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AN EMPIRICAL ANALYSIS OF THE EFFECT OF CENTRAL BANK POLICY INTEREST DECISIONS ON EQUITY AND EXCHANGE RATE: EVIDENCE FROM TURKIYE

Yıl 2023, Sayı: 41, 50 - 63, 31.10.2023
https://doi.org/10.18092/ulikidince.1231285

Öz

The purpose of this study is to support the decisions of investors and contribute to the literature by analyzing whether the Central bank policy rate decisions in Türkiye influence the BIST 100 and USD/TL rates. Within the scope of the study, daily BIST 100 index and USD/TL rate closing values covering the date range 2015-2022 were used. ARCH-LM test and EGARCH) model were used in the analyses. Policy rate decisions were evaluated in three categories as “increase”, “decrease” and “fixed”. As a result of the study, in terms of BIST 100 (BIST100) index; It has been determined that the coefficients of the variables representing the policy rate cut and increase are significant at the 1% and 5% significance level. According to these results, it was seen that the BIST 100 index was affected by the policy rate hike and reduction decisions, but not by the decisions to keep it constant. When the variance equation in the study is examined, it is seen that negative shocks are more effective than positive shocks on BIST 100. In terms of the USD/TL rate index, which is also discussed in the same study; It has been seen that the coefficients of the variables representing policy rate decisions are not statistically significant. Accordingly, it has been concluded that the USD/TL index is not affected by the policy rate hikes, reductions and remaining constant decisions.

Kaynakça

  • AU. (2008). Assessing Regional Integration in Africa 2008: Towards Monetary and Financial Integration in Africa. United Nations Economic Commission for Africa.
  • Bağcı, E. (2019). Merkez Bankası Politika Faiz Oranı ve Döviz Kuru İlişkisi: Türkiye Örneği. Adıyaman Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, (31), 324-348. doi:10.14520/adyusbd.452196
  • Banz, R. W. (1981). The Relationship Between Return and Market Value of Common Stocks. Journal of Financial Economics, 9(1), 3-18. doi:10.1016/0304-405X(81)90018-0
  • Baykara, S. (2021). The Impact of Monetary Policy Decisions on Stock Prices: An Event Study. PressAcademia Procedia, 13(1), 52-56. doi:10.17261/Pressacademia.2021.1422
  • Borio, C. E. V. (1997). The Implementation of Monetary Policy in Industrial Countries: A Survey (BIS Economics Papers). Basle, Switzerland: Bank For International Settlements. Monetary And Economic Department.
  • Bozkurt, H. (2021). Türkiye’de Para Politikası-Döviz Kuru-Enflasyon İlişkisinin Ampirik Analizi. Ordu Üniversitesi Sosyal Bilimler Enstitüsü Sosyal Bilimler Araştırmaları Dergisi, 11(3), 981-994. doi:10.48146/odusobiad.1000589
  • Branch, B. ve Echevarria, D. P. (1991). The Impact of Bid‐Ask Prices on Market Anomalies. The Financial Review, 26(2), 249-268. doi:10.1111/j.1540-6288.1991.tb00380.x
  • Chang, C.-L. ve McAleer, M. (2017). The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH. Economics Letters, 161, 52-55. doi:10.1016/j.econlet.2017.09.017
  • Chen, M.-H. (2012). The Reaction of US Hospitality Stock Prices to Fed Policy Announcements. International Journal of Hospitality Management, 31(2), 395-398. doi:10.1016/j.ijhm.2011.06.014
  • Cook, T. ve Hahn, T. (1989). The Effect of Changes in The Federal Funds Rate Target on Market Interest Rates in the 1970s. Journal of Monetary Economics, 24(3), 331-351. doi:10.1016/0304-3932(89)90025-1
  • Dale, S. ve Haldane, A. G. (1998). Interest Rate Control in A Model of Monetary Policy. The Manchester School, 66(3), 354-375.
  • Dickey, D. A. ve Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American statistical association, 74(366a), 427-431.
  • Edelberg, W. ve Marshall, D. (1996). Monetary Policy Shocks and Long-Term Interest Rates. Economic Perspectives-Federal Reserve Bank of Chicago, 20, 2-17.
  • Enders, W. (2015). Applied Econometric Time Series (4. bs.). USA: John Wiley & Sons.
  • Fama, E. F. (1965). The Behavior of Stock-Market Prices. The Journal of Business, 38(1), 34-105.
  • Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383-417.
  • Fawley, B. W. ve Neely, C. J. (2014). The Evolution of Federal Reserve Policy and The Impact of Monetary Policy Surprises on Asset Prices. Federal Reserve Bank of St. Louis Review, 96(1), 73-109.
  • George, D. ve Mallery, P. (2010). SPSS For Windows Step by Step: A Simple Guide and Reference, 17.0 Update (10. bs.). Boston: Pearson.
  • Gökalp, B. T. (2017). Beklenen ve Beklenmeyen Para Politikası Kararlarının Hisse Senetleri Fiyatları Üzerindeki Etkileri. Akdeniz İİBF Dergisi, 17(35), 1-15. doi:10.25294/auiibfd.322603
  • Granger, C. W. ve Newbold, P. (1974). Spurious regressions in econometrics. Journal of econometrics, 2(2), 111-120.
  • İIbicioglu, M. ve Kapusuzoglu, A. (2012). An Empirical Analysis of Impact of Central Bank Policy Interest Rate on The Decisions of Share Investors: Evidence from Turkey. Procedia-Social and Behavioral Sciences, 62, 489-493. doi:10.1016/j.sbspro.2012.09.079
  • İncekara, A. ve Amanov, A. (2019). The Monetary Transmission Mechanism in Turkey. Procedia Computer Science, 158, 1088-1094. doi:10.1016/j.procs.2019.09.150
  • Jiang, Y. ve Wang, G. (2017). Monetary Policy Surprises and the Responses of Asset Prices: An Event Study Analysis. International Journal of Monetary Economics and Finance, Forthcoming.
  • Kuttner, K. N. (2001). Monetary Policy Surprises and Interest Rates: Evidence from The Fed Funds Futures Market. Journal of Monetary Economics, 47(3), 523-544. doi:10.1016/S0304-3932(01)00055-1
  • Li, H. ve Hong, Y. (2011). Financial Volatility Forecasting with Range-Based Autoregressive Volatility Model. Finance Research Letters, 8(2), 69-76. doi:10.1016/j.frl.2010.12.002
  • Lobo, B. J. (2002). Interest Rate Surprises and Stock Prices. Financial Review, 37(1), 73-91. doi:10.1111/1540-6288.00005
  • Manna, M., Pill, H. ve Quirós, G. (2001). The Eurosystem’s Operational Framework in The Context of The ECB’s Monetary Policy Strategy. International Finance, 4(1), 65-99. doi:10.1111/1468-2362.00066
  • Mishkin, F. S. (2007). Monetary Policy Strategy. Cambridge: MIT Press.
  • Nelson, D. B. (1990). ARCH Models as Diffusion Approximations. Journal of Econometrics, 45(1-2), 7-38. doi:10.1016/0304-4076(90)90092-8
  • Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica: Journal of The Econometric Society, 59(2), 347-370.
  • Phillips, P. C. ve Perron, P. (1988). Testing For a Unit Root in Time Series Regression. Biometrika, 75(2), 335-346.
  • Stotz, O. (2019). The Response of Equity Prices to Monetary Policy Announcements: Decomposing the Announcement Day Return into Cash-Flow News, Interest Rate News, And Risk Premium News. Journal of International Money and Finance, 99, 1-34. doi:10.1016/j.jimonfin.2019.102069
  • Tabachnick, B. G. ve Fidell, L. S. (2013). Using Multivariate Statistics. (6. bs.). Boston: Pearson Education.
  • Tetik, M. ve Ceylan, R. (2015). Faiz Koridoru Stratejisinin Hisse Senedi Fiyatlari ve Döviz Kuru Üzerine Etkisinin Incelenmesi/Analysis of the Effect of Interest Rate Corridor Strategy on Common Stock and Exchange Rate. Business and Economics Research Journal, 6(4), 55.
  • Thaler, R. H. (1988). Anomalies: The Winner’s Curse. Journal of Economic Perspectives, 2(1), 191-202.
  • Thorbecke, W. ve Alami, T. (1994). The Effect of Changes in The Federal Funds Rate Target on Stock Prices in the 1970s. Journal of Economics and Business, 46(1), 13-19. doi:10.1016/0148-6195(94)90018-3
  • Varvouzou, I. (2013). Capital Market Anomalies: Explained by Human’s Irrationality. Hamburg: Anchor Academic Publishing.
  • Yalcinkaya, Y. ve Tunali, H. (2019). 2017-2018 Döviz Kuru Türbülansı ve Türkiye Cumhuriyet Merkez Bankası’nın Yeni Para Politikası Araçları. Ekonomi Politika ve Finans Araştırmaları Dergisi, 4(1), 17-36. doi:10.30784/epfad.511381
  • Yıldırım, B. (2022). Merkez Bankası Faiz Kararlarının Finansal Piyasalara Etkisi. (Yayımlanmamış yüksek lisans tezi). Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü, Denizli.

