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

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

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

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

References

1. Abdioğlu, Z., & Değirmenci, N. (2014). Petrol fiyatları-hisse senedi fiyatları ilişkisi: BİST sektörel analiz. Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 5(8), 1-24. https://doi.org/10.18025/kauiibf.88612 google scholar
2. Aimer, N., & Lusta, A. (2022). Asymmetric effects of oil shocks on economic policy uncertainty. Energy, 241, 122712. https://doi.org/10.1016/j.energy.2021.122712 google scholar
3. Alper, D., & Kara, E. (2017). Borsa İstanbul’da hisse senedi getirilerini etkileyen makroekonomik faktörler: BIST sınai endeksi üzerine bir araştırma. Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 22(3), 713-730. google scholar
4. Antonakakis, N., Chatziantoniou, I., & Filis, G. (2014). Dynamic spillovers of oil price shocks and economic policy uncertainty. Energy Economics. 44, 433-447. google scholar
5. Apostolakis, G. N., Floros, C., Gkillas, K., & Wohar, M. (2021). Financial stress, economic policy uncertainty, and oil price uncertainty. Energy Economics, 104, 105686. https://doi.org/10.1016/j.eneco.2021.105686 google scholar
6. Avcı, Ö. B. (2015). Petrol fiyatlarının hisse senedi piyasasına etkisi. Adnan Menderes Üniversitesi Sosyal Bilimler Enstitüsü Dergisi. 2(3), 27-34. google scholar
7. Aydin, M., Pata, U. K., & Inal, V. (2022). Economic policy uncertainty and stock prices in BRIC countries: Evidence from asymmetric frequency domain causality approach. Applied Economic Analysis, 30(89), 114-129. https://doi.org/10.1108/AEA-12-2020-0172 google scholar
8. Badshah, I., Demirer, R., & Suleman, M. T. (2019). The effect of economic policy uncertainty on stock-commodity correlations and its implications on optimal hedging. Energy Economics, 84, 104553. https://doi.org/10.1016/j.eneco.2019.104553 google scholar

9. Bernanke, B. S. (1986). Alternative explanations of money-income correlation. Carnegie-Rochester Conference Series on Public Policy, 25, 49-100. google scholar
10. Bernanke, B.S. (1983), Irreversibility, uncertainty, and cyclical investment. The Quarterly Journal of Economics. 98(1). 85-106. google scholar
11. Bildirici, M. E., & Badur, M. M. (2019). The effects of oil and gasoline prices on confidence and stock return of the energy companies for Turkey and the US. Energy, 173, 1234-1241. https://doi.org/10.1016/j.energy.2019.02.137 google scholar
12. Caporale, G. M., Çatık, A. N., Huyuguzel Kısla, G. S., Helmi, M. H., & Akdeniz, C. (2022). Oil prices and sectoral stock returns in the BRICS-T countries: A time-varying approach. Resources Policy, 79, 103044. https://doi.org/10.1016/j.resourpol.2022.103044 google scholar
13. CBRT. (2023). Electronic Data Delivery System. https://evds2.tcmb.gov.tr/ (Accessed 16 September 2023). google scholar
14. Çetin, H., & Altun, N. (2019). Petrol fiyatlarının ABD ve Birleşik Krallığın borsa getirileri üzerine etkisi. Maliye Finans Yazıları.111, 135-154. https://doi.org/10.33203/mfy.487762 google scholar
15. Çevik, N. K., Çevik, E. I., & Dibooglu, S. (2020). Oil prices, stock market returns and volatility spillovers: Evidence from Turkey. Journal of Policy Modeling, 42(3), 597-614. https://doi.org/10.1016/j.jpolmod.2020.01.006 google scholar
16. Chang, H.-W., Chang, T., Ling, Y. H., & Yang, Y.-L. (2023). Dynamical linkages between the Brent oil price and stock markets in BRICS using quantile connectedness approach. Finance Research Letters, 54, 103748. https://doi.org/10.1016/j.frl.2023.103748 google scholar
