Ekonomik Politik Belirsizlik, Finansal Faktörler ve Türkiye'de BIST 100 Oynaklığı: TVP-VAR Modelinden Kanıtlar

Öz

Bu çalışma, makroekonomik ve finansal faktörlerin zaman içinde Türkiye borsa volatilitesini nasıl etkilediğini incelemektedir. Bağımlı değişken, finansal piyasalarda yaygın olarak görülen volatilite kümelenmesini yansıtan, GARCH(1,1) modeline dayalı koşullu volatilite serisidir. Bağımsız değişkenler ise Baker, Bloom ve Davis (2016) tarafından geliştirilen Ekonomik Politika Belirsizliği (EPU) endeksi, Türkiye ile ABD arasında 10 yıllık devlet tahvillerine ilişkin getiri farkı ve USD/TRY döviz kuru getirisidir. Analizde Şubat 2010 ile Aralık 2024 arasındaki aylık veriler kullanılmıştır. TVP-VAR modeli tahmin edilmiş ve her dönem için ayrı ayrı hesaplanan sonuçtaki etki tepki fonksiyonları, üç boyutlu yüzey grafikleri olarak sunulmuştur. Bulgular, EPU şoklarının 2014 - 2015 küresel para politikası normalleşme süreci boyunca BIST 100 volatilitesi üzerinde güçlü bir pozitif etkiye sahip olduğunu, ancak 2018 döviz krizi sırasında bu etkinin negatife döndüğünü göstermektedir. Faiz oranı farkı şokları, 2010 - 2013 döneminde inandırıcı para politikası yoluyla volatiliteyi dizginlemiştir. Ancak bu istikrar sağlayıcı etki, 2021 - 2022 dönemindeki geleneksel olmayan para politikası sürecinde neredeyse ortadan kalkmıştır. Döviz kuru getiri şokları, 2016 - 2018 döneminde en derin olumsuz etkisine ulaşmış, ardından geleneksel para politikasına geri dönülmesiyle kısmi bir toparlanma göstermiştir.

Anahtar Kelimeler

• BIST 100 Oynaklığı
• Ekonomik Politik Belirsizlik
• TVP-VAR
• Faiz Koridoru
• Kur Getirisi

Economic Policy Uncertainty, Financial Factors, and BIST 100 Volatility in Türkiye: Evidence from A TVP-VAR Model

Öz

This study examines how macroeconomic and financial factors affect Turkish stock market volatility over time. The dependent variable is a GARCH(1,1) based conditional volatility series that captures the volatility clustering common in financial markets. The independent variables are the Economic Policy Uncertainty (EPU) index of Baker, Bloom, and Davis (2016), the sovereign yield spread between Türkiye and the United States on 10-year government bonds, and the USD/TRY exchange rate return. The analysis uses monthly data from February 2010 to December 2024. A TVP-VAR model is estimated, and the resulting impulse response functions, computed separately for each period, are presented as three-dimensional surface plots. The findings indicate that EPU shocks have a strongly positive effect on BIST 100 volatility during the 2014-2015 global monetary policy normalization process, but turn negative during the 2018 currency crisis. Interest rate spread shocks discipline volatility through credible monetary policy in the 2010-2013 period, yet this stabilizing effect nearly vanishes during the unconventional monetary policy episode of 2021-2022. Exchange rate return shocks reach their strongest negative effect in the 2016-2018 period before exhibiting a partial recovery following the return to orthodox monetary policy.

Anahtar Kelimeler

• BIST 100 Volatility
• Economic Policy Uncertainty
• TVP-VAR
• Interest Spread
• Exchange Rate Return

