BİST-100’ü Etkileyen Reel Efektif Döviz Kuru, Cds, Politika Faizi Ve Reel Gsyih İlişkisinin Asimetrik Nedensellik Analizi
Author :
Abstract
Artan sermaye hareketliliği sonrası yaşanan küresel finansal krizin etkileri neredeyse tüm ülkelerde finansal kırgınlık yaratarak makroekonomik göstergelerde değişiklikler oluşturmuştur. Özellikle kırılgan ekonomiler gelişen bu süreçte daha çok etkilenmişlerdir. Kırılgan ekonomilerin içinde yer alan Türkiye açısından finansal kırılganlıklar ve dolayısıyla para politikaları göreceli olarak önemli hale gelmiştir. Bu nedenle finansal piyasalardan biri olan BİST-100’ün makroekonomik değişkenler karşısındaki duyarlılığı önem kazanmıştır.
Bu çalışmada Türkiye’de 2010:Q2-2021:Q3 dönemi BİST-100’e işlem gören hisse senedi fiyatlarına makroekonomik değişkenlerin; reel efektif döviz kuru, politika faiz oranı, kredi temerrüt takas primi(CDS) ve reel gayrisafi milli hasıla(GSYİH) etkisi; Hacker-Hatemi-J(2006) simetrik ve Hatemi-J(2012) asimetrik nedensellik analizleri ile araştırılmıştır. Araştırmanın sonucunda CDS ve reel GSYİH’dan BİST-100 endeksine doğru tek yönlü bir nedensellik ilişkisine rastlanmıştır. Makroekonomik değişkenlerin şoklarından Bist-100 endeksine doğru nedensel ilişkinin varlığında ise; reel efektif döviz kuru, reel GSYİH, politika faizi şoklarından BİST-100’e doğru tek yönlü bir nedensellik ilişkisi; CDS primi şoklarından BİST-100 endeksine doğru ise çift yönlü nedensellik ilişkisi bulunmuştur.
Keywords
Abstract
The effects of the global financial crisis experienced after the increased capital mobility created financial resentment in almost all countries and created changes in macroeconomic indicators. Particularly fragile economies have been more affected in this developing process. Financial fragilities and hence monetary policies have become relatively important for Turkey, which is one of the fragile economies. For this reason, the sensitivity of BIST-100, which is one of the financial markets, to macroeconomic variables has gained importance.
In this study, the macroeconomic variables of the stock prices traded in BIST-100 for the period 2010:Q2-2021:Q3 in Turkey; effect of real effective exchange rate, policy interest rate, credit default swap premium (CDS) and real gross national product (GDP); Hacker-Hatemi-J(2006) symmetric and Hatemi-J(2012) asymmetric causality analyzes were used. As a result of the research, a one-way causality relationship was found from CDS and real GDP to BIST-100 index. In the presence of a causal relationship from the shocks of macroeconomic variables to the Bist-100 index; a one-way causality relationship from real effective exchange rate, real GDP, policy rate shocks to BIST-100; Bidirectional causality relationship was found from CDS premium shocks to BIST-100 index.
Keywords
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