17. Chang, T., Chen, W.-Y., Gupta, R., & Nguyen, D. K. (2015). Are stock prices related to the political uncertainty index in OECD countries? Evidence from the bootstrap panel causality test. Economic Systems, 39(2), 288-300. https://doi.org/10.1016/j.ecosys.2014.10.005 google scholar
18. Cheikh, N.B., Naceur, S.B., Kanaan, O., & Rault, C. (2021). Investigating the asymmetric impact of oil prices on GCC stock markets. Economic Modelling, 102, 105589. https://doi.org/10.1016/j.econmod.2021.105589 google scholar
19. Cihangir, Ç. K., & Koçoğlu, Ş. (2022). Oil prices, economic policy uncertainty and stock market returns in oil importing countries: The impact of Covid-19 pandemic. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 40(1), 144-163. https://doi.org/10.17065/huniibf.933167 google scholar
20. Çıtak, F., & Kendirli, S. (2019). Petrol fiyatlarının döviz kuru ve hisse senedi getirileri üzerindeki asimetrik etkisi: Türkiye örneği. Finans Ekonomi ve Sosyal Araştırmalar Dergisi, 4(4), 643-658. https://doi.org/10.29106/fesa.658845 google scholar
21. Civcir, I., & Akkoc, U. (2021). Non-linear ARDL approach to the oil-stock nexus: Detailed sectoral analysis of the Turkish stock market. Resources Policy, 74, 102424. https://doi.org/10.1016/j.resourpol.2021.102424 google scholar
22. Cooley, T. F., & Leroy, S. F. (1985). A theoretical macroeconometrics: A critique. Journal of Monetary Economics, 16(3), 283-308. google scholar
23. Dakhlaoui, I., & Aloui, C. (2016). The interactive relationship between the US economic policy uncertainty and BRIC stock markets. International Economics, 146, 141-157. https://doi.org/10.1016/j.inteco.2015.12.002 google scholar
24. Demir, E., & Ersan, O. (2018). The impact of economic policy uncertainty on stock returns of Turkish tourism companies. Current Issues in Tourism, 21(8), 847-855. https://doi.org/10.1080/13683500.2016.1217195 google scholar
25. Dickey, D.A. & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit. Econometrica, 49 (4), 1057-1072. google scholar
26. Ding, Y., Liu, Y., & Failler, P. (2022). The impact of uncertainties on crude oil prices: Based on a quantile-on-quantile method. Energies, 15(10), 3510. https://doi.org/10.3390/en15103510 google scholar
27. Dixit, A. (1989). Entry and exit decisions under uncertainty. Journal of Political Economy, 97(3), 620-638. https://doi.org/10.1086/261619 google scholar
28. Dornbusch, R. & Fisher, S. (1980). Exchange rates and the current account. American Economic Review, 70(5), 960-971. google scholar
29. Enders, W. (2010). Applied econometric time series. Wiley, UK. google scholar
30. Fasanya, I. O., Oyewole, O. J., Adekoya, O. B., & Badaru, F. O. (2021). Oil price and stock market behaviour in GCC countries: Do asymmetries and structural breaks matter? Energy Strategy Reviews, 36, 100682. https://doi.org/10.1016/j.esr.2021.100682 google scholar
31. Federal Reserve Economic (FRED). (2023). Trade Policy Uncertainty Index. https://fred.stlouisfed.org/searchresults?st=global+economic+policy. (Accessed 16 September 2023). google scholar
32. Gao, X., Ren, Y., & Li, X. (2019). The interdependence of global oil price, China’s stock price and economic policy uncertainty. Australian Economic Papers, 58(4), 398-415. https://doi.org/10.1111/1467-8454.12160 google scholar
33. Ge, Z. (2023). The asymmetric impact of oil price shocks on China stock market: Evidence from quantile-on-quantile regression. The Quarterly Review of Economics and Finance, 89, 120-125. https://doi.org/10.1016/j.qref.2023.03.009 google scholar
34. Ghani, M., & Ghani, U. (2023). Economic policy uncertainty and emerging stock market volatility. Asia-Pacific Financial Markets. https://doi.org/10.1007/s10690-023-09410-1 google scholar
