Research Article
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PARA POLİTİKASININ HİSSE SENEDİ GETİRİSİ ÜZERİNDEKİ ASİMETRİK ETKİSİ: BİST100 BOĞA VE AYI PİYASALARI ÖRNEĞİ

Year 2021, Volume: 8 Issue: 1, 288 - 311, 26.03.2021
https://doi.org/10.30798/makuiibf.804461

Abstract

Hisse senedi piyasasındaki hareketlilikler makro iktisadi yapı üzerinde önemli etkiler meydana getirmektedir. Bu nedenle borsalarda yaşanan oynaklıklar önemli birer istikrar göstergesi olarak kabul edilmektedir. Hızlı ve kolay uygulanabilme avantajlarına sahip olan para politikası ise, ekonomik istikrarsızlıklara müdahalede öncelikle tercih edilen iktisat politikası aracı niteliğindedir. Bu nedenle para politikasının borsalar üzerindeki etkisine ışık tutulması, etkin politika geliştirilmesi açısından hayati önem taşımaktadır. Bu araştırma ile Türkiye’deki parasal eylemlerin hisse senedi getirisi üzerindeki etkisi ampirik ve teorik açıdan ele alınmıştır. Ampirik çalışma için 1998Ç3-2020Ç1 dönemini kapsayan çeyreklik bir veri setinden faydalanılmıştır. Öte yandan para politikasının etkilerinin doğrusal olmadığı, mevcut iktisadi rejimin yapısına göre farklılaştığı iktisatçılar tarafından Büyük Buhrandan bu yana öne sürülmektedir. Bu nedenle para politikasının hisse senedi getirisi üzerindeki rejimsel etkisi Markov Rejim Değişimi Modeli kullanarak incelenmiş ve TCMB parasal eylemlerinin boğa piyasasında daha etkin olduğuna dair kanıtlar elde edilmiştir.

