Dynamic connectedness between financial assets in Turkey: Evidence from the TVP-VAR model

Yıl 2022, , 346 - 363, 24.06.2022

Erdinç Akyıldırım , Hidayet Güneş , İsmail Çelik

https://doi.org/10.30855/gjeb.2022.8.2.010

Öz

This study aims to investigate the dynamic connectedness relations between financial assets in Turkey from the perspective of Covid-19. In order to determine this, daily data between 2008 and 2021 of six sub-markets, which can be indicators about the economy, including money, bonds, foreign exchange, stocks, commodities and credit risk, were used. TVP-VAR model results show that the dynamic interconnectedness relationship between related financial assets increases during turbulence periods experienced at both the global and local levels in the sample period. This result can be interpreted as the stress occurring in related financial assets during stress periods increases the total risk as a result of increased linkage with other assets. As a result of the research, the foreign exchange market and credit risk indicators are found to be the net shock transmitter in the sample period; money, bond and commodity market indicators were found to be net shock receivers. On the other hand, it has been observed that the stock market changes frequently as shock receivers and transmitters over time and is neutral in terms of average value over time.

Anahtar Kelimeler

TVP-VAR, Financial Markets, Dynamic Connectedness, Covid-19

Türkiye’de finansal varlıklar arasında dinamik bağlantılılık: TVP-VAR modelinden kanıtlar

Öz

Bu çalışma ile Türkiye’deki finansal varlıklar arasındaki dinamik bağlantılılık ilişkileri Covid-19 perspektifinde araştırılmak istenmektedir. Bunu tespit edebilmek amacıyla para, tahvil, döviz, hisse senedi, emtia ve kredi riski olmak üzere ekonomi hakkında gösterge olabilecek altı alt piyasanın, 2008 ile 2021 tarihleri arasındaki günlük verileri kullanılmıştır. TVP-VAR model sonuçları, örneklem döneminde hem küresel hem de yerel düzeyde yaşanan türbülans dönemlerinde ilgili finansal varlıklar arasındaki dinamik bağlantılılık ilişkisinin arttığını göstermektedir. Bu sonuç, stres dönemlerinde ilgili finansal varlıklarda meydana gelen stresin diğer varlıklarla artan bağlantı sonucu toplam riski arttırdığı şeklinde yorumlanabilir. Araştırma sonucunda döviz piyasası ile kredi riski göstergeleri, örneklem dönemi içerisinde net şok yayıcısı; para, tahvil ve emtia piyasaları göstergelerinin ise net şok alıcısı olduğu tespit edilmiştir. Pay piyasasının ise zaman içerisinde şok alıcı ve verici olarak sıklıkla değiştiği ve zaman içerisindeki ortalama değer bakımından nötr olduğu gözlemlenmiştir.

Anahtar Kelimeler

TVP-VAR, Finansal Piyasalar, Dinamik Bağlantılılık, Covid-19

Kaynakça

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