Hisse Senedi Fiyatları ve Türk Para Talebi Fonksiyonu İlişkili midir?

Year 2023, , 157 - 177, 26.07.2023

Mutawakil Abdul-rahman , Ayatullahi Seidu

https://doi.org/10.17233/sosyoekonomi.2023.03.08

Abstract

Bu çalışma, Otoregresif Dağıtılmış Gecikme (ARDL) ve Granger nedensellik testi kullanarak hem M1 hem de M2 para talebinin reel gelir, mevduat faiz oranı, reel döviz kurları ve reel hisse senedi fiyatları ile eşbütünleşme ilişkisi sergilediğini göstermektedir. Reel gelir, mevduat faiz oranı ve reel döviz kuru, Türkiye ekonomisinde uzun dönemli M1 ve M2 para talebinin önemli belirleyicileridir. Ayrıca, bulgularımız Türkiye ekonomisinde reel hisse senedi fiyatlarının servet etkisinin ikame etkisinden daha ağır bastığını ortaya koymaktadır. Reel hisse senedi fiyatlarının M1 ve M2 para talebi üzerindeki etkisi uzun dönemde pozitif ve istatistiksel olarak anlamlıdır. M2 reel hisse senedi fiyatlarındaki değişimlere daha duyarlı iken, M1 daha istikrarlı bir görünüm sergilemektedir. Bu nedenle politika yapıcıların, hisse senedi piyasasının Türkiye ekonomisindeki uzun dönem para talebi fonksiyonundaki önemli rolünü ve para politikasının etkin bir şekilde uygulanması üzerindeki etkisini kabul etmeleri zorunludur.

Keywords

Para Talebi, ARDL, Hisse Senedi Fiyatları, Türkiye

Are Stock Prices and the Turkish Money Demand Function Related?

Abstract

Using the Autoregressive Distributed Lag (ARDL) and Granger causality test, this study demonstrates that M1 and M2 money demand cointegrates with real income, deposit interest rate, real exchange rates, and real stock prices. Real income, deposit interest, and exchange rates are significant determinants of the Turkish economy’s long-run M1 and M2 money demand. Furthermore, our findings reveal that the wealth effect of real stock prices outweighs the substitution effect within the Turkish economy. The impact of real stock prices on M1 and M2 money demand is positive and statistically significant in the long run. While M2 is more responsive to changes in real stock prices, M1 exhibits greater stability than M2. Therefore, policymakers must recognise the significant role of the stock market in the long-run money demand function within the Turkish economy and its impact on the effective implementation of monetary policy.