References

  • Aktaş, H., Güleç, T. C., ve Erer, E. (2018). The Effects Of Foreign Central Bank Monetary Policies On BIST 100 Index Volatility. Yonetim ve Ekonomi, 25(3), 749.
  • Aktaş, Z., Alp, H., Gürkaynak, R., Kesriyeli, M., ve Orak, M. (2009). Türkiye’de Para Politikasının Aktarımı: Para Politikasının Mali Piyasalara Etkisi. İktisat İşletme ve Finans, 24(278), 9–24.
  • Alp, B. (2013). Türkiye’deki Reel Sektör Firmalarında Borç Dolarizasyonu ve Reel Kur Değişimlerinin Bilanço Etkisi. TCMB Uzmanlık Yeterlilik Tezi. Ankara.
  • Altıntaş, H., ve Yacouba, K. (2018). Asymmetric Responses of Stock Prices to Money Supply and Oil Prices Shocks in Turkey: New Evidence from a Nonlinear ARDL Approach. International Journal of Economics and Financial Issues, 8(4), 45.
  • Ando, A., ve Modigliani, F. (1963). The life cycle hypothesis of saving: Aggregate implications and tests. The American economic review, 53(1), 55–84.
  • Atış, A. G., ve Erer, D. (2018). The impact of monetary policy on stock returns during bull and bear markets: The evidence from Turkey. Ege Akademik Bakis, 18(4), 699–710.
  • Balke, N. S., Brown, S. P. A., ve Yücel, M. K. (2002). Oil Price Shocks and the U. S. Economy: Where Does the Asymmetry Originate? The Energy Journal, 23(3), 27-52.
  • Barnichon, R., Matthes, C., ve Sablik, T. (2017). Are the effects of monetary policy asymmetric (Sy EB17-03; Richmond Fed Economic Brief, Sayı March).
  • Bartels, A. H. (1985). Volcker’s revolution at the Fed. Challenge, 28(4), 35–42.
  • Bernanke, B. S., ve Gertler, M. (1995). Inside the Black Box: The Credit Channel of Monetary Policy Transmission. The Journal of Economic Perspectives, 9(4), 27-48.
  • Broock, W. A., Scheinkman, J. A., Dechert, W. D., ve LeBaron, B. (1996). A test for independence based on the correlation dimension. Econometric reviews, 15(3), 197–235.
  • Bui, T. T. (2015). Asymmetric effect of monetary policy on stock market volatility in ASEAN5. Eurasian Journal of Business and Economics, 8(15), 185–197.
  • Canova, F., ve De Nicolo, G. (2002). Monetary disturbances matter for business fluctuations in the G-7. Journal of Monetary Economics, 49(6), 1131–1159.
  • Chen, M., H. (2013). Asymmetric response of hospitality stock prices to Fed policy actions. International Journal of Hospitality Management, 33, 129–139.
  • Chen, S. (2007). Does Monetary Policy Have Asymmetric Effects on Stock Returns ? Journal ofMoney, Credit and Banking, 39(2), 667-688.
  • Choudhry, T. (2001). Inflation and rates of return on stocks: Evidence from high inflation countries. Journal of International Financial Markets, Institutions and Money, 11(1), 75–96.
  • Claus, I., ve Grimes, A. (2003). Asymmetric Information, Financial Intermediation and the Monetary Transmission Mechanism: A Critical Review (Sy 03/19; New Zealand Treasury Working Paper).
  • Cover, J. P. (1992). Asymmetric Effects of Positive and Negative Money-Supply Shocks. The Quarterly Journal of Economics, 107(4), 1261-1282.
  • Davidson, L. S., ve Froyen, R. T. (1982). Monetary policy and stock returns: Are stock markets efficient? Federal Reserve Bank of St. Louis Review, 64(3), 3–12.
  • Demiralp, S., ve Yılmaz, K. (2010). Para politikası beklentilerinin sermaye piyasaları üzerindeki etkisi. Working Paper.
  • Dickey, D. A., ve Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American statistical association, 74(366a), 427–431.
  • Dickey, D. A., ve Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: journal of the Econometric Society, 1057–1072.
  • Duran, M., Özlü, P., ve Ünalmış, D. (2010). TCMB Faiz Kararlarının Hisse Senedi Piyasaları Üzerine Etkisi. Central Bank Review, 10(2), 23.
