BORSA İSTANBUL MALİ ENDEKSİ İLE MAKROEKONOMİK DEĞİŞKENLERİN ARDL SINIR TESTİ İLE ANALİZİ

Finansal Araştırmalar ve Çalışmalar Dergisi Pub Date : 2021-07-31 DOI:10.14784/marufacd.976614

S. Karaca, Tuğba Koyuncu, Mustafa Çevik

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Abstract

The amount and maturity of investments made in stocks traded in the financial index are affected by the current conjuncture and political factors as well as other macroeconomic factors such as interest, inflation and the exchange rate. In this context, the relationship between BIST Financial Index (XUMAL) and exchange rate, interest rate, inflation rate, gold prices, capacity utilization rate and industrial production index was investiga-ted. As a result of the ARDL boundary test conducted with 140 observation datasets consisting of monthly data from January 2007 to January 2019, the existence of long-term relationships between variables was determined. It was concluded that increases in interest rates and industrial production index had a positive effect on the Financial Index in the short and long term, and that the increase in the exchange rate had a negative effect on the financial index. According to the results of the VECM (vector error correction model) causality test, a two-way relationship between the industrial production index and the Financial Index was determined.

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在金融指数中交易的股票的投资金额和期限受当前形势和政治因素以及利率、通货膨胀和汇率等其他宏观经济因素的影响。在此背景下，研究了BIST金融指数(XUMAL)与汇率、利率、通货膨胀率、黄金价格、产能利用率和工业生产指数的关系。通过对2007年1月至2019年1月每月数据组成的140个观测数据集进行ARDL边界检验，确定变量之间存在长期关系。从短期和长期来看，利率和工业生产指数的上升对金融指数有积极的影响，而汇率的上升对金融指数有消极的影响。根据VECM(向量误差修正模型)因果检验的结果，确定了工业生产指数与金融指数之间的双向关系。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Finansal Araştırmalar ve Çalışmalar Dergisi

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