Fiyatlar Genel Seviyesinin ve Faiz Politikalarının Finansal Piyasalar Üzerine Etkisi: RALS ADF Birim Kök Testi Yaklaşımı

Öz

Bu çalışmada 2007Q1-2023Q3 dönemleri arası Türkiye ekonomisinde fiyatlar genel seviyesi, FED faiz politikası ve finansal piyasalar arasındaki ilişki araştırılmaktadır. Çalışmada fiyatlar genel seviyesini ve BIST100 endeksini temsilen kullanılan enflasyon ve hisse senedi fiyatı verisi TCMB tabanından elde edilmiştir. FED faiz politikasını temsilen kullanılan veri ise IMF veri tabanından elde edilmiştir. Ayrıca siyasi ve ekonomik belirsizliklerin finansal piyasalar üzerinde etkilerini araştırmak üzere ekonomik politika belirsizliği verisi çalışmaya dahil edilmiştir. Çalışmada değişkenler arasındaki ilişkiyi belirlemek üzere RALS-ADF birim kök testi, AARDL sınır testi ve Hatemi-J asimetrik nedensellik testleri kullanılmıştır. Genişletilmiş ARDL testinden elde edilen bulgulara göre uzun dönemde sadece enflasyonun BIST100 üzerinde olumlu etkisi olduğu ve Fisher hipotezinin geçerli olduğu belirlenmiştir. Kısa dönemde ise sadece FED faiz politikasının BIST100 üzerinde olumlu etkisi olduğu tespit edilmiştir. Hatemi-J asimetrik nedensellik testinden elde edilen sonuçlara göre, enflasyon verisinde meydana gelen pozitif ve negatif şokların BIST100 üzerinde anlamlı olduğu ancak pozitif şokların daha etkili olduğu, ekonomik politika belirsizliği verisinde meydana gelen pozitif şokların ise BIST100 üzerinde olumlu etkisi olduğu sonucuna ulaşılmıştır.

Anahtar Kelimeler

• Finansal Piyasalar
• Enflasyon
• Faiz
• Ekonomik Politika Belirsizliği
• Zaman Serisi Analizi

The Effects of the General Level of Prices and Interest Rate Policies on Financial Markets: RALS ADF Unit Root Test Approach

Öz

This study investigates the relationship between the general level of prices, FED interest rate policy and financial markets in the Turkish economy for the period 2007Q1-2023Q3. The inflation and stock price data used to represent the general price level and BIST100 index are obtained from the CBRT database. The data used to represent the FED interest rate policy is obtained from the IMF database. In addition, economic policy uncertainty data is included in the study to investigate the effects of political and economic uncertainties on financial markets. RALS-ADF unit root test, AARDL bounds test and Hatemi-J asymmetric causality test are used to determine the relationship between variables. According to the findings obtained from the extended ARDL test, only inflation has a positive effect on BIST100 in the long run and the Fisher hypothesis is valid. In the short run, only FED interest rate policy has a positive effect on BIST100. According to the results obtained from the Hatemi-J asymmetric causality test, positive and negative shocks in inflation data are significant on BIST100, but positive shocks are more effective, while positive shocks in economic policy uncertainty data have a positive effect on BIST100.

Anahtar Kelimeler

• Financial Markets
• Inflation
• Interest Rate
• Economic Policy Uncertainty
• Time Series Analysis