  • Ergeç, E. H. (2009). Türkiye Ekonomisinde Pozitif ve Negatif Para Politikası Şoklarının Asimetrik Etkileri. Dumlupınar Üniversitesi SBE Dergisi, 23, 333-344.
  • Florio, A. (2004). The asymmetric effects of monetary policy. Journal of Economic Surveys, 18(3), 409-426.
  • Galí, J., ve Gambetti, L. (2015). The effects of monetary policy on stock market bubbles: Some evidence. American Economic Journal: Macroeconomics, 7(1), 233–57.
  • Garcia, R., ve Schaller, H. (2002). Are the effects of monetary policy asymmetric? Economic Inquiry, 40(1), 102-119.
  • Gökalp, B. T. (2016). Para Politikası Kararlarının Hisse Senetlerinin Fiyatları Üzerindeki Etkileri. Suleyman Demirel University Journal of Faculty of Economics ve Administrative Sciences, 21(4), 1379-1396.
  • Granger, C. W. J., ve Newbold, P. (1974). Spurious regressions in econometrics. Journal of Econometrics, 2(2), 111-120.
  • Guo, F., Hu, J., ve Jiang, M. (2013). Monetary shocks and asymmetric effects in an emerging stock market: The case of China. Economic Modelling, 32, 532–538.
  • Hamilton, J. D. (1989). A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica: Journal of the Econometric Society, 357–384.
  • Han, G., Wu, Y., ve Young, W. (2014). Asymmetric effects of monetary policy on an emerging stock market. International Journal of Monetary Economics and Finance, 7(3), 192–206.
  • Höppner, F., Melzer, C., ve Neumann, T. (2008). Changing effects of monetary policy in the US - Evidence from a time-varying coefficient VAR. Applied Economics, 40(18), 2353-
  • Ioannidis, C., ve Kontonikas, A. (2008). The impact of monetary policy on stock prices. Journal of policy modeling, 30(1), 33–53.
  • Jansen, D. W., ve Tsai, C.-L. (2010). Monetary policy and stock returns: Financing constraints and asymmetries in bull and bear markets. Journal of Empirical finance, 17(5), 981–990.
  • Jiang, C. (2018). The asymmetric effects of monetary policy on stock market. Quarterly Journal of Finance, 8(03), 1-27.
  • Kakes, J. (1998). Monetary transmission and business cycle asymmetry. Graduate School/Research Institute Systems, Organisation and Management.
  • Kandir, S. Y. (2008). Macroeconomic variables, firm characteristics and stock returns: Evidence from Turkey. International research journal of finance and economics, 16(1), 35–45.
  • Karabıyık, C. (2020). Türkiye’de Uluslararası İktisadi Dalgalanmaların Yayılma Etkisi ve Konjonktür Karşıtı Para Politikası. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, 15(3), 1095–1118.
  • Karras, G. (1996a). Are the Output Effects of Monetary Policy Asymmetric? Evidence from a Sample of European Countries. Oxford Bulletin of Economics and Statistics, 58(2), 267-278.
  • Karras, G. (1996b). Why are the effects of money-supply shocks asymmetric? Convex aggregate supply or “pushing on a string”? Journal of Macroeconomics, 18(4), 605-619.
  • Kasapoğlu, Ö. (2007). Parasal Aktarim Mekanizmalari: Türkiye İçin Uygulama. TCMB Uzmanlık Yeterlilik Tezi. Ankara.
  • Kaufmann, S. (2002). Is there an asymmetric effect of monetary policy over time? İçinde Advances in Markov-Switching Models (ss. 137–157). Springer.
  • Kaya, E. (2018). Para Politikası Şokları ve Hisse Senedi Getirileri İlişkisi. Journal of Accounting, Finance and Auditing Studies, 4(3), 241–257.
  • Kaya, H., ve Soybilgen, B. (2019). Evaluating the Asymmetric Effects of Production, Interest Rate and Exchange Rate on the Turkish Stock Prices. Ege Akademik Bakis, 19(2), 293–300.
  • Kuttner, K. N., ve Mosser, P. C. (2002). The Monetary Transmission Mechanism: Some Answers and Further Questions. FRBNY Economic Policy Review, May, 15-26. https://doi.org/2001
