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The Effects of Economic Policy Uncertainty and Oil Price Shocks on Stock Returns: A Structural VAR Analysis on Türkiye

Year 2024, , 158 - 185, 13.08.2024

Fatma Ünlü

https://doi.org/10.26650/JEPR1410149

Abstract

In recent years, the effects of global shocks caused by fluctuations in economic policy uncertainty and oil price fluctuations on financial markets have been among the most frequently discussed topics in the literature and resultantly become the center of attention of researchers and policymakers, especially for fragile economies. This study aims to contribute to the investigation of the effects of global economic policy uncertainty and oil price shocks on stock returns. To this end, the article follows the econometric procedure of structural VAR analysis using Türkiye’s monthly data for the period of 2014:01-2023:06. The study uses the Global Economic Policy Uncertainty Index, the global price of Brent crude oil, the Bursa Istanbul (BIST)-100 Return Index, the Consumer Price Index (CPI)-based real effective exchange rate, and interest rate as its variables. According to the empirical findings obtained from the analysis, a negative relationship exists between global economic policy uncertainty and the BIST-100 Return Index, while a positive relationship exists between the global price of Brent crude oil and the BIST-100 Return Index. However, real exchange rate shocks explain most of the changes in the BIST-100 Return Index. The impact of interest rate changes is also more significant than economic policy uncertainty and oil price shocks. Accordingly, exchange and interest rate changes significantly impact Türkiye’s stock market returns.

Keywords

Economic policy uncertainty Oil prices shocks Stock market SVAR analysis

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Ekonomik Politika Belirsizliği ve Petrol Fiyatı Şoklarının Hisse Senedi Getirileri Üzerindeki Etkileri: Türkiye Üzerine Yapısal VAR Analizi

Year 2024, , 158 - 185, 13.08.2024

Fatma Ünlü

https://doi.org/10.26650/JEPR1410149

Abstract

Son yıllarda ekonomik politika belirsizliğindeki ve petrol fiyatındaki dalgalanmaların yol açtığı küresel şokların finansal piyasalar üzerinde yarattığı etkiler literatürde sıklıkla tartışılan konulardan birisidir. Özellikle kırılgan ekonomiler açısından hem araştırmacıların hem de politika yapıcıların ilgi odağı haline gelmiştir. Bu çalışmada, küresel ekonomik politika belirsizliği ve petrol fiyatı şoklarının hisse senedi getirileri üzerindeki etkilerinin araştırılmasına katkı sağlamak amaçlanmıştır. Bu doğrultuda, Türkiye’nin 2014:01-2023:06 dönemine ait aylık verileri kullanılarak yapısal VAR analizine ilişkin ekonometrik prosedür takip edilmiştir. Değişken olarak ise küresel ekonomik politika belirsizliği endeksi, Brent ham petrolün küresel fiyatı, BIST-100 Getiri Endeksi, TÜFE bazlı reel efektif döviz kuru ve faiz oranı kullanılmıştır. Analizlerden elde edilen ampirik bulgulara göre, küresel ekonomik politika belirsizliği ve BIST getiri endeksi arasında negatif yönlü bir ilişki vardır. Petrol fiyatı değişkeni ile BIST getiri endeksi arasındaki ilişkinin yönü ise pozitiftir. Bununla birlikte, BIST hisse senedi getirilerindeki değişmelerin büyük kısmı reel döviz kuru şokları tarafından açıklanmaktadır. Faiz oranındaki değişmelerin etkisi de ekonomik politika belirsizliği ve petrol fiyatı şoklarından daha fazladır. Bu doğrultuda, Türkiye’de döviz kuru ve faiz oranındaki değişmelerin borsa getirileri üzerinde önemli derecede etkili olduğu söylenebilir.

Keywords

Ekonomik politika belirsizliği Petrol fiyatı şokları Hisse senedi piyasası SVAR analizi

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There are 86 citations in total.

Details

Primary Language Turkish
Subjects Macroeconomics (Other)
Journal Section RESEARCH ARTICLE
Authors

Fatma Ünlü 0000-0003-1822-9965

Publication Date August 13, 2024
Submission Date December 26, 2023
Acceptance Date March 23, 2024
Published in Issue Year 2024

Cite

APA Ünlü, F. (2024). Ekonomik Politika Belirsizliği ve Petrol Fiyatı Şoklarının Hisse Senedi Getirileri Üzerindeki Etkileri: Türkiye Üzerine Yapısal VAR Analizi. İktisat Politikası Araştırmaları Dergisi, 11(2), 158-185. https://doi.org/10.26650/JEPR1410149
AMA Ünlü F. Ekonomik Politika Belirsizliği ve Petrol Fiyatı Şoklarının Hisse Senedi Getirileri Üzerindeki Etkileri: Türkiye Üzerine Yapısal VAR Analizi. JEPR. August 2024;11(2):158-185. doi:10.26650/JEPR1410149
Chicago Ünlü, Fatma. “Ekonomik Politika Belirsizliği Ve Petrol Fiyatı Şoklarının Hisse Senedi Getirileri Üzerindeki Etkileri: Türkiye Üzerine Yapısal VAR Analizi”. İktisat Politikası Araştırmaları Dergisi 11, no. 2 (August 2024): 158-85. https://doi.org/10.26650/JEPR1410149.
EndNote Ünlü F (August 1, 2024) Ekonomik Politika Belirsizliği ve Petrol Fiyatı Şoklarının Hisse Senedi Getirileri Üzerindeki Etkileri: Türkiye Üzerine Yapısal VAR Analizi. İktisat Politikası Araştırmaları Dergisi 11 2 158–185.
IEEE F. Ünlü, “Ekonomik Politika Belirsizliği ve Petrol Fiyatı Şoklarının Hisse Senedi Getirileri Üzerindeki Etkileri: Türkiye Üzerine Yapısal VAR Analizi”, JEPR, vol. 11, no. 2, pp. 158–185, 2024, doi: 10.26650/JEPR1410149.
ISNAD Ünlü, Fatma. “Ekonomik Politika Belirsizliği Ve Petrol Fiyatı Şoklarının Hisse Senedi Getirileri Üzerindeki Etkileri: Türkiye Üzerine Yapısal VAR Analizi”. İktisat Politikası Araştırmaları Dergisi 11/2 (August 2024), 158-185. https://doi.org/10.26650/JEPR1410149.
JAMA Ünlü F. Ekonomik Politika Belirsizliği ve Petrol Fiyatı Şoklarının Hisse Senedi Getirileri Üzerindeki Etkileri: Türkiye Üzerine Yapısal VAR Analizi. JEPR. 2024;11:158–185.
MLA Ünlü, Fatma. “Ekonomik Politika Belirsizliği Ve Petrol Fiyatı Şoklarının Hisse Senedi Getirileri Üzerindeki Etkileri: Türkiye Üzerine Yapısal VAR Analizi”. İktisat Politikası Araştırmaları Dergisi, vol. 11, no. 2, 2024, pp. 158-85, doi:10.26650/JEPR1410149.
Vancouver Ünlü F. Ekonomik Politika Belirsizliği ve Petrol Fiyatı Şoklarının Hisse Senedi Getirileri Üzerindeki Etkileri: Türkiye Üzerine Yapısal VAR Analizi. JEPR. 2024;11(2):158-85.