35. Glaister, S. (1984). Mathematical Methods for Economists. 3rd edition. NJ: Wiley-Blackwell. google scholar
36. Gujarati, D. N. (2006). Temel Ekonometri. (Çev: Ümit Senesen, Gülay Günlük Senesen). İstanbul: Literatür Yayıncılık. google scholar
37. Güler, S., & Tunç, R. (2010). Petrol fiyat riski ve hisse senedi fiyatları arasındaki ilişkinin belirlenmesi: Türkiye’de enerji sektörü üzerinde bir uygulama. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 24(4), 297-315. google scholar
38. Güneş, S., Gürel, S. P., & Cambazoğlu, B. (2013). Dış ticaret hadleri, dünya petrol fiyatları ve döviz kuru ilişkisi, yapısal VAR analizi: Türkiye örneği. Uluslararası Yönetim İktisat ve İşletme Dergisi, 9 (20), 1-17. google scholar
39. Guo, P., Zhu, H., & You, W. (2018). Asymmetric dependence between economic policy uncertainty and stock market returns in G7 and BRIC: A quantile regression approach. Finance Research Letters, 25, 251-258. https://doi.org/10.1016/j.frl.2017.11.001 google scholar
40. Hacıhasanoğlu, E., & Soytaş, U. (2011). Emtia fiyatları ile hisse senedi piyasaları arasındaki ilişki. İşletme Fakültesi Dergisi. 12(1), 53-65. google scholar
41. Hailemariam, A., Smyth, R., & Zhang, X. (2019). Oil prices and economic policy uncertainty: Evidence from a nonparametric panel data model. Energy Economics, 83, 40-51. https://doi.org/10.1016/j.eneco.2019.06.010 google scholar
42. Hamilton, J.D., (1983). Oil and the macroeconomy since World war II. Journal ofPolitical Economy. 91 (2), 228-248. google scholar
43. Hoque, M. E., & Azlan Shah Zaidi, M. (2020). Impacts of global economic-policy uncertainty on emerging stock market: Evidence from linear and non-linear models. Prague Economic Papers, 29(1), 53-66. https://doi.org/10.18267/j.pep.725 google scholar
44. Huang, R. D., Masulis, R. W., & Stoll, H. R. (1996). Energy shocks and financial markets. Journal of Futures Markets, 16(1), 1-27. google scholar
45. Hwang, I., & Kim, J. (2021). Oil price shocks and the US stock market: A nonlinear approach. Journal of Empirical Finance, 64, 23-36. https://doi.org/10.1016/j.jempfin.2021.08.004 google scholar
46. İltaş, Y. & Demirgüneş, K. (2020). Döviz kurunun Borsa İstanbul Sanayi Endeksi üzerindeki etkisi: Yapısal kırılmaları modellemede farklı yaklaşımlar kullanan eşbütünleşme testlerinden bulgular. Üçüncü Sektör Sosyal Ekonomi Dergisi, 55(2), 972-988. google scholar
47. International Energy Agency (IEA). (2023). World Energy Balances: Overview. https://www.iea.org/reports/world-energy-balances-overview/world. (Accessed 16 September 2023). google scholar
48. İşcan, E. (2020). Petrol fiyatının hisse senedi piyasası üzerindeki etkisi. Maliye Dergisi. 158, 607-617. google scholar
49. Jiang, W., & Liu, Y. (2021). The asymmetric effect of crude oil prices on stock prices in major international financial markets. The North American Journal of Economics and Finance, 56, 101357. https://doi.org/10.1016/j.najef.2020.101357 google scholar
50. Jones, C. M., & Kaul, G. (1996). Oil and the stock markets. The Journal of Finance, 51(2), 463-491. https://doi.org/10.1111/j.1540-6261.1996.tb02691.x google scholar
51. Kakacak, K., Meriç, E., & Temizel, F. (2020). Petrol fiyatlarının BIST endeksi üzerine etkisinin VAR yöntemi ile analizi. Business & Management Studies: An International Journal, 8(5), 3751-3771. https://doi.org/10.15295/bmij.v8i5.1532 google scholar
52. Kang, W., & Ratti, R. A. (2013). Oil shocks, policy uncertainty and stock market return. Journal of International Financial Markets, Institutions and Money, 26, 305-318. https://doi.org/10.1016/j.intfin.2013.07.001 google scholar
