The Effects of Economic Policy Uncertainty and Oil Price Shocks on Stock Returns: A Structural VAR Analysis on Türkiye

Yıl 2024, Cilt: 11 Sayı: 2, 158 - 185, 13.08.2024

Fatma Ünlü

https://doi.org/10.26650/JEPR1410149

Öz

In recent years, the effects of global shocks caused by fluctuations in economic policy uncertainty and oil price fluctuations on financial markets have been among the most frequently discussed topics in the literature and resultantly become the center of attention of researchers and policymakers, especially for fragile economies. This study aims to contribute to the investigation of the effects of global economic policy uncertainty and oil price shocks on stock returns. To this end, the article follows the econometric procedure of structural VAR analysis using Türkiye’s monthly data for the period of 2014:01-2023:06. The study uses the Global Economic Policy Uncertainty Index, the global price of Brent crude oil, the Bursa Istanbul (BIST)-100 Return Index, the Consumer Price Index (CPI)-based real effective exchange rate, and interest rate as its variables. According to the empirical findings obtained from the analysis, a negative relationship exists between global economic policy uncertainty and the BIST-100 Return Index, while a positive relationship exists between the global price of Brent crude oil and the BIST-100 Return Index. However, real exchange rate shocks explain most of the changes in the BIST-100 Return Index. The impact of interest rate changes is also more significant than economic policy uncertainty and oil price shocks. Accordingly, exchange and interest rate changes significantly impact Türkiye’s stock market returns.

Anahtar Kelimeler

Economic policy uncertainty, Oil prices shocks, Stock market, SVAR analysis

Ekonomik Politika Belirsizliği ve Petrol Fiyatı Şoklarının Hisse Senedi Getirileri Üzerindeki Etkileri: Türkiye Üzerine Yapısal VAR Analizi

Öz

Son yıllarda ekonomik politika belirsizliğindeki ve petrol fiyatındaki dalgalanmaların yol açtığı küresel şokların finansal piyasalar üzerinde yarattığı etkiler literatürde sıklıkla tartışılan konulardan birisidir. Özellikle kırılgan ekonomiler açısından hem araştırmacıların hem de politika yapıcıların ilgi odağı haline gelmiştir. Bu çalışmada, küresel ekonomik politika belirsizliği ve petrol fiyatı şoklarının hisse senedi getirileri üzerindeki etkilerinin araştırılmasına katkı sağlamak amaçlanmıştır. Bu doğrultuda, Türkiye’nin 2014:01-2023:06 dönemine ait aylık verileri kullanılarak yapısal VAR analizine ilişkin ekonometrik prosedür takip edilmiştir. Değişken olarak ise küresel ekonomik politika belirsizliği endeksi, Brent ham petrolün küresel fiyatı, BIST-100 Getiri Endeksi, TÜFE bazlı reel efektif döviz kuru ve faiz oranı kullanılmıştır. Analizlerden elde edilen ampirik bulgulara göre, küresel ekonomik politika belirsizliği ve BIST getiri endeksi arasında negatif yönlü bir ilişki vardır. Petrol fiyatı değişkeni ile BIST getiri endeksi arasındaki ilişkinin yönü ise pozitiftir. Bununla birlikte, BIST hisse senedi getirilerindeki değişmelerin büyük kısmı reel döviz kuru şokları tarafından açıklanmaktadır. Faiz oranındaki değişmelerin etkisi de ekonomik politika belirsizliği ve petrol fiyatı şoklarından daha fazladır. Bu doğrultuda, Türkiye’de döviz kuru ve faiz oranındaki değişmelerin borsa getirileri üzerinde önemli derecede etkili olduğu söylenebilir.

Anahtar Kelimeler

Ekonomik politika belirsizliği, Petrol fiyatı şokları, Hisse senedi piyasası, SVAR analizi

Kaynakça

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