PARA POLİTİKASI KARARLARININ BIST100’E ETKİSİNİN YAPISAL VAR MODELİ İLE ANALİZİ

Year 2020, Volume: 5 Issue: 12, 141 - 155, 30.06.2020

Mortaza Ojaghlou , Özge Demirkale

https://doi.org/10.25204/iktisad.695741

Cited By: 1

Abstract

Bu çalışma Türkiye Cumhuriyeti Merkez Bankası para politikası kararlarının ve parasal değişkenlerin Borsa İstanbul üzerindeki uzun dönemli etkisini ölçmeyi amaçlamaktadır. Söz konusu amaca ulaşabilmek için HP filter (Hodrick–Prescott) ve Uzun Dönem (F matris) Yapısal VAR Modeli yöntemlerinden yararlanılmıştır. Analiz 2005Q04 ve 2019Q03 dönemlerini kapsamaktadır. Türkiye Cumhuriyeti Merkez Bankası para politikası kararlarının ve parasal değişkenlerin BIST100 üzerindeki etkisini ölçebilmek için M2 ve M3 para arzının dahil edildiği iki model kurulmuştur. Çalışmada kullanılan değişkenler M2, M3 para arzı, enflasyon ve kısa dönem faiz oranı, döviz kuru, S&P500 ve GDP değerleridir. Uzun Dönem Yapısal VAR modeli analize dahil edilen değişkenlere verilen ani şokların Borsa İstanbul’u ne yönde etkileyeceğini görmek amacıyla kullanılmıştır. Analizden elde edilen ampirik bulgular döviz kuru, para arzı (M2 ve M3), enflasyon ve faiz oranının BIST100 üzerinde ki etkilerinin kurulan iki modelde de negatif olduğu fakat GDP ve S&P etkisinin farklılık gösterdiği sonucuna ulaşılmıştır.

Keywords

Merkez Bankası, Para Politikası, BIST100, Uzun Dönem Yapısal VAR

STRUCTURAL VAR MODEL ANALYSIS OF THE IMPACT OF MONETARY POLICY DECISIONS ON BIST100

Abstract

This study aims to investigate the long-term impact of monetary policy decisions of the Central Bank of Republic of Turkey and monetary variables on Borsa Istanbul. To achieve this goal HP (Hodrick–Prescott) and long run (F matrix) of the Structured VAR (SVAR) model has been used in the study. The analysis covers the periods 2005Q04 and 2019Q03. In order to measure the impact of monetary policy of the Central Bank of the Republic of Turkey and monetary variables on BIST100, two models were applied which included the money supply of M2 and M3. The variables used in the study were M2, M3 money supply, inflation and short-term interest rate, exchange rate, S&P500 and GDP values. The Long Run Structural VAR model was used to see how the sudden shocks given to the variables - included in the analysis - would affect Borsa Istanbul. Empirical findings from the analysis the conclusion reached that the effects of exchange rate, money supply (M2 and M3), inflation and interest rate on BIST100 were negative in both applied models, but the effects of GDP and S&P were differed.

Keywords

Central Bank, Monetary Policy, BIST100, Long Run SVAR

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