Abstract
In this study, econometric methods are used to investigate the causality relationships between key macroeconomic and financial indicators in Türkiye. The research focuses on the Türkiye economy and financial markets for the period 2011-2019. Monthly data of Borsa Istanbul (BIST-100), Investor Risk Appetite Index (RISE), exchange rate, inflation and interest rate are analyzed by using the Toda-Yamamoto causality test. Our findings show that there is one-way causality from BIST-100 index to inflation, exchange rate to inflation, investor risk appetite index to interest rate and BIST 100 index to investor risk appetite index. These results provide an understanding of the dynamic relationships between these indicators and provide implications for the Türkiye economy.
Publisher
Uluslararasi Ekonomi Isletme ve Politika Dergisi
Reference40 articles.
1. Akgül, İ., and Özdemir, S. (2018). Inflation-Interest Rate–Exchange Rate Dilemma: Turkish Reality During The GEG Program. Ege Academic Review, 18(1), 153-166.
2. Akkas, M. E. and Sayılgan, G. (2015). Housing Prices and Mortgage Interest Rate: Toda-Yamamoto Causality Test. Journal of Economics Finance and Accounting, 2(4), 572-583.
3. Alam, M. D. and Uddin, G. (2009). Relationship Between Interest Rate and Stock Price: Empirical Evidence from Developed and Developing Countries. International Journal of Business and Management, 4(3), 43-51.
4. Ansari, S. and Changle, R. (2015). A Study Measuring Impact of Major Currencies Exchange Rates On Nifty. (Eds. A. Bansal, Y. Phatak and R. K. Sharma) Quality Management Practices for Global Excellence (s. 3-8). New Delhi: Allied Publishers Pvt. Ltd.
5. Ayvaz, Ö. (2006). Döviz Kuru ve Hisse Senetleri Fiyatları Arasındaki Nedensellik İlişkisi. Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 8(2), 1-14.