  • Lenz, C. (1997). Asymmetrie Effects of Monetary Policy in Switzerland. Swiss Journal of Economics and Statistics, 133(3), 441-454.
  • Lo, M. C., ve Piger, J. M. (2005). Is the Response of Output to Monetary Policy Asymmetric? Evidence from a Regime-Switching Coefficients Model. Journal of Money, Credit, and Banking, 37(5), 865-886.
  • Loayza, N., ve Schmidt-Hebbel, K. (2002). Monetary policy functions and transmission mechanisms: An overview. İçinde N. Loayza ve K. Schmidt-Hebbel (Ed.), Monetary Policy: Rules and Transmission Mechanisms (ss. 1-20). Central Bank of Chile.
  • Mauro, P. (2003). Stock returns and output growth in emerging and advanced economies. Journal of Development Economics, 71(1), 129–153.
  • Mishkin, F. S. (1996). The Channels of Monetary Transmission: Lessons for Monetary Policy (Sy 5464; NBER Working Paper Series). https://doi.org/10.3386/w5464
  • Mishkin, F. S. (2005). Para teorisi-politikası. ed. A. Ç. ve S. Y. Çev. İlyas Işıklar. Eskişehir: Bilim Teknik Yayınevi.
  • Napolitano, O. (2006). Is the Impact of ECB Monetary Policy on EMU Stock Market Returns Asymmetric, Universita Degli Studi Di Napoli’Parthenope’, Instituto Di Studi Economici. Working Paper 3.2006.
  • Özdemir, A. K., ve Otluoğlu, E. (2015). The Impact of Monetary Policy Decisions on The Stock Prices During The Period of Inflation Targeting: An Emprical Study in Bist. Journal of Economics Finance and Accounting, 2(1).
  • Paya, M. (2013). Para Teorisi ve Para Politikası (6. Baskı). Türkmen Kitabevi.
  • Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica: journal of the Econometric Society, 1361–1401.
  • Ravn, M. O., ve Sola, M. (2004). Asymmetric effects of monetary policy in the United States. Review, Federal Reserve Bank of St. Louis, 86(Sep), 41-60.
  • Rhee, W., ve Rich, R. W. (1995). Inflation and the asymmetric effects of money on output fluctuations. Journal of Macroeconomics, 17(4), 683-702.
  • Rigobon, R., ve Sack, B. (2003). Measuring the reaction of monetary policy to the stock market. The quarterly journal of Economics, 118(2), 639–669.
  • Rigobon, R., ve Sack, B. (2004). The impact of monetary policy on asset prices. Journal of Monetary Economics, 51(8), 1553–1575.
  • Rogalski, R. J., ve Vinso, J. D. (1977). Stock returns, money supply and the direction of causality. The Journal of finance, 32(4), 1017–1030.
  • Rozeff, M. S. (1974). Money and stock prices: Market efficiency and the lag in effect of monetary policy. Journal of financial Economics, 1(3), 245–302.
  • Shen, C.H. (2000). Are the effects of monetary policy asymmetric? The case of Taiwan. Journal of Policy Modeling, 22(2), 197–218.
  • Şahin, B. C. (2011). Para Politikasi Kararlarinin Hisse Senedi Piyasasi Üzerine Etkisi: Türkiye Uygulamasi. TCMB Uzmanlik Yeterlilik Tezi. Ankara.
  • Thoma, M. A. (1994). Subsample instability and asymmetries in money-income causality. İçinde Journal of Econometrics (C. 64, Sayı 1-2, p. 279-306).
  • Thorbecke, W. (1997). On stock market returns and monetary policy. The Journal of Finance, 52(2), 635–654.
  • Tobin, J. (1969). A General Equilibrium Approach To Monetary Theory. Journal of Money, Credit and Banking, 1(1), 15-29.
  • Yıldırım, D. Ç., ve Mirasyedioğlu, M. U. (2015). Aktarım mekanizmasının hisse senedi fiyatları kanalının etkinliğine ilişkin bir analiz. Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi, 16(2), 105–126.
  • Zivot, E., ve Andrews, D. W. K. (2002). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of business ve economic statistics, 20(1), 25–44.
Year 2021, Volume: 8 Issue: 1, 288 - 311, 26.03.2021
https://doi.org/10.30798/makuiibf.804461