53. Kang, W., & Ratti, R. A. (2015). Oil shocks, policy uncertainty and stock returns in China. Economics of Transition, 23(4), 657-676. https://doi.org/10.1111/ecot.12062 google scholar
54. Kaya, A., & Binici, Ö. (2014). BIST kimya, petrol, plastik endeksi hisse senedi fiyatları ile petrol fiyatları arasındaki ilişkinin incelenmesi. C.Ü. İktisadi ve İdari Bilimler Dergisi, 15(1), 383-395 google scholar
55. Khan, M. I., Teng, J.-Z., Khan, M. K., Jadoon, A. U., & Khan, M. F. (2021). The impact of oil prices on stock market development in Pakistan: Evidence with a novel dynamic simulated ARDL approach. Resources Policy, 70, 101899. https://doi.org/10.1016/j.resourpol.2020.101899 google scholar
56. Khan, N., Saleem, A., & Ozkan, O. (2023). Do geopolitical oil price risk influence stock market returns and volatility of Pakistan: Evidence from novel non-parametric quantile causality approach. Resources Policy, 81, 103355. https://doi.org/10.1016/j.resourpol.2023.103355 google scholar
57. Ko, J.-H., & Lee, C.-M. (2015). International economic policy uncertainty and stock prices: Wavelet approach. Economics Letters, 134, 118-122. https://doi.org/10.1016/j.econlet.2015.07.012 google scholar
58. Li, X., Balcilar, M., Gupta, R., & Chang, T. (2016). The Causal Relationship Between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling Window Approach. Emerging Markets Finance and Trade, 52(3), 674-689. https://doi.org/10.1080/1540496X.2014.998564 google scholar
59. Lin, B., & Bai, R. (2021). Oil prices and economic policy uncertainty: Evidence from global, oil importers, and exporters’ perspective. Research in International Business and Finance, 56, 101357. https://doi.org/10.1016/j.ribaf.2020.101357 google scholar
60. Liu, F., Xu, J., & Ai, C. (2023). Heterogeneous impacts of oil prices on China’s stock market: Based on a new decomposition method. Energy, 268, 126644. https://doi.org/10.1016/j.energy.2023.126644 google scholar
61. Lütkepohl, H. (2005). New introduction to multiple time series analysis. Springer, Berlin google scholar
62. Mokni, K. (2020). A dynamic quantile regression model for the relationship between oil price and stock markets in oil-importing and oil-exporting countries. Energy, 213, 118639. https://doi.org/10.1016/j.energy.2020.118639 google scholar
63. Nazif Çatık, A., Huyugüzel Kışla, G., & Akdeniz, C. (2020). Time-varying impact of oil prices on sectoral stock returns: Evidence from Turkey. Resources Policy, 69, 101845. https://doi.org/10.1016/j.resourpol.2020.101845 google scholar
64. OPEC. (2023). World Oil Demand and Supply Balance. https://www.opec.org/. (Accessed 16 September 2023). google scholar
65. Özcan, G., & Karter, Ç. (2020). Türkiye’de petrol fiyatları ve hisse senedi fiyatları arasındaki nedensellik ilişkisi: Boostrap Rolling Window yaklaşımı. Pamukkale Journal of Eurasian Socioeconomic Studies, 7(2), 105-114. https://doi.org/10.34232/pjess.829048 google scholar
66. Ozoguz, A. (2009). Good times or Bad times? Investors’ uncertainty and stock Returns. Review of Financial Studies, 22(11), 4377-4422. https://doi.org/10.1093/rfs/hhn097 google scholar
67. Polat, O. (2020). Time-varying propagations between oil market shocks and a stock market: Evidence from Turkey. Borsa Istanbul Review, 20(3), 236-243. https://doi.org/10.1016/j.bir.2020.01.001 google scholar
68. Rahman, S. (2022). The asymmetric effects of oil price shocks on the U.S. stock market. Energy Economics, 105, 105694. https://doi.org/10.1016/j.eneco.2021.105694 google scholar
69. Raunig, B. (2021). Economic policy uncertainty and stock market volatility: A causality check. Working Paper 234. Oesterreichische Nationalbank. google scholar
