DÖVİZ KURU VE BORSA ARASINDAKİ SİMETRİK VE ASİMETRİK İLİŞKİNİN İNCELENMESİ: TÜRKİYE ÖRNEĞİ

Öz

Bu çalışmanın amacı Türkiye’de döviz kurunun borsa üzerindeki kısa ve uzun dönemli simetrik ve asimetrik etkilerinin incelenmesidir. 2001 Aralık – 2020 Eylül dönemine ait aylık güncel veriler kullanılarak, Bahmanie-Oskooee ve Saha (2016)’da geliştirilen model, ARDL (Gecikmesi Dağıtılmış Otoregresif) ve NARDL (Doğrusal Olmayan Gecikmesi Dağıtılmış Otoregresif) sınır testi yaklaşımı ile tahmin edilmiştir. Asimetrik etkinin göz önüne alınmadığı durumda spesifikasyon hatası ortaya çıkabildiği için simetrik ve asimetrik etkinin birlikte modele dahil edilmesi ekonometrik açıdan daha anlamlı sonuçlar elde edilmesini sağlamıştır. NARDL test sonuçlarına göre, çalışmaya konu olan değişkenler arasında uzun dönem denge (eşbütünleşme) ilişkisi saptanmış olup, buna ek olarak, döviz kurunun borsa üzerinde hem kısa hem de uzun dönemde asimetrik etkisinin olduğu sonucuna varılmıştır.

Anahtar Kelimeler

• NARDL
• Hisse Senedi Borsası
• Döviz Kuru
• Türkiye

AN INVESTIGATION OF SYMMETRIC AND ASYMMETRIC EFFECTS OF EXCHANGE RATES ON STOCK MARKET: THE CASE OF TURKEY

Öz

The aim of this study is to examine the short and long-run symmetric and asymmetric effects of the exchange
rates on the stock market in Turkey. Using the most recent monthly data for the period of December 2001-
September 2020, the model developed in Bahmanie-Oskooee and Saha (2016) is estimated with ARDL
(Autoregressive Distributed Lag) and NARDL (Nonlinear Autoregressive Distributed Lag) bounds testing
approach. Since the specification error may occur when the asymmetric effect is not taken into account, the
inclusion of symmetric and asymmetric effects together in the model have provided econometrically more
meaningful results. According to the results of the NARDL test, a long-term equilibrium (cointegration)
relationship among the variables of interest is determined and further, it is concluded that the exchange rate
has an asymmetric effect on the stock market in both short and long-run.

Anahtar Kelimeler

• NARDL
• Stock Market
• Exchange Rate
• Turkey

Kaynakça

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