Abstract

References

  • Aktaş, H., Güleç, T. C., ve Erer, E. (2018). The Effects Of Foreign Central Bank Monetary Policies On BIST 100 Index Volatility. Yonetim ve Ekonomi, 25(3), 749.
  • Aktaş, Z., Alp, H., Gürkaynak, R., Kesriyeli, M., ve Orak, M. (2009). Türkiye’de Para Politikasının Aktarımı: Para Politikasının Mali Piyasalara Etkisi. İktisat İşletme ve Finans, 24(278), 9–24.
  • Alp, B. (2013). Türkiye’deki Reel Sektör Firmalarında Borç Dolarizasyonu ve Reel Kur Değişimlerinin Bilanço Etkisi. TCMB Uzmanlık Yeterlilik Tezi. Ankara.
  • Altıntaş, H., ve Yacouba, K. (2018). Asymmetric Responses of Stock Prices to Money Supply and Oil Prices Shocks in Turkey: New Evidence from a Nonlinear ARDL Approach. International Journal of Economics and Financial Issues, 8(4), 45.
  • Ando, A., ve Modigliani, F. (1963). The life cycle hypothesis of saving: Aggregate implications and tests. The American economic review, 53(1), 55–84.
  • Atış, A. G., ve Erer, D. (2018). The impact of monetary policy on stock returns during bull and bear markets: The evidence from Turkey. Ege Akademik Bakis, 18(4), 699–710.
  • Balke, N. S., Brown, S. P. A., ve Yücel, M. K. (2002). Oil Price Shocks and the U. S. Economy: Where Does the Asymmetry Originate? The Energy Journal, 23(3), 27-52.
  • Barnichon, R., Matthes, C., ve Sablik, T. (2017). Are the effects of monetary policy asymmetric (Sy EB17-03; Richmond Fed Economic Brief, Sayı March).
  • Bartels, A. H. (1985). Volcker’s revolution at the Fed. Challenge, 28(4), 35–42.
  • Bernanke, B. S., ve Gertler, M. (1995). Inside the Black Box: The Credit Channel of Monetary Policy Transmission. The Journal of Economic Perspectives, 9(4), 27-48.
  • Broock, W. A., Scheinkman, J. A., Dechert, W. D., ve LeBaron, B. (1996). A test for independence based on the correlation dimension. Econometric reviews, 15(3), 197–235.
  • Bui, T. T. (2015). Asymmetric effect of monetary policy on stock market volatility in ASEAN5. Eurasian Journal of Business and Economics, 8(15), 185–197.
  • Canova, F., ve De Nicolo, G. (2002). Monetary disturbances matter for business fluctuations in the G-7. Journal of Monetary Economics, 49(6), 1131–1159.
  • Chen, M., H. (2013). Asymmetric response of hospitality stock prices to Fed policy actions. International Journal of Hospitality Management, 33, 129–139.
  • Chen, S. (2007). Does Monetary Policy Have Asymmetric Effects on Stock Returns ? Journal ofMoney, Credit and Banking, 39(2), 667-688.
  • Choudhry, T. (2001). Inflation and rates of return on stocks: Evidence from high inflation countries. Journal of International Financial Markets, Institutions and Money, 11(1), 75–96.
  • Claus, I., ve Grimes, A. (2003). Asymmetric Information, Financial Intermediation and the Monetary Transmission Mechanism: A Critical Review (Sy 03/19; New Zealand Treasury Working Paper).
  • Cover, J. P. (1992). Asymmetric Effects of Positive and Negative Money-Supply Shocks. The Quarterly Journal of Economics, 107(4), 1261-1282.
  • Davidson, L. S., ve Froyen, R. T. (1982). Monetary policy and stock returns: Are stock markets efficient? Federal Reserve Bank of St. Louis Review, 64(3), 3–12.
  • Demiralp, S., ve Yılmaz, K. (2010). Para politikası beklentilerinin sermaye piyasaları üzerindeki etkisi. Working Paper.
  • Dickey, D. A., ve Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American statistical association, 74(366a), 427–431.
  • Dickey, D. A., ve Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: journal of the Econometric Society, 1057–1072.
  • Duran, M., Özlü, P., ve Ünalmış, D. (2010). TCMB Faiz Kararlarının Hisse Senedi Piyasaları Üzerine Etkisi. Central Bank Review, 10(2), 23.
  • Ergeç, E. H. (2009). Türkiye Ekonomisinde Pozitif ve Negatif Para Politikası Şoklarının Asimetrik Etkileri. Dumlupınar Üniversitesi SBE Dergisi, 23, 333-344.