Kaynakça

1. Abou-Zaid, A. S. (2013). International stock markets response to the Federal Reserve policy actions: the case of emerging MENA markets, International Journal of Financial Markets and Derivatives, 3(2), 179-190.
2. Akbay Arama, Z., Bekdaş, G., Işıkdağ, Ü., Hepsağ, A., ve Yücel, M. (2022). The application of Residual Augmented Least Squares method to predict the consistency properties of special clayey soils, Arabian Journal of Geosciences, 15(5), 436. https://doi.org/10.1007/s12517-022-09715-x
3. Al Oshaibat, S., ve Majali, A. (2016). The relationship between stock returns and each of inflation, interest rates, share liquidity and remittances of workers in the Amman stock Exchange, Journal of Internet Banking and Commerce, 21(2), 1.
4. Alagidede, P., ve Panagiotidis, T. (2012). Stock returns and inflation: Evidence from quantile regressions, Economics Letters, 117(1), 283-286. https://doi.org/10.1016/j.econlet. 2012.04.043
5. Albulescu, C. T., Aubin, C., ve Goyeau, D. (2017). Stock prices, inflation and inflation uncertainty in the US: testing the long-run relationship considering Dow Jones sector indexes, Applied Economics, 49(18), 1794-1807. https://doi.org/10.1080/00036846.2016.1226491
6. Ali, K., Malik, I. A., Chisti, K. A., ve Showkat, N. (2023). Inflation and Stock Market Returns: An Empirical Study of Sectoral Indices with Special Reference to India, Economics and Business Quarterly Reviews, 6(1). https://DOI: 10.31014/aior.1992.06.01.493
7. Altuntaş, M., Kilic, E., Pazarcı, Ş., ve Alican, U. M. U. T. (2022). Borsa İstanbul Alt Endekslerinde Etkin Piyasa Hipotezinin Test Edilmesi: Fourier Kırılmalı ve Doğrusal Olmayan Birim Kök Testlerinden Kanıtlar, Ekonomi Politika Ve Finans Araştırmaları Dergisi, 7(1), 169-185.
8. Amanda, S. T., Akhyar, C., ve Ilham, R. N. (2023). The Effect of Inflation, Exchange, Interest Rate on Stock Price in The Transportation Sub-Sector, 2018-2020, Journal of Accounting Research, Utility Finance and Digital Assets, 1(4), 342-352. https://doi.org/10.54443/jaruda.v1i4.54

