AN EMPIRICAL ANALYSIS OF THE EFFECT OF CENTRAL BANK POLICY INTEREST DECISIONS ON EQUITY AND EXCHANGE RATE: EVIDENCE FROM TURKIYE

Year 2023, Issue: 41, 50 - 63, 31.10.2023

Hasan Kazak

https://doi.org/10.18092/ulikidince.1231285

Abstract

The purpose of this study is to support the decisions of investors and contribute to the literature by analyzing whether the Central bank policy rate decisions in Türkiye influence the BIST 100 and USD/TL rates. Within the scope of the study, daily BIST 100 index and USD/TL rate closing values covering the date range 2015-2022 were used. ARCH-LM test and EGARCH) model were used in the analyses. Policy rate decisions were evaluated in three categories as “increase”, “decrease” and “fixed”. As a result of the study, in terms of BIST 100 (BIST100) index; It has been determined that the coefficients of the variables representing the policy rate cut and increase are significant at the 1% and 5% significance level. According to these results, it was seen that the BIST 100 index was affected by the policy rate hike and reduction decisions, but not by the decisions to keep it constant. When the variance equation in the study is examined, it is seen that negative shocks are more effective than positive shocks on BIST 100. In terms of the USD/TL rate index, which is also discussed in the same study; It has been seen that the coefficients of the variables representing policy rate decisions are not statistically significant. Accordingly, it has been concluded that the USD/TL index is not affected by the policy rate hikes, reductions and remaining constant decisions.

Keywords

Anomalies, BIST, Exchange Rate, Stock Returns, Central Bank, Monetary Policy

MERKEZ BANKASI POLİTİKA FAİZİ KARARLARININ HİSSE SENETLERİ VE DÖVİZ KURU ÜZERİNDEKİ ETKİSİNİN AMPİRİK BİR ANALİZİ: TÜRKİYE'DEN KANITLAR

Abstract

Bu çalışmanın amacı, Türkiye'de Merkez bankası politika faizi kararlarının BİST 100 ve USD/TL kuru üzerinde etkisinin olup olmadığının analiz edilerek yatırımcı kararlarına destek olmak ve literatüre katkı sunmaktır. Çalışma kapsamında 2015-2022 tarih aralığını kapsayan günlük BİST 100 endeksi ve USD/TL kuru kapanış değerleri kullanılmıştır. Çalışmada ARCH-LM testi ve EGARCH) modeli kullanılarak analizler yapılmıştır. Politika faiz kararları “artış”, “azalış” ve “sabit” olmak üzere üç kategoride değerlendirilmiştir. Çalışma sonucunda BİST 100 (BIST100) endeksi açısından; politika faiz indirimini ve artırımı temsil eden değişkenlerin katsayılarının %1 ve %5 önem düzeyinde anlamlı olduğu tespit edilmiştir. Bu sonuçlara göre BİST 100 endeksinin politika faizi artırım ve indirim kararlarından etkilendiği, sabit tutma kararlarından ise etkilenmediği görülmüştür. Çalışmada yer alan varyans denklemi incelendiğinde negatif şokların BİST 100 üzerinde pozitif şoklara göre daha etkili olduğunu görülmüştür. Yine aynı çalışmada ele alınan USD/TL kuru endeksi açısından; politika faiz kararlarını temsil eden değişkenlerin katsayılarının istatistiki olarak anlamlı olmadığı görülmüştür. Bu durumda USD/TL endeksinin politika faizi artırım, indirim ve sabit kalması kararlarından etkilenmediği sonucuna ulaşılmıştır.

Keywords

Anomaliler, BIST, Döviz Kuru, Hisse Senedi Getirileri, Merkez Bankası, Para Politikası

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