AN EFFORT TO CONSTRUCT A MECHANISM SIMILAR TO THE TAYLOR RULE MECHANISM: TESTS ON BIST-100

Year 2020, , 79 - 102, 31.01.2020

Hatıra Sadeghzadeh Emsen Ömer Selçuk Emsen , Ömer Yalçınkaya

https://doi.org/10.15637/jlecon.7.006

Abstract

Taylor's rule that is developed for the determination of interest rate, is a mechanism which determines the level of domestic interest rates based on internal and external factors. In the Taylor rule, while inflation and income are internal factors, exchange rate is external factor. Considering the strong functioning of this mechanism in terms of interest, it can be thought that the stock market may follow a similar path. Therefore, in addition to the variables listed in the Taylor rule, interest rate, gold prices and foreign exchange values were included in the model. Thus, while inflation (EA), interest (FA) and income (YA) were taken as internal factors, exchange rate (DA), gold (AA) and foreign stock exchange value (SA) are modeled as foreign element. All variables in models created under the Taylor rule are defined in open terms by subjecting them to Hodrick-Prescot Filtering. For the period between 1998: Q1-2019: Q3, linear and nonlinear models were estimated by L-ARDL and NL-ARDL methods, respectively. In the obtained results, EA variable was significant in L-ARDL results, whereas it was not significant in NL-ARDL results. In addition, all variables in the model were statistically significant. Accordingly, YA, FA and AA variables have negative effects on the stock market; SA and DA variables have positive effects on the stock market. From the obtained findings, stock in the framework of Taylor rule logic mechanisms in Turkey’s economy is seen to be influenced by internal and external variables. The fact that stock exchange has been effected by production that is by the economic growth among other variables put forward that monetary and thus speculative actions rather than real economic facts were more dominant. Oh the other hand it has been seen that all the other variables reflected general tendencies.

Keywords

Extended Taylor Rule, Capital Markets, Linear and Nonlinear ARDL Models.

TAYLOR KURALI MEKANİZMASINA BENZER ŞEKİLDE BİR MEKANİZMA İNŞASI ÇABASI: BİST-100 ÜZERİNE SINAMALAR

Abstract

Faizin belirlemesine yönelik olarak geliştirilen Taylor kuralı, iç ve dış unsurlardan hareketle yurtiçi faiz oranlarının hangi düzeyde olacağını ortaya koyan bir mekanizmadır. Taylor kuralında enflasyon ve gelir iç unsur iken, döviz kuru dış unsurdur. Faiz açısından bu mekanizmanın güçlü işlerliği dikkate alındığında, borsanın da benzeri bir yol izleyebileceği düşünülebilir. Dolayısıyla buradan hareketle Taylor kuralında sayılan değişkenlere ilaveten, faiz oranı, altın fiyatları ve dış borsa değerleri modele dâhil edilmiştir. Böylece iç unsur olarak enflasyon (EA), faiz (FA) ve gelir (YA) alınmış; dış unsur olarak da döviz kuru (DA), altın (AA) ve dış borsa (SA) değeri modellenmiştir. Taylor kuralı kapsamında oluşturulan modellerdeki tüm değişkenler Hodrick-Prescot filtrelemesine tabi tutularak açık cinsinden tanımlanmıştır. 1998:Q1-2019:Q3 arası dönem için doğrusal ve doğrusal olmayan sırasıyla L-ARDL ve NL-ARDL yöntemleri ile modeller tahmin edilmiştir. Elde edilen bulgularda, EA değişkeni L-ARDL sonuçlarında anlamlı ve buna karşılık NL-ARDL sonuçlarında ise anlamsız çıkmıştır. Bunun dışında modelde yer alan tüm değişkenler ise istatistiki açıdan anlamlı çıkmıştır. Buna göre borsa üzerine YA, FA ve AA değişkenlerinin etkileri negatif; SA ve DA değişkenleri ise pozitif bulunmuştur. Elde edilen bulgulardan hareketle, Türkiye ekonomisinde borsanın Taylor kuralı mekanizması mantığı çerçevesinde içsel ve dışsal değişkenlerden etkilendiği görülmüştür. Bu değişkenler içerisinde borsanın üretimden, yani ekonomik büyümeden olumsuz yönde etkilenmesi, Türkiye ekonomisinde reel ekonomik boyuttan ziyade, parasal ve dolayısıyla spekülatif boyutun güçlü bir şekilde işlediğini ortaya koymuştur. Buna karşılık diğer değişkenlerin genel eğilimi yansıtacak şekilde oluştuğu dikkat çekmiştir.

Keywords

Genişletilmiş Taylor Kuralı, Sermaye Piyasaları, Doğrusal ve Doğrusal Olmayan ARDL Modelleri.

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