Keywords

Money Demand, ARDL, Stock Prices, Türkiye

References

• Abdul-Rahman, M. et al. (2020), “Money Demand Function in Ghana: Does Stock Prices Matter?”, Kashmir Economic Review, 29(2), 45-61.
• Akıncı, Ö. (2003), “Modeling the Demand for Currency Issued in Turkey”, Central Bank Review, 3(1), 1-26.
• Akinlo, A.E. & M. Emmanuel (2017), “Stock Prices and Demand for Money: Evidence from Nigeria”, Review of Business & Finance Studies, 8(1), 1-19.
• Akkus, O. (2019), “Türkiye’de Para Talep Fonksiyonu ve Para Politikası”, Uluslararası Ekonomik Araştırmalar Dergisi, 5(3), 59-69.
• Al Rasasi, M. et al. (2020), “On the Nexus between Stock Market Fluctuations and the Demand for Money in Saudi Arabia”, Business and Economic Research, 10(1), 142-154.
• Al, İ. (2019), “Studies on Interdisciplinary Economics and Business”, (Vol. II), (ed. Ö. Özçelik), Berlin: Peter Lang.
• Altunöz, U. (2022), “Türkiye’de Paranın Dolanım Hızı ve Para Talebi İstikrarlı mı? Para Talebinin Belirleyicileri ile Ampirik Analiz”, Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 40(2), 249-271.
• Baharumshah, A.Z. (2004), “Stock Prices and Long-run Demand for Money: Evidence from Malaysia”, International Economic Journal, 18(3), 389-407.
• Baharumshah, A.Z. et al. (2009), “Stock Prices and Demand for Money in China: New Evidence”, Journal of International Financial Markets, Institutions, and Money, 19(1), 171-187.
• Bahmani-Oskooee, M. & M. Karacal (2006), “The Demand for Money in Turkey and Currency Substitution”, Applied Economics Letters, 13(10), 635-642.
• Bahmani-Oskooee, M. (2001), “How Stable is M2 Money Demand Function in Japan?”, Japan and the World Economy, 13(4), 455-461.
• Bahmani-Oskooee, M. et al. (2017), “Do Exchange Rate Changes Have Symmetric or Asymmetric Effects on the Demand for Money in Turkey?”, Applied Economics, 49(42), 4261-4270.
• Ball, L. (2001), “Another Look at Long-Run Money Demand”, Journal of Monetary Economics, 47(1), 31-44.
• Banerjee, A. et al. (1998), “Error-Correction Mechanism Tests for Cointegration in a Single-Equation Framework”, Journal of Time Series Analysis, 19(3), 267-283.
• Brown, R.L. et al. (1975), “The Techniques for Testing the Constancy of Regression Relations over Time”, Journal of Royal Statistical Society, (37), 149-192.
• Carpenter, S.B. & J. Lange (2003), “Money Demand and Equity Markets”, Federal Reserve Board, Finance and Economics Discussion Series, No. 3.
• Carstensen, K. (2006), “Stock Market Downswing and the Stability of European Monetary Union Money Demand”, Journal of Business and Economic Statistics, 24(4), 395-402.
• Caruso, M. (2006), “Stock Market Fluctuations and Money Demand in Italy, 1913-2003”, Economic Notes, 35(1), 1-47.
• Choudhry, T. (1996), “Real Stock Prices and the Long-Run Money Demand Function: Evidence from Canada and the USA”, Journal of International Money and Finance, 15(1), 1-17.
• Chowdhury, A.R. (1997), “The Financial Structure and the Demand for Money in Thailand”, Applied Economics, 29(3), 401-409.
• Civcir, I. (2003), “Money Demand, Financial Liberalization and Currency Substitution in Turkey”, Journal of Economic Studies, 30(5-6), 514-534.
• Dickey, D.A. & W.A. Fuller (1979), “Distribution of the Estimators for Autoregressive Time Series with a Unit Root”, Journal of American Statistical Association, (79), 427-431.
• Doğan, B. (2015), “The Demand for Money During the Transition from High to Low Inflation in Turkey in The Period 2002-2014”, International Research Journal of Applied Finance, 6(3), 141-151.
• Dritsaki, M. & C. Dritsaki (2012), “The Stability of Money Demand : Evidence from Turkey”, The IUP Journal of Bank Management, 11(4), 1-22.
• Friedman, M. (1988), “Money and the Stock Market”, Journal of Political Economy, 96(2), 221-245.
• Gencer, S. & İ. Arısoy (2013), “The estimation of Long-Run Broad Money Demand (M2Y) in Turkey: Evidence from Time-Varying Parameters Approach”, Ege Academic Review, 13(4), 515-526.
• Granger, C.W.J. (1969), “Investigating Causal Relations by Econometric Models and Cross-spectral Methods”, Econometrica, 37(3), 424-438.
• Halicioglu, F. & M. Uğur (2005), “On Stability of the Demand for Money in a Developing OECD Country: The Case of Turkey”, Global Business and Economics Review, 7(2/3), 203-213.
• Harvey, C.R. (1988), “The Real Term Structure and Consumption Growth”, Journal of Financial Economics, 22(2), 305-333.
• Hsing, Y. (2007), “Impacts of Financial Stock Prices and Exchange Rates on the Demand for Money in Poland”, Southeast European Journal of Economics and Business, 2(1), 7-13.
• Idilbi-Bayaa, Y. & M. Qadan (2022), “What the Current Yield Curve Says, and What the Future Prices of Energy Do”, Resources Policy, 75, 102494.
• Keynes, J.M. (1936), The General Theory of Employment, Interest and Money, Harcourt Brace, London.
• Khalid, A.M. (1999), “Modelling money demand in open economies: The case of selected Asian countries”, Applied Economics, 31(9), 1129-1135.
• Kumari, J. & J. Mahakud (2012), “Relationship Between Stock Prices, Exchange Rate and the Demand For Money in India”, Economics, Management, and Financial Markets, 7(3), 31-52.
• Marshall, A. (1923), Money, Credit & Commerce, Macmillan.
• McCornac, D. (1991), “Money and the Level of Stock Market Prices: Evidence from Japan”, Quarterly Journal of Business and Economics, 30(4), 42-54.
• Mutluer, D. & Y. Barlas (2002), “Modeling the Turkish Broad Money Demand”, Central Bank Review, 2(2), 55-76.
• Mwanzia, J. et al. (2015), “The Effect of Stock Prices on Demand for Money: The Case of Kenya”, Tanzanian Economic Review, 5(1-2), 1-21.
• Narayan, P.K. (2004), “New Zealand’s Trade Balance: Evidence of the J-curve and Granger Causality”, Applied Economics Letters, (11), 351-354.
• OECD (2020), OECD Economic Outlook, No. 107, Statistics and Projections (database), <https://stats.oecd.org/#>, 05.06.2023.
• Özcan, B. & A. Arı (2013), “An Analysis on Determinants and Stability of Money Demand: The Case of Turkey”, Yönetim ve Ekonomi, 20(2), 105-120.
• Özdemir, K.A. & M. Saygılı (2013), “Economic Uncertainty and Money Demand Stability in Turkey”, Journal of Economic Studies, 40(3), 314-333.
• Pesaran, M.H. et al. (2001), “Bounds Testing Approaches to the Analysis of Level Relationships”, Journal of Applied Econometrics, 16(3), 289-326.
• Phillips, P.C.B. & P. Perron (1988), “Testing for a Unit Root in Time Series Regression”, Biometrika, 75(2), 335-346.
• Pigou, A.C. (1917), “The Value of Money”, The Quarterly Journal of Economics, 32(1), 38-65.
• Sharifi-Renani, H. (2008), “Demand for Money in Iran: An ARDL Approach”, MPRA, 39922, 1-29.
• Siklar, E. & I. Siklar (2021), “Is There a Change in the Money Demand Stability in Turkey? A Nonlinear Approach”, International Journal of Economics and Financial Research, 7(2), 28-42.
• The Republic of Turkey Central Bank (2023), Electronic Data Delivery System (EDDS), <https://evds2.tcmb.gov.tr/>, 05.06.2023.
• Thornton, J. (1998), “Real Stock Prices and the Long-run Demand for Money in Germany”, Applied Financial Economics, 8(5), 513-517.
• Tule, M.K. et al. (2018), “A Reassessment of Money Demand in Nigeria”, CBN Journal of Applied Statistics, 9(1), 47-75.
• Tüzün, O. (2017), “Türkiye’de Para Talebinin İstikrarı: Zamana Göre Değişen Eşbütünleşme Testi”, Social Sciences Studies Journal, 3(12), 2252-2260.
• Zivot, E. & D.W.K. Andrews (2002), “Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis”, Journal of Business and Economic Statistics, 20(1), 25-44.