9. Anari, A., ve Kolari, J. (2001). Stock prices and inflation, Journal of Financial Research, 24(4), 587-602.
10. Apergis, N., ve Eleftheriou, S. (2002). Interest rates, inflation, and stock prices: the case of the Athens Stock Exchange, Journal of policy Modeling, 24(3), 231-236. https://doi.org/10.1016/S0161-8938(02)00105-9
11. Arouri, M., Tiwari, A., Billah Dar, A., Bhanja, N., ve Teulon, F. (2014). Stock returns and inflation in Pakistan, IPAG Business School, WP, 108. https://doi.org/10.1016/j.econmod.2014.12.043
12. Aydın, M., ve Turan, Y. E. (2020). Türkiye'de Ekonomik Güven Büyümeyi Etkiliyor mu? RALS Birim Kök ve Eşbütünleşme Yaklaşımı, Ekonometri ve Istatistik Dergisi, (32), 69-83.
13. Aydın, Y. (2016). Finansal Piyasalar. Ed. Aysel Gündoğdu. Finansal Piyasalar ve Kurumlar. Seçkin Yayıncılık. Ankara.
14. Azar, S. A. (2013). The Spurious Relation Between Inflation Uncertainty and Stock Returns: Evidence from the U.S, Review of Economics & Finance, 3: 99–109.
15. Bernanke, B. S., ve Kuttner, K. N. (2005). What explains the stock market's reaction to Federal Reserve policy?, The Journal of finance, 60(3), 1221-1257.
16. Bhattacharjee, A., ve Das, J. (2023). Assessing the long-run and short-run effect of monetary variables on stock market in the presence of structural breaks: evidence from liberalized India, IIM Ranchi journal of management studies, 2(1), 70-81.https://doi.org/10.1108/IRJMS-03-2022-0034
17. Bodie, Z. (1976). Common Stocks as a Hedge Against, Inflationi Journal of Finance, 31: 459–470.
18. Boudoukh, J., ve Richardson, M. (1993). Stock returns and inflation: A long-horizon perspective, The American economic review, 83(5), 1346-1355. https://www.jstor.org/stable/2117566
19. Branson, W. H. (1981). Macroeconomic determinants of real exchange rates (No. w0801), National Bureau of Economic Research.
20. Brunnermeier, M.K. (2009), Deciphering the liquidity and credit crunch 2007-2008, The Journal of Economic Perspectives, 23(1), https://doi.org/10.1257/jep.23.1.77
21. Caggiano, G., Castelnuovo, E., ve Kima, R. (2020). The global effects of Covid-19-induced uncertainty, Economics Letters, 194, 109392. https://doi.org/10.1016/j.econlet.2020.109392
22. Cahyana, Y., Salam, A. A., Fidayan, A., Garnia, E., ve Ruseka, F. D. (2023). The Influence of Changes in Effective Interest Rates, The Rupiah Exchange Rate And Bank Profitability On Movements in Stock Returns of Bumn Bank Listed on the Indonesian Stock Exchange for the 2015-2019 PERIOD, Adpebi Science Series, 1(1), 1-10. https://doi.org/10.54099/icemat2023.v1i1.355
23. Choudhry, T. (2001). Inflation and rates of return on stocks: evidence from high inflation countries, Journal of International Financial Markets, Institutions and Money, 11(1), 75-96 https://doi.org/10.1016/S1042-4431(00)00037-8
24. Christopher, G., Minsoo, L., HuaHwa, Y., ve Jun, Z. (2006), Macroeconomic variables and the stock market interactions: new Zealand evidence, Journal of Investment Management and Financial Innovations, 3(4), 89-101.
25. Cihangir, Ç. K. (2018). The Effect of commodity volatility indexes and FED fund rates on the stock market indices of developing countries, Muhasebe ve Finansman Dergisi (The Journal of Accounting and Finance) Forthcoming.
26. Craine, Roger, ve Martin, Vance. (2003). Monetary Policy Shocks and Security Market Responses, Manuscript, University of California at Berkeley.
27. Çağlar, A. E. (2022). Türkiye'de çevresel Kuznets Eğrisi hipotezinin araştırılmasında çevresel patentlerin rolü: Genişletilmiş ARDL ile kanıtlar, Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 15(4), 913-929.
28. Çiçen, Y. B. (2020). Türkiye’de Politik Süreçlerin Kapsayıcılığı: Rals Birim Kök ve Eşbütünleşme Yaklaşımı, Ekonomi Bilimleri Dergisi, 12(2), 193-209.
29. Dornbusch, R., & Fischer, S. (1980). Exchange rates and the current account. The American Economic Review, 70(5), 960-971.
30. Efron, B. (1979). Computers and the theory of statistics: thinking the unthinkable. SIAM review, 21(4), 460-480.
31. Fama, E. F. (1981). Stock returns, real activity, inflation, and money. The American economic review, 71(4), 545-565.
