Kırılgan Beşli Ekonomilerinde Merkez Bankası Politika Faizi ve Enflasyon Hisse Senetlerini Nasıl Etkilemektedir? Panel PMG-ARDL Yaklaşımından Elde Edilen Bulgular

Yıl 2025, Cilt: 33 Sayı: 64, 287 - 297, 26.04.2025

Ali Osman Öztop

https://doi.org/10.17233/sosyoekonomi.2025.02.12

Öz

Bu çalışmada Kırılgan Beşli ekonomilerinde (Brezilya, Hindistan, Endonezya, Güney Afrika ve Türkiye) merkez bankası politika faizi, enflasyon ve borsa endeksi arasındaki dinamik ilişki Temmuz 2005 - Mart 2023 dönemine ait aylık veriler kullanılarak araştırılmıştır. Panel PMG-ARDL yaklaşımını kullanarak, enflasyonun borsa endeksleri üzerinde pozitif ve anlamlı bir etkisi olduğunu, merkez bankası politika faizlerinin ise önemli ve negatif bir etkisi olduğu tespit edilmiştir. Hata Düzeltme Modeli, değişkenler arasındaki eşbütünleşmeyi doğrulamakta ve Panel ARDL tahminlerinde kurulan uzun dönemli ilişkileri desteklemektedir. Hem enflasyon hem de merkez bankası politika faizleri, borsa endekslerinin önemli ortak Granger nedenleri olarak ortaya çıkmakta ve tahmin güçlerini vurgulamaktadır.

Anahtar Kelimeler

Kırılgan Beşli , Borsa , Makroekonomi , Panel ARDL

How Do Central Bank Policy Rates and Inflation Affect Stocks in Fragile-Five Economies? Evidence from Panel PMG-ARDL Approach

Öz

This study examines the dynamic relationship between the central bank policy rate, inflation, and stock exchange index in the Fragile Five economies (Brazil, India, Indonesia, South Africa, and Türkiye) using monthly data from July 2005 to March 2023. Employing the Panel PMG-ARDL approach, we find a positive and significant effect of inflation on stock exchange indices, while central bank policy rates exert a substantial and negative impact. The Error Correction Model confirms cointegration among the variables, corroborating the long-run relationships established in the Panel ARDL estimations. Both inflation and central bank policy rates emerge as significant joint Granger causes of stock exchange indices, highlighting their predictive power.

Anahtar Kelimeler

Fragile Economies , Stock Market , Macroeconomy , Panel ARDL

Kaynakça

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