Kaynakça

1. Abid, A. (2020). Economic policy uncertainty and exchange rates in emerging markets: Short and long runs evidence. Finance Research Letters, 37, 101378. https://doi.org/10.1016/j.frl.2019.101378
2. Açıkalın, S., Aktaş, R. and Ünal, S. (2008). Relationships between stock markets and macroeconomic variables: An empirical analysis of the Istanbul Stock Exchange. Investment Management and Financial Innovations, 5(1), 8-16. Retrieved from irbis-nbuv.gov.ua
3. Aftab, M. and Phylaktis, K. (2022). Economic integration and exchange market pressure in a policy uncertain world. Journal of International Money and Finance, 128, 102701. https://doi.org/10.1016/j.jimonfin.2022.102701
4. Ahmed, S., Hoek, J., Kamin, S., Smith, B. and Yoldas, E. (2020). The impact of COVID-19 on emerging market economies' financial conditions (FED Notes 2020). Retrieved from https://www.federalreserve.gov/econres/notes/feds-notes/the-impact-of-covid-19-on-emerging-markets-economies-financial-conditions-20201007.html
5. Aktaş, M. and Akdağ, S. (2013). Türkiye'de ekonomik faktörlerin hisse senedi fiyatları ile ilişkilerinin araştırılması. International Journal of Social Science Research, 2(1), 50-67. Retrieved from https://dergipark.org.tr/en/pub/ijssresearch/
6. Alam, Md.M. and Uddin, Md.G.S. (2009). Relationship between interest rate and stock price: Empirical evidence from developed and developing countries. International Journal of Business and Management, 4(3). https://doi.org/10.5539/ijbm.v4n3p43
7. Altınbaş, H., Kutay, N. and Akkaya, C. (2015). Makroekonomik faktörlerin hisse senedi piyasaları üzerindeki etkisi: Borsa İstanbul üzerine bir uygulama. Ekonomi ve Yönetim Araştırmaları Dergisi, 4(2), 30-49. Retrieved from https://dergipark.org.tr/tr/pub/eyad/
8. Antonakakis, N., Chatziantoniou, I. and Gabauer, D. (2020). Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions. Journal of Risk and Financial Management, 13(4), 84. https://doi.org/10.3390/jrfm13040084

