oranı, döviz kuru, altın fiyatları ve hisse senedi fiyatları arasındaki uzun ve kısa dönemli ilişkileri incelemeyi amaçlamaktadır. Bu çalışmada Türkiye’deki faiz oranı, döviz kuru, altın fiyatları ve hisse senedi fiyatları arasındaki ilişki 2012:05-2024:10 dönemi kapsamında araştırılmıştır. Çalışma kapsamında geleneksel birim kök testleri, Fourier durağanlık testi ve Fourier eşbütünleşme testi kullanılmıştır. Fourier eşbütünleşme analizi sonucunda faiz oranı, döviz kuru, altın fiyatları ve hisse senedi fiyatları arasında uzun dönemli ilişkinin olduğu görülmüştür. Bulgular, altın fiyatları, döviz kuru ve faiz oranlarındaki artışların hisse senedi fiyatlarını pozitif yönde etkilediğini ortaya koymuştur. Ancak, kısa dönem analizleri, bu değişkenlerin hisse senedi fiyatları üzerinde anlamlı bir etkisinin olmadığını göstermiştir. Çalışma, yatırımcılar ve politika yapıcılar için stratejik kararlar alırken dikkate alınması gereken önemli bulgular sunmaktadır. Sonuçlar, Türkiye’deki finansal piyasaların dinamiklerini ortaya koymada ve piyasa davranışları ile ilgili karar alma süreçlerinde yatırımcılara fayda sağlayabilir.

Anahtar Kelimeler

• Faiz Oranı
• Döviz Kuru
• Altın Fiyatları
• Borsa
• Fourier Eşbütünleşme

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