The Effects of the General Level of Prices and Interest Rate Policies on Financial Markets: RALS ADF Unit Root Test Approach

Year 2024, Issue: 36, 361 - 381, 31.05.2024

Rahman Aydın

https://doi.org/10.54600/igdirsosbilder.1438552

Abstract

This study investigates the relationship between the general level of prices, FED interest rate policy and financial markets in the Turkish economy for the period 2007Q1-2023Q3. The inflation and stock price data used to represent the general price level and BIST100 index are obtained from the CBRT database. The data used to represent the FED interest rate policy is obtained from the IMF database. In addition, economic policy uncertainty data is included in the study to investigate the effects of political and economic uncertainties on financial markets. RALS-ADF unit root test, AARDL bounds test and Hatemi-J asymmetric causality test are used to determine the relationship between variables. According to the findings obtained from the extended ARDL test, only inflation has a positive effect on BIST100 in the long run and the Fisher hypothesis is valid. In the short run, only FED interest rate policy has a positive effect on BIST100. According to the results obtained from the Hatemi-J asymmetric causality test, positive and negative shocks in inflation data are significant on BIST100, but positive shocks are more effective, while positive shocks in economic policy uncertainty data have a positive effect on BIST100.

Keywords

Financial Markets, Inflation, Interest Rate, Economic Policy Uncertainty, Time Series Analysis

Fiyatlar Genel Seviyesinin ve Faiz Politikalarının Finansal Piyasalar Üzerine Etkisi: RALS ADF Birim Kök Testi Yaklaşımı

Abstract

Bu çalışmada 2007Q1-2023Q3 dönemleri arası Türkiye ekonomisinde fiyatlar genel seviyesi, FED faiz politikası ve finansal piyasalar arasındaki ilişki araştırılmaktadır. Çalışmada fiyatlar genel seviyesini ve BIST100 endeksini temsilen kullanılan enflasyon ve hisse senedi fiyatı verisi TCMB tabanından elde edilmiştir. FED faiz politikasını temsilen kullanılan veri ise IMF veri tabanından elde edilmiştir. Ayrıca siyasi ve ekonomik belirsizliklerin finansal piyasalar üzerinde etkilerini araştırmak üzere ekonomik politika belirsizliği verisi çalışmaya dahil edilmiştir. Çalışmada değişkenler arasındaki ilişkiyi belirlemek üzere RALS-ADF birim kök testi, AARDL sınır testi ve Hatemi-J asimetrik nedensellik testleri kullanılmıştır. Genişletilmiş ARDL testinden elde edilen bulgulara göre uzun dönemde sadece enflasyonun BIST100 üzerinde olumlu etkisi olduğu ve Fisher hipotezinin geçerli olduğu belirlenmiştir. Kısa dönemde ise sadece FED faiz politikasının BIST100 üzerinde olumlu etkisi olduğu tespit edilmiştir. Hatemi-J asimetrik nedensellik testinden elde edilen sonuçlara göre, enflasyon verisinde meydana gelen pozitif ve negatif şokların BIST100 üzerinde anlamlı olduğu ancak pozitif şokların daha etkili olduğu, ekonomik politika belirsizliği verisinde meydana gelen pozitif şokların ise BIST100 üzerinde olumlu etkisi olduğu sonucuna ulaşılmıştır.

Keywords

Finansal Piyasalar, Enflasyon, Faiz, Ekonomik Politika Belirsizliği, Zaman Serisi Analizi

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