9. Arouri, M., Estay, C., Rault, C. and Roubaud, D. (2016). Economic policy uncertainty and stock markets: Long-run evidence from the US. Finance Research Letters, 18, 136-141. https://doi.org/10.1016/j.frl.2015.08.009
10. Assefa, T.A., Esqueda, O.A. and Mollick, A.V. (2017). Stock returns and interest rates around the world: A panel data approach. Journal of Economics and Business, 89, 20. https://doi.org/10.1016/j.jeconbus.2016.10.001
11. Baker, S.R., Bloom, N. and Davis, S.J. (2016). Measuring economic policy uncertainty. Quarterly Journal of Economics, 131(4), 1593-1636. https://doi.org/10.1093/qje/qjw024
12. Balcilar, M., Gupta, R., Kyei, C. and Wohar, M.E. (2016). Does economic policy uncertainty predict exchange rate returns and volatility? Evidence from a nonparametric causality-in-quantiles test. Open Economies Review, 27(2), 229-250. https://doi.org/10.1007/s11079-016-9388-x
13. Bartsch, Z. (2019). Economic policy uncertainty and dollar-pound exchange rate return volatility. Journal of International Money and Finance, 98, 102067. https://doi.org/10.1016/j.jimonfin.2019.102067
14. Beaulieu, M.C., Cosset, J.C. and Essaddam, N. (2005). The impact of political risk on the volatility of stock returns: The case of Canada. Journal of International Business Studies, 36(6), 701-718. https://doi.org/10.1057/palgrave.jibs.8400160
15. Beckmann, J. and Czudaj, R. (2017). The impact of uncertainty on professional exchange rate forecasts. Journal of International Money and Finance, 73, 294-315. https://doi.org/10.1016/j.jimonfin.2017.02.009
16. Bernanke, B.S. (1986). Alternative explanations of the money-income correlation. Carnegie-Rochester Conference Series on Public Policy, 25, 49-99. https://doi.org/10.1016/0167-2231(86)90037-0
17. Bloom, N. (2009). The impact of uncertainty shocks. Econometrica, 77(3), 623-685. https://doi.org/10.3982/ECTA6248
18. Bloom, N. (2014). Fluctuations in uncertainty. Journal of Economic Perspectives, 28(2), 153-176. https://doi.org/10.1257/jep.28.2.153
19. Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307-327. https://doi.org/10.1016/0304-4076(86)90063-1
20. Boyacıoğlu, M.A. and Çürük, D. (2016). Döviz kuru değişimlerinin hisse senedi getirisine etkisi: Borsa İstanbul 100 endeksi üzerine bir uygulama. Muhasebe ve Finansman Dergisi, 70, 143-156. Retrieved from https://dergipark.org.tr/tr/pub/mufad/
21. Breitung, J., Brüggemann, R. and Lütkepohl, H. (2004). Structural vector autoregressive modeling and impulse responses. In H. Lütkepohl and M. Krätzig (Eds.), Applied time series econometrics (pp. 159-196). Cambridge: Cambridge University Press.
22. Chen, X., Yao, Y., Wang, L. and Huang, S. (2024). How EPU, VIX, and GPR interact with the dynamic connectedness among commodity and financial markets: Evidence from wavelet analysis. The North American Journal of Economics and Finance, 74, 102217. https://doi.org/10.1016/j.najef.2024.102217
23. Christou, C., Cunado, J., Gupta, R. and Hassapis, C. (2017). Economic policy uncertainty and stock market returns in Pacific-Rim countries: Evidence based on a Bayesian panel VAR model. Journal of Multinational Financial Management, 40, 92-102. https://doi.org/10.1016/j.mulfin.2017.03.001
24. Chuliá, H., Guillén, M. and Uribe, J.M. (2017). Measuring uncertainty in the stock market. International Review of Economics and Finance, 48, 18-33. https://doi.org/10.1016/j.iref.2016.11.003
25. Cogley, T. and Sargent, T.J. (2001). Evolving post-World War II U.S. inflation dynamics. NBER Macroeconomics Annual, 16, 331-373. https://doi.org/10.1086/654451
26. Cogley, T. and Sargent, T.J. (2005). Drifts and volatilities: Monetary policies and outcomes in the post WWII U.S. Review of Economic Dynamics, 8(2), 262-302. https://doi.org/10.1016/j.red.2004.10.009
27. Cooley, T.F. and LeRoy, S.F. (1985). Atheoretical macroeconometrics: A critique. Journal of Monetary Economics, 16(3), 283-308. https://doi.org/10.1016/0304-3932(85)90038-8
28. Crockett, A. (1996). The theory and practice of financial stability. De Economist, 144(4), 531-568. https://doi.org/10.1007/BF01371939
29. Dayıoğlu, T. and Aydın, Y. (2019). Relationship between the volatility of stock returns and the volatility of macroeconomic variables: A case of Turkey. American Journal of Theoretical and Applied Business, 5(2), 40-46. Retrieved from https://www.sciencepublishinggroup.com/
