Faiz, Döviz Kuru, Altın Fiyatları ve BIST100 Endeksi İlişkisinin Ekonometrik Analizi: Türkiye Üzerine Bir Uygulama

Abstract

Bu çalışmada BIST100 hisse senedi endeksinin faiz, döviz kuru ve altın fiyatları açısından duyarlılığının belirlenmesi amaçlanmıştır. Bu amaçla 4 Ocak 2000-28 Haziran 2021 dönemini kapsayan günlük veriler kullanılarak tüm örneklem dönemine ilişkin değişkenler arasındaki uzun ve kısa dönem ilişkilerinin COVID-19 pandemi dönemi ile kıyaslandığında nasıl seyrettiği Johansen-Juselius eşbütünleşme analizi, Granger nedensellik testi, varyans ayrıştırma ve etki-tepki analizleri uygulanarak araştırılmıştır. Elde edilen bulgulara göre, eşbütünleşme analizi için bağımlı değişkenin BIST100 endeksi getirisi olduğu durumda değişkenler arasında bir uzun dönem ilişki bulunmuş olup; altın fiyatlarının BIST100 üzerinde anlamlı bir etkisi bulunamamıştır. Granger nedensellik analizi sonuçları ise ele alınan dönem için BIST 100 endeksi ile hem döviz kuru hem de faiz serisi arasında çift yönlü bir nedensellik ilişkisinin varlığını saptarken, BIST100 endeksinden altın fiyatlarına doğru tek yönlü bir nedensellik ilişkisi ortaya koymuştur. COVID-19 dönemi ele alındığında %5 anlamlılık düzeyinde seriler arasında bir uzun dönem ilişkisi bulunamamış olup, %10 anlamlılık düzeyinde bulunan bir eşbütünleşik ilişki için ise hata düzeltme mekanizması yalnızca bağımlı değişkenin faiz oranları olduğu durumda çalışmıştır. Ayrıca bu dönemde genel dönemdeki kısa dönem ilişkilerinin tersine BIST100 endeksindeki değişimi serinin kendisinden sonra en çok açıklayan değişkenin altın fiyatları olduğu saptanmış olup, altın fiyatlarından BIST100’e doğru ve BIST100’den faiz oranlarına doğru tek yönlü nedensellik ilişkileri elde edilmiştir.

Keywords

• BIST100
• Altın Fiyatları
• Johansen Eşbütünleşme
• Granger Nedensellik
• Etki-Tepki Analizi

Econometric Analysis of the Relationship Among Interest Rate, Exchange Rate, Gold Prices and ISE100 Index: An Application on Turkey

Abstract

In this study, it has been aimed to determine the sensitivity of the ISE100 stock index in terms of interest rate, exchange rate and gold prices. For this purpose, by applying Johansen-Juselius cointegration analysis, Granger causality test, variance decomposition and impulse-response analysis for daily data covering the period January 4, 2000-June 28, 2021; it has been investigated how the long and short term relationships regarding the entire sample among the variables follow a route when compared to the COVID-19 period. According to the findings, in case the dependent variable for the cointegration analysis is the ISE100 index return, a long-term relationship has been detected among the variables; however, no significant effect of gold prices on ISE100 has been found. Besides, Granger causality analysis reveals a unidirectional causality relationship from ISE100 to gold prices, while detecting the existence of a bidirectional causality relationship between the ISE100 index and both the exchange rate & the interest rate series for the period under consideration. Considering the COVID-19 period, no long-term relationship has been found at the 5% significance level and for a cointegrating relationship detected at 10% level, the error correction mechanism has only worked when the dependent variable is the interest rate. Additionally, in this period, contrary to the short-term relationships in the general period, the variable explaining the change in the ISE100 index the most after the series itself is the gold prices, and unidirectional causality relationships have been obtained from gold prices to ISE100 and from ISE100 to interest rates.

Keywords

• ISE100
• Gold Prices
• Johansen Cointegration
• Granger Causality Test
• Impulse-Response Analysis

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