The Impact of Macroeconomic Variables on Financial Markets: An Empirical Analysis for the Turkish Economy

Yıl 2025, Cilt: 9 Sayı: 1, 412 - 428, 26.03.2025

Sacit Sarı , Mustafa Necati Çoban

https://doi.org/10.30586/pek.1606595

Öz

This study aims to examine the relationship between macroeconomic variables and financial markets in the Turkish economy for the period 2003:Q1-2023:Q4. The primary objective of the research is to identify the determinants of the BIST-100 return index and to reveal the impact of macroeconomic variables on financial markets. In the study, the BIST-100 return index is used as the dependent variable, while nominal exchange rate, deposit interest rate, inflation rate, real GDP, and Brent oil prices are utilized as explanatory variables. The study employs the augmented autoregressive distributed lag (A-ARDL) cointegration analysis and the Hacker and Hatemi-J Bootstrap causality test methods. The findings indicate that the exchange rate, inflation rate, and real GDP have positive long-term effects on stock returns, while interest rates exhibit a negative long-term impact. The A-ARDL cointegration analysis demonstrates a long-term relationship between the explanatory variables and stock returns. Furthermore, the Hacker and Hatemi-J Bootstrap causality test reveals unidirectional causality from the exchange rate to stock returns, from the inflation rate to stock returns, and from real GDP to stock returns. These findings highlight the significant role of macroeconomic variables in Türkiye's financial markets and their influence on investment decisions. The results provide valuable insights for policymakers in forecasting and managing fluctuations in financial markets. Additionally, the study makes a valuable contribution to the literature by enhancing the understanding of financial market dynamics and evaluating the effects of macroeconomic variables. In this context, the impact of economic policy tools on financial markets is critical for shaping investor behavior and promoting economic stability.

Anahtar Kelimeler

Financial Markets, Exchange Rate, Turkish Economy, Time Series Analysis

Makroekonomik Değişkenlerin Finansal Piyasalar Üzerindeki Etkisi: Türkiye Ekonomisi Üzerine Bir Uygulama

Öz

Bu çalışma, Türkiye ekonomisinde makroekonomik değişkenler ile finansal piyasalar arasındaki ilişkiyi 2003:Q1-2023:Q4 döneminde incelemeyi amaçlamaktadır. Araştırmanın temel amacı, BİST-100 getiri endeksinin belirleyicilerini tespit etmek ve makroekonomik değişkenlerin finansal piyasalara etkisini ortaya koymaktır. Çalışmada bağımlı değişken olarak BİST-100 getiri endeksi, açıklayıcı değişkenler olarak ise nominal döviz kuru, mevduat faiz oranı, enflasyon oranı, reel GSYH ve Brent petrol fiyatları değişkenleri kullanılmıştır. Çalışmada genişletilmiş otoregresif dağıtılmış gecikmeler (A-ARDL) eşbütünleşme analizi ve Hacker ve Hatemi-J Bootstrap nedensellik testi yöntemleri kullanılmıştır. Elde edilen bulgular, döviz kuru, enflasyon oranı ve reel GSYH’nin borsa getirileri üzerinde uzun dönemde pozitif etkiler oluşturduğunu, faiz oranlarının ise uzun dönemde negatif bir etkiye sahip olduğunu ortaya koymuştur. A-ARDL eşbütünleşme analizi, açıklayıcı değişkenlerin borsa getirileri ile uzun dönemli ilişki olduğunu göstermektedir. Ayrıca, Hacker ve Hatemi-J Bootstrap nedensellik testi, döviz kurundan borsa getirisine, enflasyon oranından borsa getirisine ve reel GSYH’den borsa getirisine doğru tek yönlü nedensellik ilişkisi bulunduğunu ortaya koymuştur. Bu bulgular, makroekonomik değişkenlerin Türkiye’nin finansal piyasalarındaki belirleyici rolünü ve yatırım kararları üzerindeki etkisini vurgulamaktadır. Sonuçlar, politika yapıcılar için finansal piyasalardaki dalgalanmaları öngörme ve yönetme noktasında önemli bilgiler sunmaktadır.