30. Demir, C. (2019). Macroeconomic determinants of stock market fluctuations: The case of BIST-100. Economies, 7(1), 8. https://doi.org/10.3390/economies7010008
31. Dickey, D.A. and Fuller, W.A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057-1072. https://doi.org/10.2307/1912517
32. Eichengreen, B. and Gupta, P. (2015). Tapering talk: The impact of expectations of reduced Federal Reserve security purchases on emerging markets. Emerging Markets Review, 25, 1-15. https://doi.org/10.1016/j.ememar.2015.07.002
33. Enders, W. (2015). Applied econometric time series (4th ed.). New York: Wiley.
34. Engle, R.F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987-1007. https://doi.org/10.2307/1912773
35. Ferrer, R., Bolós, V.J. and Benítez, R. (2016). Interest rate changes and stock returns: A European multi-country study with wavelets. International Review of Economics & Finance, 44, 1. https://doi.org/10.1016/j.iref.2016.03.001
36. Fitzsimons, E. and Sun, M. (2012). An exploration of how political risk components affect the stock return and volatility considering different countries of varying economic development (Unpublished master's thesis). Lund University, Lund, Sweden.
37. Gabauer, D. and Gupta, R. (2018). On the transmission mechanism of country-specific and international economic uncertainty spillovers: Evidence from a TVP-VAR connectedness decomposition approach. Economics Letters, 171, 63-71. https://doi.org/10.1016/j.econlet.2018.07.007
38. Gayaker, S. and Yalcin, Y. (2026). Examining the impact of monetary policy in Turkey: TVP-VAR with stochastic volatility. Panoeconomicus, 73(3), 313-337. https://doi.org/10.2298/PAN230325007G
39. Granger, C.W.J. and Newbold, P. (1974). Spurious regressions in econometrics. Journal of Econometrics, 2(2), 111-120. https://doi.org/10.1016/0304-4076(74)90034-7
40. Gu, G., Zhu, W. and Wang, C. (2021). Time-varying influence of interest rates on stock returns: Evidence from China. Economic Research-Ekonomska Istraživanja, 35(1), 2510. https://doi.org/10.1080/1331677x.2021.1966639
41. Guler, D. (2020). The impact of the exchange rate volatility on the stock return volatility in Turkey. Eurasian Journal of Business and Management, 8(2), 106-123. Retrieved from https://www.proquest.com/
42. Gürkaynak, R.S., Kısacıkoğlu, B. and Lee, S.S. (2023). Exchange rate and inflation under weak monetary policy: Turkey verifies theory. Economic Policy, 38(115), 519-560. https://doi.org/10.1093/epolic/eiad020
43. Haddow, A., Hare, C., Hooley, J. and Shakir, T. (2013). Macroeconomic uncertainty: What is it, how can we measure it and why does it matter? Bank of England Quarterly Bulletin, 53(2), 100-109. Retrieved from https://www.bankofengland.co.uk/
44. Hu, G., Liu, S., Wu, G., Hu, P., Li, R. and Chen, L. (2023). Economic policy uncertainty, geopolitical risks, and the heterogeneity of commodity price fluctuations in China: An empirical study based on TVP-SV-VAR model. Resources Policy, 85, 104009. https://doi.org/10.1016/j.resourpol.2023.104009
45. Hu, Z. and Borjigin, S. (2024). The amplifying role of geopolitical risks, economic policy uncertainty, and climate risks on energy-stock market volatility spillover across economic cycles. North American Journal of Economics and Finance, 71, 102114. https://doi.org/10.1016/j.najef.2024.102114
46. İlhan, A. and Akdeniz, C. (2020). The impact of macroeconomic variables on the stock market in the time of COVID-19: The case of Turkey. Journal of Research in Economics, Politics & Finance, 5(3), 893-912. https://doi.org/10.30784/epfad.810630
47. Jansen, D.W. and Zervou, A. (2017). The time varying effect of monetary policy on stock returns. Economics Letters, 160, 54. https://doi.org/10.1016/j.econlet.2017.08.022 Jurado, K., Ludvigson, S.C. and Ng, S. (2015). Measuring uncertainty. American Economic Review, 105(3), 1177-1216. https://doi.org/10.1257/aer.20131193
48. Karaca, S.S., Koyuncu, T. and Çevik, M. (2021). Borsa İstanbul mali endeksi ile makroekonomik değişkenlerin ARDL sınır testi ile analizi. Finansal Araştırmalar ve Çalışmalar Dergisi, 13(25), 572-585. https://doi.org/10.14784/marufacd.976614
49. Kılıç, A., Kula, V. and Özdemir, L. (2023). The relationship between exchange rate volatility and stock index return: Evidence from Turkey. Prizren Social Science Journal, 7(1), 1-13. Retrieved from https://www.ceeol.com/
