Ekonomik Büyüme ve Borsa Endeksi Arasında Var Analizi: Türkiye Örneği (1998-2024)

Öz

Ekonomi ve finans literatüründe reel sektör ile finansal sektörü arasındaki etkileşimle ilgi tartışmalar uzun süredir devam etmektedir. Bu çalışmada Borsa İstanbul TUM Endeksi için ulaşılan en eski verinin olduğu 1998:Q1 dönemi ile 2024:Q4 dönemde Gayrisafi Yurtiçi Hasıla verileri ilave edilerek iki değişkenli 108 frekanslı zaman serileri oluşturulmuştur. Araştırmanın uygulama kısmında ilk olarak VAR model tahmin edilmiş ve tahmin modeline uygulanan diagnostik testler sonucunda tahmin modelinin geçerliliğine karar verilmiştir. Daha sonra değişkenler arasındaki uzun dönem ilişkisini araştırmak üzere Engle Granger koentegrasyon analizi uygulanarak ardından hata düzeltme modeli tahmin edilmiştir. Bunun sonucunda değişkenlerin uzun dönemde koentegrasyon ilişkisine sahip olduğu, hata düzeltme modeline göre ise yaşanması muhtemel bir dengeden sapma sonrasında değişkenlerin tekrar 4.67 (periyot) çeyrek dönemde denge konumuna yakınsadığı tespit edilmiştir. Son aşamada yapılan Granger nedensellik sonucuna göre ise Gayrisafi Yurtiçi Hasıla değişkeninden Borsa İstanbul TUM Endeksi değişkenine tek yönlü Granger nedensellik olduğuna karar verilirken, etki-tepki analizine göre Gayrisafi Yurtiçi Hasıla değişkenine verilecek 1 birim (standart sapmalık) şokun Borsa İstanbul TUM endeksi üzerinde pozitif etkiye neden olduğu ortaya çıkmıştır.

Anahtar Kelimeler

• Finansal Gelişme
• Ekonomik Büyüme
• Zaman Serisi Analizi

Var Analysis Between Economic Growth and Stock Market Index: The Case of Türkiye (1998-2024)

Öz

In the economic and financial literature, the interaction between the real sector and the financial sector has been discussed for a long time. In this study, a bivariate time series with 108 frequencies was constructed by adding GDP data for the period 1998:Q1 and 2024:Q4, which are the oldest data available for the Borsa Istanbul TUM index. In the application part of the research, the VAR model was first estimated and the validity of the estimation model was decided as a result of the diagnostic tests applied to the estimation model. Then, the Engle-Granger cointegration analysis was applied to investigate the long-run relationship between the variables, and then the error correction model was estimated. As a result, it was found that the variables have a long-run cointegration relationship and, according to the error correction model, after a possible deviation from equilibrium, the variables converge to the equilibrium position in 4.67 (period) quarters. According to the Granger causality result carried out in the last stage, it is decided that there is a unidirectional Granger causality from the Gross Domestic Product variable to the Borsa Istanbul TUM Index variable, while according to the impulse response analysis, it is revealed that a 1-unit (standard deviation) shock to the Gross Domestic Product variable causes a positive effect on the Borsa Istanbul TUM Index.

Anahtar Kelimeler

• financial development
• economic growht
• time series analysis

Kaynakça

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