A NONLINEAR ANALYSIS OF THRESHOLD REGIME SHIFTS IN STOCK RETURNS: AN APPLICATION OF THE SETAR MODEL

Öz

This study analyzes the asymmetric effect of the Central Bank of the Republic of Turkey’s (CBRT) policy interest rate on the BIST 100 index. To address the limitations of linear models in capturing nonlinear effects of interest rates on stock returns, the two-regime Self-Exciting Threshold Autoregressive (SETAR) model is employed. The analysis covers monthly data for the period between December 2012 and May 2025. The dependent variable is BIST 100 returns, the independent variable is the policy interest rate, and expected inflation is included as a control variable. The findings reveal a statistically significant threshold value of 17.5% for the policy interest rate. When the interest rate falls below or rises above this threshold, the BIST 100 returns exhibit distinct behaviors. The results indicate that stock returns tend to be higher and more volatile under the low-interest-rate regime. The study contributes methodologically and empirically to the literature by revealing threshold-based effects of interest rates in emerging markets like Turkiye.

Anahtar Kelimeler

• Policy Interest Rate
• Stock Market Returns
• Nonlinear Models
• SETAR
• Asymmetric Effect

HİSSE SENEDİ GETİRİLERİNDE EŞİKLİ REJİM DEĞİŞİMLERİNİN DOĞRUSAL OLMAYAN ANALİZİ: SETAR MODELİ UYGULAMASI

Öz

Bu çalışma, Türkiye Cumhuriyet Merkez Bankası'nın politika faiz oranının BIST 100 endeksi üzerindeki asimetrik etkisini analiz etmektedir. Doğrusal modellerin yetersiz kaldığı durumlarda, faiz oranlarının hisse senedi getirileri üzerindeki doğrusal olmayan etkilerini tespit etmek amacıyla iki rejimli Self-Exciting Threshold Autoregressive (SETAR) modeli kullanılmıştır. Analiz, 2012 Aralık - 2025 Mayıs dönemine ait aylık verilerle gerçekleştirilmiştir. Modelde bağımlı değişken BIST 100 getirisi, bağımsız değişken politika faizi ve kontrol değişken olarak döviz kuru getirisi yer almıştır. Tahmin sonucunda politika faizinin %17,5 düzeyinde istatistiksel olarak anlamlı bir eşik değer olduğu tespit edilmiştir. Faiz oranının bu eşik değerin altında ya da üstünde olması, BIST 100 getirileri üzerinde farklı etkilere neden olmaktadır. Bulgular, düşük faiz rejiminde hisse senedi getirilerinin daha yüksek ve oynak olduğunu göstermektedir. Çalışma, gelişmekte olan piyasalar için faiz oranlarının eşik bazlı etkilerini ortaya koyarak literatüre metodolojik ve ampirik katkılar sunmaktadır.

Anahtar Kelimeler

• Politika Faizi
• Borsa Getirileri
• Doğrusal Olmayan Modeller
• SETAR
• Asimetrik Etki

Kaynakça

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