50. Kido, Y. (2016). On the link between the US economic policy uncertainty and exchange rates. Economics Letters, 144, 49-52. https://doi.org/10.1016/j.econlet.2016.04.022
51. Kilic, I. and Balli, F. (2024). Measuring economic country-specific uncertainty in Türkiye. Empirical Economics, 67, 1649-1689. https://doi.org/10.1007/s00181-024-02594-z
52. Knight, F.H. (1921). Risk, uncertainty and profit (Vol. 31). Boston: Houghton Mifflin.
53. Koop, G. and Korobilis, D. (2010). Bayesian multivariate time series methods for empirical macroeconomics. Foundations and Trends in Econometrics, 3(4), 267-358. https://doi.org/10.1561/0800000013
54. Kök, D. and Nazlıoğlu, E.H. (2020). Finansal piyasalarda asimetrik nedensellik: BIST100, VIX ve döviz kuru örneği. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 55, 245-262. https://doi.org/10.18070/erciyesiibd.659871
55. Krol, R. (2014). Economic policy uncertainty and exchange rate volatility. International Finance, 17(2), 241-256. https://doi.org/10.1111/infi.12049
56. Kumar, R. and Rao, D.T. (2026). Does economic policy uncertainty confound exchange rate pass-through to domestic prices in India? Foreign Trade Review, Advance online publication. https://doi.org/10.1177/00157325261420527
57. Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. and Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics, 54(1-3), 159-178. https://doi.org/10.1016/0304-4076(92)90104-Y
58. Liu, J. (2020). Impact of uncertainty on foreign exchange market stability: Based on the LT-TVP-VAR model. China Finance Review International, 11(1), 53-72. https://doi.org/10.1108/CFRI-07-2019-0112
59. Martínez, P.M., Ferrer, R. and Sotos, F.E. (2015). Interest rate changes and stock returns in Spain: A wavelet analysis. BRQ Business Research Quarterly, 18(2), 95. https://doi.org/10.1016/j.brq.2014.07.004
60. McMillan, D.G. (2022). The time-varying relation between stock returns and monetary variables. Journal of Risk and Financial Management, 15(1), 9. https://doi.org/10.3390/jrfm15010009
61. Minsky, H.P. (1992). The financial instability hypothesis (The Jerome Levy Economics Institute Working Paper No. 74). Retrieved from https://www.levyinstitute.org/pubs/wp74.pdf
62. Moussa, F. and Delhoumi, E. (2021). The asymmetric impact of interest and exchange rate on the stock market index: Evidence from MENA region. International Journal of Emerging Markets, 17(10), 2510. https://doi.org/10.1108/ijoem-01-2020-0089
63. Mueller, P., Tahbaz-Salehi, A. and Vedolin, A. (2017). Exchange rates and monetary policy uncertainty. Journal of Finance, 72(3), 1213-1252. https://doi.org/10.1111/jofi.12499
64. Mumtaz, H. and Surico, P. (2018). Policy uncertainty and aggregate fluctuations. Journal of Applied Econometrics, 33(3), 319-331. https://doi.org/10.1002/jae.2613
65. Nyakurukwa, K. and Seetharam, Y. (2023). Cross-country categorical economic policy uncertainty spillovers: Evidence from a conditional connectedness TVP-VAR framework. Journal of Financial Economic Policy, 15(2), 164-182. https://doi.org/10.1108/JFEP-10-2022-0256
66. Olanipekun, I.O., Güngör, H. and Olasehinde-Williams, G. (2019). Unraveling the causal relationship between economic policy uncertainty and exchange market pressure in BRIC countries: Evidence from bootstrap panel Granger causality. Sage Open, 9(2). https://doi.org/10.1177/2158244019853998
67. Parihar, A.S. and Gupta, G.C. (2024). Examine how political and economic uncertainty influences stock market volatility and investor behaviour. International Journal of Commerce and Management Research, 10(3), 31-35. Retrieved from https://www.managejournal.com/
68. Pástor, Ľ. and Veronesi, P. (2013). Political uncertainty and risk premia. Journal of Financial Economics, 110(3), 520-545. https://doi.org/10.1016/j.jfineco.2013.08.007
69. Pei, B. (2022). Does economic policy uncertainty affect the correlation between stock price and RMB exchange rate? Analysis based on DCC-MGARCH and TVP-SV-VAR models. Journal of Global Economy, Business and Finance, 4(4). https://doi.org/10.53469/jgebf.2022.04(04).03
70. Phillips, P.C.B. and Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346. https://doi.org/10.1093/biomet/75.2.335
71. Poyraz, P.E. and Tepeli, A.Y. (2015). Seçilmiş makro ekonomik göstergelerin Borsa İstanbul XU100 endeksi üzerindeki etkisinin analizi. Paradoks Ekonomi Sosyoloji ve Politika Dergisi, 11(2), 102-128. https://izlik.org/JA23AK66LU
