THE RELATIONSHIP BETWEEN ECONOMIC POLICY UNCERTAINTY AND INCOME-VOLATILITY: EVIDENCE FROM DEVELOPED COUNTRY EXCHANGES

Year 2023, Volume: 6 Issue: 1, 15 - 27, 01.04.2023

Serkan Kaya , Murat Kaya , İsmail Çelik

https://doi.org/10.32951/mufider.1205714

Abstract

EKONOMİ POLİTİKA BELİRSİZLİĞİ ve GETİRİ-VOLATİLİTE İLİŞKİSİ: GELİŞMİŞ ÜLKE BORSALARINDAN KANITLAR

Abstract

Bu çalışmada, 01/11/2016 - 01/11/2021 tarihleri arasında ABD Ekonomi Politika Belirsizlik Endeksinin (EPU) seçilmiş bazı gelişmiş ülke borsalarının getiri ve volatiliteleri üzerindeki etkilerinin belirlenmesi amaçlanmıştır. Bu amaçla DOW(ABD), FTSE(ENG), DAX(GER), NİKKE(JPN) ve ABD EPU endeksleri arasındaki ilişki GARCH modeli kullanılarak analiz edilmiştir. GARCH (1,1) modelinden elde edilen bulgulara göre, ortalama denkleminde bulunan Belirsizlik Endeksi, NIKKEI endeksi hariç olmak üzere diğer endekslerde düşük değerler almış olmakla birlikte istatistiki olarak anlamlı çıkmıştır. Varyans denkleminde yer alan Belirsizlik Endeksi ise tüm değişkenlerde düşük değerli olsa da istatistiki olarak anlamlı çıkmıştır. Belirsizlik Endeksinin hem ortalama hem de varyans denklemlerinde anlamlı olması Belirsizlik Endeksinin analize dâhil edilen ülkelerin borsa endeks getiri ve volatilitelerini etkilediğini göstermektedir.

Keywords

Ekonomi Politika Belirsizliği, Getiri, Volatilite, GARCH

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