Anahtar Kelimeler

Finansal Piyasalar, Döviz kuru, Türkiye Ekonomisi, Zaman Serisi Analizi

Kaynakça

• Acikalin, S., Aktas, R., & Unal, S. (2008). Relationships between stock markets and macroeconomic variables: an empirical analysis of the Istanbul Stock Exchange. Investment Management and Financial Innovations, 5(1), 8-16.
• Albeni, M., & Demir, Y. (2005). Makro ekonomik göstergelerin mali sektör hisse senedi fiyatlarına etkisi (İMKB uygulamalı). Muğla Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, (14), 1-18.
• Arı, A. (2016). Türkiye’deki ekonomik büyüme ve işsizlik ilişkisinin analizi: yeni bir eşbütünleşme testi. Siyaset, Ekonomi ve Yönetim Araştırmaları Dergisi, 4(2), 57-67.
• Asravor, R. K., & Fonu, P. D. D. (2021). Dynamic relation between macroeconomic variable, stock market returns and stock market development in Ghana. International Journal of Finance & Economics, 26(2), 2637-2646.
• Barakat, M. R., Elgazzar, S. H., & Hanafy, K. M. (2016). Impact of macroeconomic variables on stock markets: Evidence from emerging markets. International Journal of Economics and Finance, 8(1), 195-207.
• Black, B. S., & Gilson, R. J. (1998). Venture Capital and the Structure of Capital Markets: Banks versus Stock Markets. Journal of Financial Economics, 47(3), 243-277. http://dx.doi.org/10.1016/S0304-405X(97)00045-7
• Breeden, D. T. (1979). An intertemporal asset pricing model with stochastic consumption and investment opportunities. Journal of Financial Economics, 7(3), 265-296.
• Chen, S. S. (2009). Predicting the bear stock market: Macroeconomic variables as leading indicators. Journal of Banking & Finance, 33(2), 211-223.
• Cleveland, R. B., Cleveland, W. S., McRae, J. E., & Terpenning, I. (1990). STL: A seasonal-trend decomposition procedure based on loess. Journal of Official Statistics, 6(1), 3-73.
• De Gregorio, J., & Guidotti, P. E. (1995). Financial development and economic growth. World Development, 23(3), 433-448.
• Devkota, T. P., & Dhungana, A. (2019). Impact of macro-economic variables on stock market in Nepal: An ARDL approach. NECS, The Journal of Economic Concern, 10(1), 47-64.
• Dritsakis, N. (2011). Demand for money in Hungary: an ARDL approach. Review of Economics and Finance, (5).
• Dornbusch, R., & Fischer, S. (1980). Exchange rates and the current account. American Economic Review, 70(5), 960-971.
• Durusu-Ciftci, D., Ispir, M. S., & Yetkiner, H. (2017). Financial development and economic growth: Some theory and more evidence. Journal of Policy Modeling, 39(2), 290-306.
• Fama, E. F. (1981). Stock returns, real activity, inflation, and money. American Economic Review, 71(4), 545-565.
• Fattah, A., & Kocabıyık, T. (2020). Makroekonomik Değişkenlerin Borsa Endeksleri Üzerine Etkisi: Türkiye ve Abd Karşılaştırması. Finansal Araştırmalar ve Çalışmalar Dergisi, 12(22), 116-151.
• Fisher, I. (1930). The Theory of Interest. New York: Macmillan.
• Gan, C., Lee, M., Yong, H. H. A., & Zhang, J. (2006). Macroeconomic variables and stock market interactions: New Zealand evidence. Investment management and financial innovations, 3(4), 89-101.
• Graff, M. (2003). Financial development and economic growth in corporatist and liberal market economies. Emerging Markets Finance and Trade, 39(2), 47-69.
• Greenwood, J., & Smith, B. D. (1997). Financial markets in development, and the development of financial markets. Journal of Economic Dynamics and Control, 21(1), 145-181.
• Gujarati, D. N., & Porter, D. C. (2009). Basic econometrics. McGraw-hill.
• Hacker, R. S., & Hatemi-J, A. (2006). Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application. Applied Economics, 38(13), 1489-1500.
• Hashmi, S. M., & Chang, B. H. (2023). Asymmetric effect of macroeconomic variables on the emerging stock indices: A quantile ARDL approach. International Journal of Finance & Economics, 28(1), 1006-1024.
• Hepsağ, A. (2022). Ekonometrik Zaman Serileri Analizlerinde Güncel Yöntemler (Winrats Uygulamalı). İstanbul: Der Yayınları.
• Humpe, A., & Macmillan, P. (2009). Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan. Applied Financial Economics, 19(2), 111-119.
• Im, K. S., Lee, J., and Tieslau, M. A. (2014). More Powerful Unit Root Tests with Non-Normal Errors, In Festschrift in Honor of Peter Schmidt (pp. 315-342). Springer, New York, NY.