32. Fama, E. F., and G. W. Schwert. 1977. “Asset Returns and Inflation.” Journal of Financial Economics 5: 115–146.
33. Fisher, I. (1930). The theory of interest. New York, 43, 1-19.
34. Frankel, J. A. (1992). Monetary and portfolio-balance models of exchange rate determination. In International economic policies and their theoretical foundations (pp. 793-832). Academic Press.
35. Gavin, M. (1989). The stock market and exchange rate dynamics. Journal of international money and finance, 8(2), 181-200.
36. Göksu, S. (2023). lİstanbul İktisat Dergisi, 72(2), 847-875. https://doi. org/10.26650/ISTJECON2022-1106208
37. Granger, C. W., Huangb, B. N., ve Yang, C. W. (2000). A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆,The Quarterly Review of Economics and Finance, 40(3), 337-354. https://doi.org/10.1016/S1062-9769(00)00042-9
38. Guo, K., Zhou, W. X., Cheng, S. W., & Sornette, D. (2011). The US stock market leads the Federal funds rate and Treasury bond yields. PLoS One, 6(8), e22794. doi:10.1371/journal.pone.0022794
39. Halaç, U., ve Durak, M. G. (2013). IMKB'de Islem Gören Isletmeler için Para Politikasi ve Sermaye Yapisi Iliskisi/The Relationship Between Monetary Policy and Capital Structure for Companies Traded in Istanbul Stock Exchange, Ege Akademik Bakis, 13(4), 497.
40. Hatemi-j, A. (2012). Asymmetric causality tests with an application, Empirical economics, 43, 447-456. https://doi.org/10.1007/s00181-011-0484-x
41. Hess, P. J., ve Lee, B. S. (1999). Stock returns and inflation with supply and demand disturbances, The Review of Financial Studies, 12(5), 1203-1218.
42. https://evds2.tcmb.gov.tr/
43. https://www.imf.org/en/Data
44. https://www.policyuncertainty.com/
45. Huang, W., Mollick, A. V., ve Nguyen, K. H. (2016). US stock markets and the role of real interest rates, The Quarterly Review of Economics and Finance, 59, 231-242. https://doi.org/10.1016/j.qref.2015.07.006
46. Hütteroth, A. (2023). Central Bank COVID-19 Policy and Equities Market Sensitivity in Europe and the US, International Journal of Applied Research in Management and Economics, 6(2), 33-51.
47. Im, K. S., ve Schmidt, P. (2008). More efficient estimation under non-normality when higher moments do not depend on the regressors, using residual augmented least squares, Journal of Econometrics, 144(1), 219-233. https://doi.org/10.1016/j.jeconom.2008.01.003
48. Ioannidis, C., ve Kontonikas, A. (2006). Monetary policy and the stock market: some international evidence (pp. 1-25), University of Glasgow, Department of Economics.Ioannidis, C., & Kontonikas, A. (2006). Monetary policy and the stock market: some international evidence (pp. 1-25). University of Glasgow, Department of Economics.
49. Jaffe, J. F., ve G. Mandelker. 1976). The ‘Fisher Effect’ for Risky Assets: An Empirical Investigation, Journal of Finance, 31: 447–458. https://doi.org/10.2307/2326616
50. Jefry, J., ve Djazuli, A. (2020). The Effect of Inflation, Interest Rates and Exchange Rates on Stock Prices of Manufacturing Companies in Basic and Chemical Industrial Sectors on the Indonesia Stock Exchange (IDX), International Journal of Business, Management and Economics, 1(1), 34-49.
51. Jensen, Gerald R., Johnson, R. R., ve Mercer, Jeffrey M. (1996). Business Conditions, Monetary Policy, and Expected Security Returns, Journal of Financial Economics, 40, 213–37.https://doi.org/10.1016/0304-405X(96)89537-7
52. Jensen, Gerald R., ve Mercer, Jeffrey M. (1998). Monetary Policy and the Cross-Section of Expected Stock Returns. Manuscript, Northeastern Illinois University.
53. Jiang, C. (2018). The asymmetric effects of monetary policy on stock market. Quarterly Journal of Finance, 8(03), 1850008. https://doi.org/10.1142/S2010139218500027
54. Jorion, P. (1991). The pricing of exchange rate risk in the stock market. Journal of financial and quantitative analysis, 26(3), 363-376. https://doi.org/10.2307/2331212
55. Karamti, C., ve Belhassine, O. (2022). COVID-19 pandemic waves and global financial markets: Evidence from wavelet coherence analysis, Finance Research Letters, 45, 102136. https://doi.org/10.1016/j.frl.2021.102136