70. Sadorsky, P. (1999). Oil price shocks and stock market activity. Energy Economics. 21, 449-469.Saka Ilgın, K. (2022). Ulusal ekonomik politika belirsizliği ile borsa endeksleri arasındaki ilişkinin incelenmesi: Seçilmiş Avrupa ülkeleri için ampirik bir analiz. İktisat Politikası Araştırmaları Dergisi, 9(2), 455-474. https://doi.org/10.26650/JEPR1074582 google scholar
71. Shapiro, M., & Watson, M. (1988). Sources of business cycle fluctuations. NBER Macroeconomic Annual, 3, 111-156. google scholar
72. Sharif, A., Aloui, C., & Yarovaya, L. (2020). COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach. International Review of Financial Analysis, 70, 101496. https://doi.org/10.1016/j.irfa.2020.101496 google scholar
73. Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48, 1-48. google scholar
74. Sims, C. A. (1986). Are forecasting models usable for policy analysis? Federal Reserve Bank of Minneapolis Quarterly Review, 2-16. google scholar
75. Sizer, L., & Karagöz, K. (2022). Petrol fiyatlarının BIST ulaştırma endeksi üzerindeki asimetrik etkisi: NARDL yaklaşımı. Bursa Uludağ Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 41(2), 167-187 google scholar
76. Skrinjaric, T., & Orlovic, Z. (2020). Economic policy uncertainty and stock market spillovers: Case of selected CEE markets. Mathematics, 8(7), 1077. https://doi.org/10.3390/math8071077 google scholar
77. Sum, V. (2012). Economic policy uncertainty and stock market performance: Evidence from the European Union, Croatia, Norway, Russia, Switzerland, Turkey and Ukraine. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2094175 google scholar
78. Sun, X., Chen, X., Wang, J., & Li, J. (2020). Multi-scale interactions between economic policy uncertainty and oil prices in time-frequency domains. The North American Journal of Economics and Finance, 51, 100854. https://doi.org/10.1016/j.najef.2018.10.002 google scholar
79. Toparlı, E. A., Çatık, A. N., & Balcılar, M. (2019). The impact of oil prices on the stock returns in Turkey: A TVP-VAR approach. Physica A: Statistical Mechanics and Its Applications, 535, 122392. https://doi.org/10.1016/j.physa.2019.122392 google scholar
80. Tursoy, T., & Faisal, F. (2018). The impact of gold and crude oil prices on stock market in Turkey: Empirical evidences from ARDL bounds test and combined cointegration. Resources Policy, 55, 49-54. https://doi.org/10.1016/j.resourpol.2017.10.014 google scholar
81. Ulrich, M. (2012). Economic policy uncertainty & asset price volatility. SSRN Electronic Journal google scholar
82. Wei, Y., Yu, B., Guo, X., & Zhang, C. (2023). The impact of oil price shocks on the U.S. and Chinese stock markets: A quantitative structural analysis. Energy Reports, 10, 15-28. https://doi.org/10.1016/j.egyr.2023.05.268 google scholar
83. Xiong, X., Bian, Y., & Shen, D. (2018). The time-varying correlation between policy uncertainty and stock returns: Evidence from China. Physica A: Statistical Mechanics and Its Applications, 499, 413-419. https://doi.org/10.1016/j.physa.2018.02.034 google scholar
84. Yıldırım, S., Cavadova, R., Esen, E. & Temizel, F. (2021). BIST 100 Endeksinin döviz kuru değişimleri ile simetrik ve asimetrik ilişkisi. Finansal Araştırmalar ve Çalışmalar Dergisi, 13(24), 272-284. google scholar
85. Yuan, D., Li, S., Li, R., & Zhang, F. (2022). Economic policy uncertainty, oil and stock markets in BRIC: Evidence from quantiles analysis. Energy Economics, 110, 105972. https://doi.org/10.1016/j.eneco.2022.105972 google scholar
86. Zhao, J., Cui, L., Liu, W., & Zhang, Q. (2023). Extreme risk spillover effects of international oil prices on the Chinese stock market: A GARCH-EVT-Copula-CoVaR approach. Resources Policy, 86, 104142. https://doi.org/10.1016/j.resourpol.2023.104142 google scholar