• Keswani, S., & Wadhwa, B. (2019). Effect of macroeconomic variables on stock market: a conceptual study. International Journal of Management, IT and Engineering, 7(10), 85-106.
• Khan, M. K., Teng, J. Z., Khan, M. I., & Khan, M. F. (2023). Stock market reaction to macroeconomic variables: An assessment with dynamic autoregressive distributed lag simulations. International Journal of Finance & Economics, 28(3), 2436-2448.
• Kyereboah‐Coleman, A., & Agyire‐Tettey, K. F. (2008). Impact of macroeconomic indicators on stock market performance: The case of the Ghana Stock Exchange. The Journal of Risk Finance, 9(4), 365-378.
• Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77-91
• Masuduzzaman, M. (2012). Impact of the macroeconomic variables on the stock market returns: The case of Germany and the United Kingdom. Global Journal of Management and Business Research, 12(16), 22-34.
• McKinnon, R. I., (1973). Money and Capital in Economic Development, Brookings Institutions, Washington DC.
• Meng, M., Lee, J., and Payne, J. E. (2017). RALS-LM Unit Root Test with Trend Breaks and Non-Normal Errors: Application to The Prebisch-Singer Hypothesis. Studies in Nonlinear Dynamics and Econometrics, 21(1), p.31-45.
• Mert, M., & Çağlar, A. E. (2019). Eviews ve Gauss uygulamalı zaman serileri analizi. Ankara: Detay Yayıncılık, 1.
• Mishkin, F. S. (2007). The Economics of Money, Banking, and Financial Markets. Pearson Education.
• Mohammad, S. D., Hussain, A., & Ali, A. (2009). Impact of macroeconomics variables on stock prices: empirical evidence in case of KSE (Karachi Stock Exchange). European Journal of Scientific Research, 38(1), 96-103.
• Mohnot, R., Banerjee, A., Ballaj, H., & Sarker, T. (2024). Re-examining asymmetric dynamics in the relationship between macroeconomic variables and stock market indices: empirical evidence from Malaysia. The Journal of Risk Finance, 25(1), 19-34.
• Mutuku, C., & Ng’eny, K. N. (2014). Macroeconomic variables and the Kenyan equity market: A time series analysis. Kenya Institute for Public Policy Research and Analysis (KIPPRA).
• Nkoro, E., & Uko, A. K. (2016). Autoregressive Distributed Lag (ARDL) cointegration technique: application and interpretation. Journal of Statistical and Econometric Methods, 5(4), 63-91.
• Ouma, W. N., & Muriu, P. (2014). The impact of macroeconomic variables on stock market returns in Kenya. International Journal of Business and Commerce, 3(11), 1-31.
• Owusu-Nantwi, V., & Kuwornu, J. K. (2011). Analyzing the effect of macroeconomic variables on stock market returns: Evidence from Ghana. Journal of Economics and International Finance, 3(11), 605-615.
• Pal, K., & Mittal, R. (2011). Impact of macroeconomic indicators on Indian capital markets. The Journal of Risk Finance, 12(2), 84-97.
• Pata, U. K., Yurtkuran, S., Ahmed, Z., & Kartal, M. T. (2023). Do life expectancy and hydropower consumption affect ecological footprint? Evidence from novel augmented and dynamic ARDL approaches. Heliyon, 9(9).
• Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica: journal of the Econometric Society, 1361-1401.
• Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289-326.
• Sam, C. Y., McNown, R., & Goh, S. K. (2019). An augmented autoregressive distributed lag bounds test for cointegration. Economic Modelling, 80, 130-141.
• Sayılgan, G., & Süslü, C. (2011). Makroekonomik faktörlerin hisse senedi getirilerine etkisi: Türkiye ve gelişmekte olan piyasalar üzerine bir inceleme. BDDK Bankacılık ve Finansal Piyasalar Dergisi, 5(1), 73-96.
• Şengönül, A., Karadaş, H. A., & Koşaroğlu, Ş. M. (2018). Makroekonomik değişkenler ve finansal değişkenlerin uzun dönem ilişkisi: SVAR analizi. BDDK Bankacılık ve Finansal Piyasalar Dergisi, 12(1), 63-85.
• Shaw, E. S. (1973). Financial Deepening in Economic Development. New York: Oxford University Press
• Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250.
• TÜİK (2022). Türkiye İstatistik Kurumu, Enerji İstatistikleri.
• Yıldırım, E., & Kesikoglu, F. (2012). İthalat-İhracat-Döviz Kuru Bağımlılığı: Bootstrap ile Düzeltilmiş Nedensellik Testi Uygulaması. Ege Academic Review, 12(2), 137-148.