Year 2020, Volume 5 , Issue 12, Pages 141 - 155 2020-06-30

STRUCTURAL VAR MODEL ANALYSIS OF THE IMPACT OF MONETARY POLICY DECISIONS ON BIST100
PARA POLİTİKASI KARARLARININ BIST100’E ETKİSİNİN YAPISAL VAR MODELİ İLE ANALİZİ

Mortaza OJAGHLOU [1] , Özge DEMİRKALE [2]


This study aims to investigate the long-term impact of monetary policy decisions of the Central Bank of Republic of Turkey and monetary variables on Borsa Istanbul. To achieve this goal HP (Hodrick–Prescott) and long run (F matrix) of the Structured VAR (SVAR) model has been used in the study. The analysis covers the periods 2005Q04 and 2019Q03. In order to measure the impact of monetary policy of the Central Bank of the Republic of Turkey and monetary variables on BIST100, two models were applied which included the money supply of M2 and M3. The variables used in the study were M2, M3 money supply, inflation and short-term interest rate, exchange rate, S&P500 and GDP values. The Long Run Structural VAR model was used to see how the sudden shocks given to the variables - included in the analysis - would affect Borsa Istanbul. Empirical findings from the analysis the conclusion reached that the effects of exchange rate, money supply (M2 and M3), inflation and interest rate on BIST100 were negative in both applied models, but the effects of GDP and S&P were differed.

Bu çalışma Türkiye Cumhuriyeti Merkez Bankası para politikası kararlarının ve parasal değişkenlerin Borsa İstanbul üzerindeki uzun dönemli etkisini ölçmeyi amaçlamaktadır. Söz konusu amaca ulaşabilmek için HP filter (Hodrick–Prescott) ve Uzun Dönem (F matris) Yapısal VAR Modeli yöntemlerinden yararlanılmıştır. Analiz 2005Q04 ve 2019Q03 dönemlerini kapsamaktadır. Türkiye Cumhuriyeti Merkez Bankası para politikası kararlarının ve parasal değişkenlerin BIST100 üzerindeki etkisini ölçebilmek için M2 ve M3 para arzının dahil edildiği iki model kurulmuştur. Çalışmada kullanılan değişkenler M2, M3 para arzı, enflasyon ve kısa dönem faiz oranı, döviz kuru, S&P500 ve GDP değerleridir. Uzun Dönem Yapısal VAR modeli analize dahil edilen değişkenlere verilen ani şokların Borsa İstanbul’u ne yönde etkileyeceğini görmek amacıyla kullanılmıştır. Analizden elde edilen ampirik bulgular döviz kuru, para arzı (M2 ve M3), enflasyon ve faiz oranının BIST100 üzerinde ki etkilerinin kurulan iki modelde de negatif olduğu fakat GDP ve S&P etkisinin farklılık gösterdiği sonucuna ulaşılmıştır.
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Primary Language tr
Subjects Economics, Business Finance
Published Date Yaz
Journal Section Research Papers
Authors

Orcid: 0000-0003-4580-6182
Author: Mortaza OJAGHLOU
Institution: ISTANBUL AYDIN UNIVERSITY
Country: Turkey


Orcid: 0000-0002-4227-3934
Author: Özge DEMİRKALE (Primary Author)
Institution: İSTANBUL AYDIN ÜNİVERSİTESİ
Country: Turkey


Dates

Publication Date : June 30, 2020

Bibtex @research article { iktisad695741, journal = {İktisadi İdari ve Siyasal Araştırmalar Dergisi}, issn = {}, eissn = {2564-7466}, address = {}, publisher = {H. Mustafa PAKSOY}, year = {2020}, volume = {5}, pages = {141 - 155}, doi = {10.25204/iktisad.695741}, title = {PARA POLİTİKASI KARARLARININ BIST100’E ETKİSİNİN YAPISAL VAR MODELİ İLE ANALİZİ}, key = {cite}, author = {Ojaghlou, Mortaza and Demi̇rkale, Özge} }
APA Ojaghlou, M , Demi̇rkale, Ö . (2020). PARA POLİTİKASI KARARLARININ BIST100’E ETKİSİNİN YAPISAL VAR MODELİ İLE ANALİZİ . İktisadi İdari ve Siyasal Araştırmalar Dergisi , 5 (12) , 141-155 . DOI: 10.25204/iktisad.695741
MLA Ojaghlou, M , Demi̇rkale, Ö . "PARA POLİTİKASI KARARLARININ BIST100’E ETKİSİNİN YAPISAL VAR MODELİ İLE ANALİZİ" . İktisadi İdari ve Siyasal Araştırmalar Dergisi 5 (2020 ): 141-155 <https://dergipark.org.tr/en/pub/iktisad/issue/54730/695741>
Chicago Ojaghlou, M , Demi̇rkale, Ö . "PARA POLİTİKASI KARARLARININ BIST100’E ETKİSİNİN YAPISAL VAR MODELİ İLE ANALİZİ". İktisadi İdari ve Siyasal Araştırmalar Dergisi 5 (2020 ): 141-155
RIS TY - JOUR T1 - PARA POLİTİKASI KARARLARININ BIST100’E ETKİSİNİN YAPISAL VAR MODELİ İLE ANALİZİ AU - Mortaza Ojaghlou , Özge Demi̇rkale Y1 - 2020 PY - 2020 N1 - doi: 10.25204/iktisad.695741 DO - 10.25204/iktisad.695741 T2 - İktisadi İdari ve Siyasal Araştırmalar Dergisi JF - Journal JO - JOR SP - 141 EP - 155 VL - 5 IS - 12 SN - -2564-7466 M3 - doi: 10.25204/iktisad.695741 UR - https://doi.org/10.25204/iktisad.695741 Y2 - 2020 ER -
EndNote %0 İktisadi İdari ve Siyasal Araştırmalar Dergisi PARA POLİTİKASI KARARLARININ BIST100’E ETKİSİNİN YAPISAL VAR MODELİ İLE ANALİZİ %A Mortaza Ojaghlou , Özge Demi̇rkale %T PARA POLİTİKASI KARARLARININ BIST100’E ETKİSİNİN YAPISAL VAR MODELİ İLE ANALİZİ %D 2020 %J İktisadi İdari ve Siyasal Araştırmalar Dergisi %P -2564-7466 %V 5 %N 12 %R doi: 10.25204/iktisad.695741 %U 10.25204/iktisad.695741
ISNAD Ojaghlou, Mortaza , Demi̇rkale, Özge . "PARA POLİTİKASI KARARLARININ BIST100’E ETKİSİNİN YAPISAL VAR MODELİ İLE ANALİZİ". İktisadi İdari ve Siyasal Araştırmalar Dergisi 5 / 12 (June 2020): 141-155 . https://doi.org/10.25204/iktisad.695741
AMA Ojaghlou M , Demi̇rkale Ö . PARA POLİTİKASI KARARLARININ BIST100’E ETKİSİNİN YAPISAL VAR MODELİ İLE ANALİZİ. İKTİSAD. 2020; 5(12): 141-155.
Vancouver Ojaghlou M , Demi̇rkale Ö . PARA POLİTİKASI KARARLARININ BIST100’E ETKİSİNİN YAPISAL VAR MODELİ İLE ANALİZİ. İktisadi İdari ve Siyasal Araştırmalar Dergisi. 2020; 5(12): 141-155.