Satın Alma Yöneticileri Endeksi (PMI) ile Finansal Piyasalar Arasındaki İlişki: Türkiye Örneği

Öz

Satın Alma Yöneticileri Endeksi (PMI), 40'tan fazla ülke için Tedarik Yönetimi Enstitüsü (ISM) tarafından oluşturulan aylık bir ekonomik faaliyet endeksidir Bu endeks, yeni satış siparişleri, çalışan istihdamı, tedarikçi siparişleri ve envanter düzeyleri ile ilgili sorulara yanıt veren atanmış yöneticiler arasında yürütülen anketlerden türetilmiştir. Literatürde Satın Alma Yöneticileri Endeksleri (PMI) ile finansal piyasalar arasındaki ilişkinin varlığına dair çeşitli kanıtlar sunulmakta, ve PMI gibi öncü göstergelerin önemine dikkat çekilmektedir. Bu noktadan hareketle gerçekleştirilen çalışma kapsamında ise; Pay piyasaları, Tahvil piyasaları ve Döviz piyasaları gibi Türkiye'deki bazı finansal piyasaların getirileri ile PMI arasındaki nedensellik ilişkisinin incelenmesi amaçlanmıştır. Çalışmada ele alınan Satın Alma Yöneticileri Endeksi, Pay piyasası, Tahvil piyasası ve Döviz piyasasını temsilen belirlenen değişkenlere ait 2015 ve 2024 yılları arasındaki aylık veriler elde edilerek analize tabi tutulmuş ve sonuçlar yorumlanmıştır. Sonuçlar PMI ile finansal piyasaların uzun dönemde eşbütüleşik bir ilişkiye sahip olduğunu gösterirken, gerçekleştirilen nedensellik testi sonuçları ise, sadece PMI’den döviz pıiyasalarına doğru bir nedenselliğin varlığına işaret etmektedir. Pay piyasaları ve Tahvil piyasaları için ise böyle bir nedensellik ilişkisi tespit edilememiştir.

Anahtar Kelimeler

• Finansal Piyasalar
• PMI (Satın Alma Yöneticileri Endeksi)
• Pay senedi
• Tahvil
• Döviz
• Nedensellik

The Relationship Between Purchasing Managers Index (PMI) and Financial Markets: Turkey Example

Öz

The Purchasing Managers' Index (PMI) is a monthly economic activity index developed by the Institute for Supply Management (ISM) for over 40 countries. This index is derived from surveys conducted among designated managers who respond to questions regarding new sales orders, employee employment, supplier orders, and inventory levels. The literature provides various evidence for the existence of a relationship between Purchasing Managers' Indices (PMI) and financial markets, highlighting the significance of leading indicators such as the PMI. Building on this premise, the present study aims to examine the causal relationship between the returns of certain financial markets in Turkey, including the equity market, bond market, and foreign exchange market, and the PMI. Monthly data for the variables representing the Purchasing Managers' Index, equity market, bond market, and foreign exchange market were collected for the period between 2015 and 2024, and analyzed accordingly. The results indicate that there is a long-term cointegrated relationship between the PMI and the financial markets, while the findings from the causality tests suggest a causal relationship only from the PMI to the foreign exchange markets. No such causal relationship was identified for the equity and bond markets.

Anahtar Kelimeler

• Financial Markets
• PMI (Purchasing Managers Index)
• Stocks
• Bonds
• Foreign Exchange
• Causality

Kaynakça

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