The Interaction Between Economic Uncertainties and Financial Cycles in Türkiye: Frequency Domain Symmetric and Asymmetric Causality Analysis

Öz

This study analyzes the impact of the Turkish Economic Uncertainty Index on financial cycles with monthly data for the period 2010:01–2024:12. Financial cycles are represented by a composite index formed by indicators such as banking spread, real housing prices, and the BIST100 index. In order to examine the relationship at the short-, medium-, and long-term levels, Breitung and Candelon (2006) applied a frequency domain symmetric and asymmetric causality test. The findings show that decreases in economic uncertainty significantly affect the positive component of financial cycles in both the short and long term. On the other hand, it was found that the economic uncertainty index tended to decrease in the short term during financial contraction periods. The results indicate that reducing uncertainties not only provides market confidence but also supports persistent financial expansion processes. The study makes an original contribution to the literature by revealing for the first time the impact of policy uncertainty on financial cycles on a frequency-based basis through the asymmetric effect channel.

Anahtar Kelimeler

• Economic Policy Uncertainty
• Financial Cycles
• Symmetric and Asymmetric Causality

Türkiye'de Ekonomik Belirsizlikler ve Finansal Çevrimler Arasındaki Etkileşim: Frekans Alanında Simetrik ve Asimetrik Nedensellik Analizi

Öz

Bu çalışma, Türkiye ekonomik belirsizlik endeksinin finansal çevrimler üzerindeki etkisini 2010:01–2024:12 dönemi için aylık verilerle analiz etmektedir. Finansal çevrimler, bankacılık spreadi, reel konut fiyatları ve BIST100 endeksi gibi göstergeler üzerinden oluşturulan bileşik bir endeks ile temsil edilmiştir. İlişkiyi kısa, orta ve uzun dönem düzeyinde inceleyebilmek amacıyla Breitung ve Candelon (2006) frekans alanı simetrik ve asimetrik nedensellik testi uygulanmıştır. Bulgular, ekonomik belirsizlikteki azalışların finansal çevrimlerin pozitif bileşenini hem kısa hem de uzun vadede anlamlı şekilde etkilediğini göstermektedir. Buna karşılık, finansal daralma dönemlerinde ekonomik belirsizlik endeksinin kısa vadede azalma eğilimi gösterdiği tespit edilmiştir. Elde edilen sonuçlar, belirsizliklerin azaltılmasının sadece piyasa güveni sağlamakla kalmayıp, aynı zamanda kalıcı finansal genişleme süreçlerini desteklediğine işaret etmektedir. Çalışma, asimetrik etki kanalıyla politika belirsizliğinin finansal döngüler üzerindeki etkisini frekans-temelli olarak ilk kez ortaya koyarak literatüre özgün bir katkı sağlamaktadır.

Anahtar Kelimeler

• Ekonomik Politika Belirsizliği
• Finansal Çevrimler
• Simetrik ve Asimetrik Nedensellik

Kaynakça

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