56. Kılıç, Uğur Halan, (2014). KOBİ Sahipleri ve Finansçı Olmayan Yöneticiler için Finans, 2. Baskı, Sinemis, Ankara.
57. Kırca, M., ve Yıldız, Ü. (2020). Türkiye İçin Kredi Risk Primi (Cds) Ve Ekonomik Büyüme Arasındaki Zamanla Değişen Nedensellik İlişkileri, Uluslararası Afro-Avrasya Araştırmaları Dergisi, 5(10), 17-24.
58. Kim, S. J. (2009). The spillover effects of target interest rate news from the US Fed and the European Central Bank on the Asia-Pacific stock markets, Journal of International Financial Markets, Institutions and Money, 19(3), 415-431. https://doi.org/10.1016/j.intfin.2008.12.001
59. Kula, V., ve Baykut, E. (2017). Borsa İstanbul Kurumsal Yönetim Endeksi (XKURY) İle Korku Endeksi (Chıcago Board Optıons Exchange Volatılıty Index-Vıx) Arasındaki İlişkinin Analizi, Afyon Kocatepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 19(2), 27-37.
60. Kurov, A. (2010). Investor sentiment and the stock market’s reaction to monetary policy, Journal of Banking & Finance, 34(1), 139-149.
61. Küçükkaplan, İ., Kılıç, E., Pazarcı, Ş., ve Asım, K.A.R. (2023). G-8 Ülkelerinde Etkin Piyasa Hipotezinin Test Edilmesi: Fourier Kırılmalı Birim Kök Testlerinden Yeni Kanıtlar, Journal of Economic Policy Researches, 10(1), 1-18. https://doi.org/10.26650/JEPR1071070
62. Laopodis, N. T. (2010). Dynamic linkages between monetary policy and the stock market, Review of Quantitative Finance and Accounting, 35, 271-293. https://doi.org/10.1007/s11156-009-0154-7
63. Laopodis, N. T. (2013). Monetary policy and stock market dynamics across monetary regimes, Journal of International Money and Finance, 33, 381-406. https://doi.org/10.1016/j.jimonfin.2012.09.004
64. Li, S. F., Zhu, H. M., ve Yu, K. (2012). Oil prices and stock market in China: A sector analysis using panel cointegration with multiple breaks, Energy Economics, 34(6), 1951-1958. https://doi.org/10.1016/j.eneco.2012.08.027
65. López, R., Sevillano, M. C., ve Jareño, F. (2023). Uncertainty and US stock market Dynamics, Global Finance Journal, 56, 100779. https://doi.org/10.1016/j.gfj.2022.100779
66. Ma, C. K., ve Kao, G. W. (1990). On exchange rate changes and stock price reactions, Journal of Business Finance & Accounting, 17(3), 441-449. .
67. Madadpour, S., ve Asgari, M. (2019). The puzzling relationship between stocks return and inflation: a review article, International Review of Economics, 66(2), 115-145. https://doi.org/10.1007/s12232-019-00317-w
68. Mert, M., ve Çağlar, A. E. (2019). Eviews ve Gauss uygulamalı zaman serileri analizi. Ankara: Detay Yayıncılık, 183-213.
69. Modigliani, F., ve Cohn, R. A. (1979). Inflation, rational valuation and the market. Financial Analysts Journal, 35(2), 24-44. https://www.jstor.org/stable/4478223
70. Ndou, E., Gumata, N., ve Ncube, M. (2017). The Macroeconomic Effects of the Expected US Monetary Policy Normalisation Shock on the South African Economy. In: Global Economic Uncertainties and Exchange Rate Shocks. Palgrave Macmillan, Cham.
71. Nelson, C. R. (1976). Inflation and Rates of Returns on Common Stocks, Journal of Finance, 31: 471–483. https://doi.org/10.2307/2326618
72. Okorie, I. E., Akpanta, A. C., Ohakwe, J., Chikezie, D. C., Onyemachi, C. U., ve Ugwu, M. C. (2021). Modeling the relationships across Nigeria inflation, exchange rate, and stock market returns and further analysis, Annals of Data Science, 8, 295-329. https://doi.org/10.1007/s40745-019-00206-7
73. Owens III, J. R. (2017). The Federal Reserve's monetary policy effect on financial markets and investors (Doctoral dissertation).
74. Pan, M. S., Fok, R. C. W., ve Liu, Y. A. (2007). Dynamic linkages between exchange rates and stock prices: Evidence from East Asian markets, International Review of Economics & Finance, 16(4), 503-520. https://doi.org/10.1016/j.iref.2005.09.003
75. Pesaran, M. H., Shin, Y., ve Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships, Journal of applied econometrics, 16(3), 289-326.
