Ekonomik Belirsizlik, Reel Sektör, Döviz ve Faiz Etkileşimlerinin Finansal Piyasalara Yansıması: Zamanla Değişen Yaklaşım

Öz

Finansal piyasalarda artan belirsizlik ve makroekonomik dalgalanmalar yatırımcı davranışlarını karmaşık hale getirmektedir. Çalışmanın amacı, Türkiye’ye özgü ekonomik belirsizlik endeksi, sanayi üretimi, politika faizi, döviz kuru getirisi ve BİST-100 volatilitesi arasındaki ilişkiyi 01.01.2013 ile 31.12.2024 dönemini içeren aylık veriler üzerinden kayan, genişleyen ve daralan pencere analizi yöntemi kullanarak araştırmaktır. Bu yönüyle çalışma BİST-100 volatilitesinin dinamiklerini açıklamaya yönelik literatürdeki modellerden yöntemsel olarak önemli ölçüde ayrışmaktadır. Geleneksel modeller genellikle durağan parametre varsayımı altında tek bir tahmin süreci yürütürken, bu çalışmada kayan, genişleyen ve daralan pencere yaklaşımları birlikte kullanılarak zamanla değişen ilişkiler evrimsel biçimde izlenmiştir. Böylece, volatilite ile makroekonomik değişkenler arasındaki bağın farklı dönemlerde nasıl güçlendiği veya zayıfladığı dinamik olarak ortaya konmuştur. Çalışma hem yöntemsel hem de ampirik açıdan finansal piyasa volatilitesinin evrimsel analizine özgün bir katkı sunmaktadır. Elde edilen sonuçlara göre, ekonomik belirsizlik, sanayi üretimi, faiz oranı ve döviz kuru getirilerinin BİST-100 volatilitesi üzerindeki etkilerinin zamana ve politika rejimlerine bağlı olarak yön ve büyüklük açısından değiştiği görülmüştür.

Anahtar Kelimeler

• Ekonomik belirsizlik
• Makroekonomik değişkenler
• Volatilite
• Pencere analizi

The Impact of Interactions Among Economic Uncertainty, Real Sector, Exchange Rates and Interest Rates on Financial Markets: A Time-Varying Approach

Öz

Increasing uncertainty in financial markets and macroeconomic fluctuations complicate investor behavior. The aim of this study is to investigate the relationship between Türkiye’s economic uncertainty index, industrial production, policy interest rate, foreign exchange rate return, and BIST-100 volatility using monthly data covering the period from January 1, 2013 to December 31, 2024, using a rolling, expanding, and narrowing window analysis method. In this respect, the study differs significantly from the models in the literature explaining the dynamics of BIST-100 volatility. While traditional models typically run a single forecasting process under the assumption of stationary parameters, this study uses rolling, expanding, and narrowing window approaches together to trace evolving relationships over time. Thus, it dynamically reveals how the link between volatility and macroeconomic variables strengthened or weakened in different periods. The study makes a unique contribution to the evolutionary analysis of financial market volatility from both methodological and empirical perspectives. The results indicate that the effects of economic uncertainty, industrial production, interest rates, and exchange rate return on BIST-100 volatility change in terms of direction and magnitude depending on time and policy regimes.

Anahtar Kelimeler

• Economic uncertainty
• Macroeconomic variables
• Volatility
• Window analysis

Kaynakça

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