The Relationship Between İnternational Trade and Financial Markets in the Scope of Socionomics Approach: The Analysis of Cointegration and Causality

Abstract

This study examines the relationship between Turkish export to USA, Germany, United Kingdom, France and financial markets which is an indicator of socionomics of these countries examined within the scope of socionomic approach. Turkish export to USA, Germany, United Kingdom, France and returns of financial markets (Dow Jones, Dax, FTSE100, CAC40) of these countries are used as variables within the period of 1995-2018. In this study, ARDL Bound Test show that there are co-integration relationships between series. The result of Granger causality analysis demonstrates that there is an unidirectional causality between series. These unidirectional causality occurs from financial markets of USA (Dow Jones) and Germany (Dax) to Turkis export. Another unidirectional causality takes place between Turkish export and financial market of United Kingdom.

Keywords

• International Trade,Financial Markets,Socionomics,ARDL Bound Test,Granger Causality Test

Sosyonomik Yaklaşım Kapsamında Uluslararası Ticaret ve Finansal Piyasalar Arasındaki İlişki: Eşbütünleşme ve Nedensellik Analizi

Öz

Bu çalışma ile sosyonomik yaklaşım kapsamında Türkiye’nin ABD, Almanya, İngiltere ve Fransa’ya gerçekleştirdiği ihracat ile aynı ülkelerin ekonomik olarak sosyal ruh hallerinin göstergesi olan finansal piyasaları arasındaki ilişki analiz edilmektedir. Çalışmada, 1996 ve 2018 yılları arasındaki dönemi kapsayan aylık ihracat verileri ile aylık finansal piyasa getirileri kullanılmıştır. ARDL sınır testi sonucunda, Türkiye’nin ABD, Almanya, İngiltere ve Fransa’ya gerçekleştirdiği ihracat ile bu ülkelerin finansal piyasaları arasında eşbütünleşme ilişkisi olduğu görülmüştür. Granger Nedensellik analizi sonucunda, ABD ve Almanya finansal piyasalarından (Dow Jones-Dax) Türkiye’nin ABD’ye ve Almanya’ya gerçekleştirdiği ihracata doğru ve Türkiye’nin İngiltere’ye gerçekleştirdiği ihracattan İngiltere finansal piyasalarına (FTSE100) doğru tek yönlü bir nedensellik ilişkisi tespit edilmiştir.

Anahtar Kelimeler

• Uluslararası Ticaret,Finansal Piyasalar,Sosyonomi,ARDL Sınır Testi,Granger Nedensellik Testi

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