76. Qamri, G. M., Haq, M. A. U., ve Akram, F. (2015). The impact of inflation on stock prices: Evidence from Pakistan, Microeconomics and Macroeconomics, 3(4), 83-88. https://doi.org/10.5923/j.m2economics.20150304.01
77. Ratanapakorn, O., ve Sharma, S. C. (2007). Dynamic analysis between the US stock returns and the macroeconomic variables, Applied Financial Economics, 17(5), 369-377. https://doi.org/10.1080/09603100600638944
78. Redo, M. (2018). The stock market channel in the monetary policy transmission process. Athenaeum. Polskie Studia Politologiczne, 59, https://doi.org/224-235. 10.15804/athena.2018.59.14
79. Ruman, A. M. (2022). Stock market implications of Fed's balance sheet size, Journal of Economic Studies, 49(2), 259-273. https://doi.org/10.1108/JES-09-2020-0437
80. Ryan, G. (2006). Irish stock returns and inflation: a long span perspective, Applied Financial Economics, 16(9), 699-706. https://doi.org/10.1080/09603100600691919
81. Sam, C. Y., McNown, R., ve Goh, S. K. (2019). An augmented autoregressive distributed lag bounds test for cointegration, Economic Modelling, 80, 130-141. https://doi.org/10.1016/j.econmod.2018.11.001
82. Soylu Yıldırım, E., Demirtaş, C., & Ilıkkan Özgür, M. (2022). Ekonomik, finansal ve politik risk ile büyüme arasındaki nedensellik ilişkisi: Türkiye örneği. Journal of Economic Policy Researches, 9(1), 165-186. https://doi.org/ 10.26650/JEPR1016857
83. Spyrou, S. I. (2001). Stock returns and inflation: evidence from an emerging market. Applied economics letters, 8(7), 447-450. https://doi.org/10.1080/13504850010003280
84. Stoica, O., Nucu, A. E., ve Diaconasu, D. E. (2014). Interest rates and stock prices: evidence from Central and Eastern European Markets, Emerging markets finance and trade, 50(sup4), 47-62. https://doi.org/10.2753/REE1540-496X5004S403
85. Şimşek, M., ve Kadılar, C. (2006). Fisher etkisinin Türkiye verileri ile testi, Doğuş Üniversitesi Dergisi, 7(1), 99-111.
86. Tai, C. S. (2007). Market integration and contagion: Evidence from Asian emerging stock and foreign exchange markets, Emerging markets review, 8(4), 264-283. https://doi.org/10.1016/j.ememar.2006.09.011
87. Tiwari, A. K., Adewuyi, A. O., Awodumi, O. B., ve Roubaud, D. (2022). Relationship between stock returns and inflation: New evidence from the US using wavelet and causality methods, International Journal of Finance & Economics, 27(4), 4515-4540. https://doi.org/10.1002/ijfe.2384
88. Tursoy, T. (2019). The interaction between stock prices and interest rates in Turkey: empirical evidence from ARDL bounds test cointegration, Financial Innovation, 5(1), 1-12. https://doi.org/10.1186/s40854-019-0124-6
89. Wong, K. F., ve Wu, H. J. (2003). Testing Fisher hypothesis in long horizons for G7 and eight Asian countries, Applied Economics Letters, 10(14), 917-923. https://doi.org/10.1080/1350485032000158645
90. Wongbangpo, P., ve Sharma, S. C. (2002). Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries, Journal of asian Economics, 13(1), 27-51.https://doi.org/10.1016/S1049-0078(01)00111-7
91. Yang, S. Y., ve Doong, S. C. (2004). Price and volatility spillovers between stock prices and exchange rates: empirical evidence from the G-7 countries, International Journal of Business and Economics, 3(2), 139.
92. Yilanci, V., Aydin, M., ve Aydin, M. (2019). Residual augmented fourier ADF unit root test. 1-15. https://mpra.ub.uni-muenchen.de/96797/1/MPRA_paper_96797.pdf
93. Yonathan, R. (2023). The Effect of Profit Management and The FED’s Interest Rates on Foreign Investment Behavior and its Impact on Stock Returns in the Banking Subsector on the IDX. Jurnal Scientia, 12(02), 2019-2035.
94. Zhao, H. (2010). Dynamic relationship between exchange rate and stock price: Evidence from China. Research in International Business and Finance, 24(2), 103-112. https://doi.org/10.1016/j.ribaf.2009.09.001
95. Zhu, S., Liu, Q., Wang, Y., Wei, Y., ve Wei, G. (2019). Which fear index matters for predicting US stock market volatilities: Text-counts or option based measurement?, Physica A: Statistical Mechanics and its Applications, 536, 122567.