  • Florio, A. (2004). The asymmetric effects of monetary policy. Journal of Economic Surveys, 18(3), 409-426.
  • Galí, J., ve Gambetti, L. (2015). The effects of monetary policy on stock market bubbles: Some evidence. American Economic Journal: Macroeconomics, 7(1), 233–57.
  • Garcia, R., ve Schaller, H. (2002). Are the effects of monetary policy asymmetric? Economic Inquiry, 40(1), 102-119.
  • Gökalp, B. T. (2016). Para Politikası Kararlarının Hisse Senetlerinin Fiyatları Üzerindeki Etkileri. Suleyman Demirel University Journal of Faculty of Economics ve Administrative Sciences, 21(4), 1379-1396.
  • Granger, C. W. J., ve Newbold, P. (1974). Spurious regressions in econometrics. Journal of Econometrics, 2(2), 111-120.
  • Guo, F., Hu, J., ve Jiang, M. (2013). Monetary shocks and asymmetric effects in an emerging stock market: The case of China. Economic Modelling, 32, 532–538.
  • Hamilton, J. D. (1989). A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica: Journal of the Econometric Society, 357–384.
  • Han, G., Wu, Y., ve Young, W. (2014). Asymmetric effects of monetary policy on an emerging stock market. International Journal of Monetary Economics and Finance, 7(3), 192–206.
  • Höppner, F., Melzer, C., ve Neumann, T. (2008). Changing effects of monetary policy in the US - Evidence from a time-varying coefficient VAR. Applied Economics, 40(18), 2353-
  • Ioannidis, C., ve Kontonikas, A. (2008). The impact of monetary policy on stock prices. Journal of policy modeling, 30(1), 33–53.
  • Jansen, D. W., ve Tsai, C.-L. (2010). Monetary policy and stock returns: Financing constraints and asymmetries in bull and bear markets. Journal of Empirical finance, 17(5), 981–990.
  • Jiang, C. (2018). The asymmetric effects of monetary policy on stock market. Quarterly Journal of Finance, 8(03), 1-27.
  • Kakes, J. (1998). Monetary transmission and business cycle asymmetry. Graduate School/Research Institute Systems, Organisation and Management.
  • Kandir, S. Y. (2008). Macroeconomic variables, firm characteristics and stock returns: Evidence from Turkey. International research journal of finance and economics, 16(1), 35–45.
  • Karabıyık, C. (2020). Türkiye’de Uluslararası İktisadi Dalgalanmaların Yayılma Etkisi ve Konjonktür Karşıtı Para Politikası. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, 15(3), 1095–1118.
  • Karras, G. (1996a). Are the Output Effects of Monetary Policy Asymmetric? Evidence from a Sample of European Countries. Oxford Bulletin of Economics and Statistics, 58(2), 267-278.
  • Karras, G. (1996b). Why are the effects of money-supply shocks asymmetric? Convex aggregate supply or “pushing on a string”? Journal of Macroeconomics, 18(4), 605-619.
  • Kasapoğlu, Ö. (2007). Parasal Aktarim Mekanizmalari: Türkiye İçin Uygulama. TCMB Uzmanlık Yeterlilik Tezi. Ankara.
  • Kaufmann, S. (2002). Is there an asymmetric effect of monetary policy over time? İçinde Advances in Markov-Switching Models (ss. 137–157). Springer.
  • Kaya, E. (2018). Para Politikası Şokları ve Hisse Senedi Getirileri İlişkisi. Journal of Accounting, Finance and Auditing Studies, 4(3), 241–257.
  • Kaya, H., ve Soybilgen, B. (2019). Evaluating the Asymmetric Effects of Production, Interest Rate and Exchange Rate on the Turkish Stock Prices. Ege Akademik Bakis, 19(2), 293–300.
  • Kuttner, K. N., ve Mosser, P. C. (2002). The Monetary Transmission Mechanism: Some Answers and Further Questions. FRBNY Economic Policy Review, May, 15-26. https://doi.org/2001
  • Lenz, C. (1997). Asymmetrie Effects of Monetary Policy in Switzerland. Swiss Journal of Economics and Statistics, 133(3), 441-454.
  • Lo, M. C., ve Piger, J. M. (2005). Is the Response of Output to Monetary Policy Asymmetric? Evidence from a Regime-Switching Coefficients Model. Journal of Money, Credit, and Banking, 37(5), 865-886.
