Makroekonomik Değişkenlerin Finansal Piyasalar Üzerindeki Etkisi: Türkiye Ekonomisi Üzerine Bir Uygulama

Abstract

Bu çalışma, Türkiye ekonomisinde makroekonomik değişkenler ile finansal piyasalar arasındaki ilişkiyi 2003:Q1-2023:Q4 döneminde incelemeyi amaçlamaktadır. Araştırmanın temel amacı, BİST-100 getiri endeksinin belirleyicilerini tespit etmek ve makroekonomik değişkenlerin finansal piyasalara etkisini ortaya koymaktır. Çalışmada bağımlı değişken olarak BİST-100 getiri endeksi, açıklayıcı değişkenler olarak ise nominal döviz kuru, mevduat faiz oranı, enflasyon oranı, reel GSYH ve Brent petrol fiyatları değişkenleri kullanılmıştır. Çalışmada genişletilmiş otoregresif dağıtılmış gecikmeler (A-ARDL) eşbütünleşme analizi ve Hacker ve Hatemi-J Bootstrap nedensellik testi yöntemleri kullanılmıştır. Elde edilen bulgular, döviz kuru, enflasyon oranı ve reel GSYH’nin borsa getirileri üzerinde uzun dönemde pozitif etkiler oluşturduğunu, faiz oranlarının ise uzun dönemde negatif bir etkiye sahip olduğunu ortaya koymuştur. A-ARDL eşbütünleşme analizi, açıklayıcı değişkenlerin borsa getirileri ile uzun dönemli ilişki olduğunu göstermektedir. Ayrıca, Hacker ve Hatemi-J Bootstrap nedensellik testi, döviz kurundan borsa getirisine, enflasyon oranından borsa getirisine ve reel GSYH’den borsa getirisine doğru tek yönlü nedensellik ilişkisi bulunduğunu ortaya koymuştur. Bu bulgular, makroekonomik değişkenlerin Türkiye’nin finansal piyasalarındaki belirleyici rolünü ve yatırım kararları üzerindeki etkisini vurgulamaktadır. Sonuçlar, politika yapıcılar için finansal piyasalardaki dalgalanmaları öngörme ve yönetme noktasında önemli bilgiler sunmaktadır.

Keywords

• Finansal Piyasalar
• Döviz kuru
• Türkiye Ekonomisi
• Zaman Serisi Analizi

The Impact of Macroeconomic Variables on Financial Markets: An Empirical Analysis for the Turkish Economy

Abstract

This study aims to examine the relationship between macroeconomic variables and financial markets in the Turkish economy for the period 2003:Q1-2023:Q4. The primary objective of the research is to identify the determinants of the BIST-100 return index and to reveal the impact of macroeconomic variables on financial markets. In the study, the BIST-100 return index is used as the dependent variable, while nominal exchange rate, deposit interest rate, inflation rate, real GDP, and Brent oil prices are utilized as explanatory variables. The study employs the augmented autoregressive distributed lag (A-ARDL) cointegration analysis and the Hacker and Hatemi-J Bootstrap causality test methods. The findings indicate that the exchange rate, inflation rate, and real GDP have positive long-term effects on stock returns, while interest rates exhibit a negative long-term impact. The A-ARDL cointegration analysis demonstrates a long-term relationship between the explanatory variables and stock returns. Furthermore, the Hacker and Hatemi-J Bootstrap causality test reveals unidirectional causality from the exchange rate to stock returns, from the inflation rate to stock returns, and from real GDP to stock returns. These findings highlight the significant role of macroeconomic variables in Türkiye's financial markets and their influence on investment decisions. The results provide valuable insights for policymakers in forecasting and managing fluctuations in financial markets. Additionally, the study makes a valuable contribution to the literature by enhancing the understanding of financial market dynamics and evaluating the effects of macroeconomic variables. In this context, the impact of economic policy tools on financial markets is critical for shaping investor behavior and promoting economic stability.

Keywords

• Financial Markets
• Exchange Rate
• Turkish Economy
• Time Series Analysis

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