Hisse Senedi Fiyatları ve Türk Para Talebi Fonksiyonu İlişkili midir?

Year 2023, Volume: 31 Issue: 57, 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

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