  • Loayza, N., ve Schmidt-Hebbel, K. (2002). Monetary policy functions and transmission mechanisms: An overview. İçinde N. Loayza ve K. Schmidt-Hebbel (Ed.), Monetary Policy: Rules and Transmission Mechanisms (ss. 1-20). Central Bank of Chile.
  • Mauro, P. (2003). Stock returns and output growth in emerging and advanced economies. Journal of Development Economics, 71(1), 129–153.
  • Mishkin, F. S. (1996). The Channels of Monetary Transmission: Lessons for Monetary Policy (Sy 5464; NBER Working Paper Series). https://doi.org/10.3386/w5464
  • Mishkin, F. S. (2005). Para teorisi-politikası. ed. A. Ç. ve S. Y. Çev. İlyas Işıklar. Eskişehir: Bilim Teknik Yayınevi.
  • Napolitano, O. (2006). Is the Impact of ECB Monetary Policy on EMU Stock Market Returns Asymmetric, Universita Degli Studi Di Napoli’Parthenope’, Instituto Di Studi Economici. Working Paper 3.2006.
  • Özdemir, A. K., ve Otluoğlu, E. (2015). The Impact of Monetary Policy Decisions on The Stock Prices During The Period of Inflation Targeting: An Emprical Study in Bist. Journal of Economics Finance and Accounting, 2(1).
  • Paya, M. (2013). Para Teorisi ve Para Politikası (6. Baskı). Türkmen Kitabevi.
  • Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica: journal of the Econometric Society, 1361–1401.
  • Ravn, M. O., ve Sola, M. (2004). Asymmetric effects of monetary policy in the United States. Review, Federal Reserve Bank of St. Louis, 86(Sep), 41-60.
  • Rhee, W., ve Rich, R. W. (1995). Inflation and the asymmetric effects of money on output fluctuations. Journal of Macroeconomics, 17(4), 683-702.
  • Rigobon, R., ve Sack, B. (2003). Measuring the reaction of monetary policy to the stock market. The quarterly journal of Economics, 118(2), 639–669.
  • Rigobon, R., ve Sack, B. (2004). The impact of monetary policy on asset prices. Journal of Monetary Economics, 51(8), 1553–1575.
  • Rogalski, R. J., ve Vinso, J. D. (1977). Stock returns, money supply and the direction of causality. The Journal of finance, 32(4), 1017–1030.
  • Rozeff, M. S. (1974). Money and stock prices: Market efficiency and the lag in effect of monetary policy. Journal of financial Economics, 1(3), 245–302.
  • Shen, C.H. (2000). Are the effects of monetary policy asymmetric? The case of Taiwan. Journal of Policy Modeling, 22(2), 197–218.
  • Şahin, B. C. (2011). Para Politikasi Kararlarinin Hisse Senedi Piyasasi Üzerine Etkisi: Türkiye Uygulamasi. TCMB Uzmanlik Yeterlilik Tezi. Ankara.
  • Thoma, M. A. (1994). Subsample instability and asymmetries in money-income causality. İçinde Journal of Econometrics (C. 64, Sayı 1-2, p. 279-306).
  • Thorbecke, W. (1997). On stock market returns and monetary policy. The Journal of Finance, 52(2), 635–654.
  • Tobin, J. (1969). A General Equilibrium Approach To Monetary Theory. Journal of Money, Credit and Banking, 1(1), 15-29.
  • Yıldırım, D. Ç., ve Mirasyedioğlu, M. U. (2015). Aktarım mekanizmasının hisse senedi fiyatları kanalının etkinliğine ilişkin bir analiz. Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi, 16(2), 105–126.
  • Zivot, E., ve Andrews, D. W. K. (2002). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of business ve economic statistics, 20(1), 25–44.
There are 69 citations in total.

Details

Primary Language Turkish
Journal Section Research Articles
Authors

Can Karabıyık 0000-0002-7255-7946

Publication Date March 26, 2021
Submission Date October 2, 2020
Published in Issue Year 2021 Volume: 8 Issue: 1

Cite

APA Karabıyık, C. (2021). PARA POLİTİKASININ HİSSE SENEDİ GETİRİSİ ÜZERİNDEKİ ASİMETRİK ETKİSİ: BİST100 BOĞA VE AYI PİYASALARI ÖRNEĞİ. Journal of Mehmet Akif Ersoy University Economics and Administrative Sciences Faculty, 8(1), 288-311. https://doi.org/10.30798/makuiibf.804461