72. Primiceri, G.E. (2005). Time varying structural vector autoregressions and monetary policy. Review of Economic Studies, 72(3), 821-852. https://doi.org/10.1111/j.1467-937X.2005.00353.x
73. Rastogi, S. (2014). The financial crisis of 2008 and stock market volatility: Analysis and impact on emerging economies pre and post crisis. Afro-Asian Journal of Finance and Accounting, 4(4), 443-459. https://doi.org/10.1504/AAJFA.2014.067017
74. Rodriguez, G., Castillo B., P. and Ojeda Cunya, J.A. (2024). Time-varying effects of external shocks on macroeconomic fluctuations in Peru: An empirical application using TVP-VAR-SV models. Open Economies Review, 35, 1015-1050. https://doi.org/10.1007/s11079-023-09742-5
75. Ross, S.A. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341-360. https://doi.org/10.1016/0022-0531(76)90046-6
76. Salisu, A.A. and Sikiru, A.A. (2021). Stock returns and interest rate differential in high and low interest rate environments. International Journal of Finance & Economics, 28(2), 1713. https://doi.org/10.1002/ijfe.2502
77. Salisu, A.A., Demirer, R. and Gupta, R. (2023). Policy uncertainty and stock market volatility revisited: The predictive role of signal quality. Journal of Forecasting, 42(8), 2307-2321. https://doi.org/10.1002/for.3016
78. Sancar, C., Uğur, A. and Akbaş, Y.E. (2017). The analysis of the relationship between stock price index and the macroeconomic variables: Turkey example. International Journal of Social Sciences and Education Research, 3(5S), 1774-1786. https://doi.org/10.24289/ijsser.336971
79. Schwert, G.W. (2011). Stock volatility during the recent financial crisis. European Financial Management, 17(5), 789-805. https://doi.org/10.1111/j.1468-036X.2011.00620.x
80. Senol, Z. (2021). Borsa endeksi, döviz kuru, faiz oranları ve CDS primleri arasındaki oynaklık yayılımları: Türkiye örneği. Business and Economics Research Journal, 12(1), 111-126. Retrieved from https://www.ceeol.com/
81. Shapiro, M.D. and Watson, M.W. (1988). Sources of business cycle fluctuations. NBER Macroeconomics Annual, 3, 111-148. https://doi.org/10.1086/654078
82. Sharpe, W.F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425-442. https://doi.org/10.1111/j.1540-6261.1964.tb02865.x
83. Sims, C.A. (1980). Macroeconomics and reality. Econometrica, 48(1), 1-48. https://doi.org/10.2307/1912017
84. Sims, C.A. (1981). An autoregressive index model for the U.S. 1948-1975. In J. Kmenta and J. Ramsey (Eds.), Large-scale macro-econometric models (pp. 283-327). Netherlands: North-Holland.
85. Swedberg, R. (2010). The structure of confidence and the collapse of Lehman Brothers. In M. Lounsbury and P.M. Hirsch (Eds.), Markets on trial: The economic sociology of the U.S. financial crisis (pp. 71-114). https://doi.org/10.1108/S0733-558X(2010)000030A007
86. Taştan, H. and Güngör, A. (2019). Türkiye hisse senedi piyasa volatilitesinin makroekonomik temelleri. Business and Economics Research Journal, 10(4), 823-832. Retrieved from https://www.ceeol.com/
87. Ünlü, F. (2024). Ekonomik politika belirsizliği ve petrol fiyatı şoklarının hisse senedi getirileri üzerindeki etkileri: Türkiye üzerine yapısal VAR analizi. İktisat Politikası Araştırmaları Dergisi, 11(2), 158-185. https://doi.org/10.26650/JEPR1410149
88. Wang, Y., Wang, L., Pan, C. and Hong, S. (2022). Economic policy uncertainty and price pass-through effect of exchange rate in China. Pacific-Basin Finance Journal, 75, 101844. https://doi.org/10.1016/j.pacfin.2022.101844
89. Wu, H. (2024). Time-varying effects of economic policy uncertainty on the volatility of China's stock market: Based on TVP-VAR model. Academic Journal of Business & Management, 6(5), 15-22. Retrieved from https://francis-press.com/papers/15657
90. Yalçınkaya, Ö. (2019). Küresel ekonomik, politik ve jeopolitik belirsizliklerin makroekonomik etkileri: Türkiye ekonomisi üzerine SVAR analizi (1992:Q1-2018:Q2). Yaşar Üniversitesi E-Dergisi, 14(53), 56-73. Retrieved from https://dergipark.org.tr/tr/pub/jyasar/
91. Yaman, S. and Korkmaz, T. (2020). Döviz kurları ile BİST turizm endeksi getirileri arasındaki volatilite yayılım etkisinin belirlenmesi. Business and Economics Research Journal, 11(3), 681-702. Retrieved from https://openurl.ebsco.com/
92. Zivot, E. and Andrews, D.W.K. (1992). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of Business & Economic Statistics, 10(3), 251-270. https://doi.org/10.1080/07350015.1992.10509904