The Effect of Climate Policy Uncertainty and Geopolitic Uncertainty on BIST Food and Beverage Index

Öz

This study aims to determine the causality relationship between the BIST Food and Beverage Index, the Climate Policy Uncertainty Index (CPU) and Geopolitical Risk Indexes (GPR and GPR Turkey). In the analysis, monthly data are used covering the period of February 1997 and December 2023. The results of Augmented Dickey-Fuller and Phillips-Perron unit root tests showed that the BIST Food and Beverage Index series is stationary at the first difference I(1), whereas the CPU, GPR, and GPR Turkey Indexes’ series are stationary at the level I(0). Therefore, the Toda-Yamamoto causality test was employed for the time series stationary at different levels. Empirical findings revealed one-way causality between climate policy uncertainty and BIST Food and Beverage Index. Moreover, the relationship between the Geopolitical Risk Indices and the BIST Food and Beverage index is obtained likewise. In conclusion, CPU, GPR and GPR Turkey indices are found to be the Granger cause of BIST Food and Beverage index.

Anahtar Kelimeler

• CPU
• GPR
• XGIDA
• causality.

İklim Politikası Belirsizliğinin ve Jeopolitik Belirsizliğin BIST Gıda ve İçecek Endeksi Üzerine Etkisi

Öz

Bu çalışmada BIST Gıda İçecek Endeksi ile İklim Politikası Belirsizlik Endeksi (CPU) ve Jeopolitik Risk Endeksleri (GPR ve GPR Türkiye) arasındaki nedensellik ilişkisinin belirlenmesi amaçlanmıştır. Analizlerde, Şubat 1997 ile Aralık 2023 arası dönemi kapsayan aylık veriler kullanılmıştır. Genişletilmiş Dickey-Fuller ve Phillips-Perron birim kök testi sonuçları, CPU, GPR ve GPR Türkiye endekslerinin I (0) seviyede durağan olduğunu ve BIST Gıda ve İçecek endeksinin I (1) birinci farkta durağanlaştığını göstermiştir. Dolayısıyla farklı seviyelerde durağan zaman serilerini modellerken, Toda-Yamamoto nedensellik testinden yararlanılmıştır. Ampirik bulgular, iklim politikası belirsizliği ile BIST Gıda ve İçecek endeksi arasında tek yönlü nedensellik ilişkisi bulunduğunu ortaya koymuştur. Ayrıca, Jeopolitik Risk Endeksleri ile BIST Gıda ve İçecek endeksi arasındaki ilişki de benzer şekilde elde edilmiştir. Sonuç olarak, CPU, GPR ve GPR Türkiye endeksleri BIST Gıda ve İçecek endeksinin Granger nedeni olarak tespit edilmiştir.

Anahtar Kelimeler

• CPU
• GPR
• XGIDA
• nedensellik

Kaynakça

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