Küresel Ekonomik Politik Belirsizliğin Türkiye’de BİST Endeksi ve Döviz Kuru Dalgalanmalarındaki Rolü: GARCH-MIDAS Yaklaşımı

Yıl 2023, Cilt: 13 Sayı: 2, 508 - 534, 30.06.2023

Yağmur Tokatlıoğlu

https://doi.org/10.18074/ckuiibfd.1286397

Öz

Oynaklık tahmini uygulayıcılar ve politika yapıcılar için önemli bir araçtır. Bu çalışmada, düşük ve yüksek frekanslı değişkenlerin aynı modelde yer almasına imkan tanıyan GARCH-MIDAS yöntemi kullanılmış ve GEPU Endeksinin Türkiye’de hisse senetleri fiyatları ve döviz kuru oynaklığını tahmin etmedeki rolünün ortaya çıkarılması hedeflenmiştir. Hisse senetleri fiyatlarını temsilen seçilmiş BİST Endeksleri ile ABD Dolar ve Euro kuru yüksek frekanslı bağımlı değişken ve her modelde düşük frekanslı bağımsız değişken olarak GEPU Endeksinin alındığı dokuz model kurulmuştur. Modellerinin hepsinde kısa dönem parametrelerinin istikrarlı ve kısa dönem oynaklıkların kalıcı olduğu; GEPU Endeksinin BİST100, BİST30, BİST Tüm-100, BİST Hizmet, BİST Mali ve BİST Sınai endekslerinde yer alan hisse senetleri fiyatları ile ABD Dolar ve Euro kurlarının uzun dönem oynaklığı üzerinde önemli bir pozitif etkisi olduğu sonucuna ulaşılmıştır. Küresel ekonomik-politik belirsizlikte yaşanan bir artış, BİST endekslerini ve döviz kurlarını değişken hale getirecektir. Bu durum, Türk Borsası ve döviz piyasası küresel ekonomik-siyasi olaylara entegre olduğunu göstermektedir.

Anahtar Kelimeler

BİST Endeksi, Döviz Kuru, GEPU Endeksi, Oynaklık Tahmini, GARCH-MIDAS

Kaynakça

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