MERKEZ BANKASI POLİTİKA FAİZİ KARARLARININ HİSSE SENETLERİ VE DÖVİZ KURU ÜZERİNDEKİ ETKİSİNİN AMPİRİK BİR ANALİZİ: TÜRKİYE'DEN KANITLAR

Yıl 2023, Sayı: 41, 50 - 63, 31.10.2023
https://doi.org/10.18092/ulikidince.1231285

Öz

Bu çalışmanın amacı, Türkiye'de Merkez bankası politika faizi kararlarının BİST 100 ve USD/TL kuru üzerinde etkisinin olup olmadığının analiz edilerek yatırımcı kararlarına destek olmak ve literatüre katkı sunmaktır. Çalışma kapsamında 2015-2022 tarih aralığını kapsayan günlük BİST 100 endeksi ve USD/TL kuru kapanış değerleri kullanılmıştır. Çalışmada ARCH-LM testi ve EGARCH) modeli kullanılarak analizler yapılmıştır. Politika faiz kararları “artış”, “azalış” ve “sabit” olmak üzere üç kategoride değerlendirilmiştir. Çalışma sonucunda BİST 100 (BIST100) endeksi açısından; politika faiz indirimini ve artırımı temsil eden değişkenlerin katsayılarının %1 ve %5 önem düzeyinde anlamlı olduğu tespit edilmiştir. Bu sonuçlara göre BİST 100 endeksinin politika faizi artırım ve indirim kararlarından etkilendiği, sabit tutma kararlarından ise etkilenmediği görülmüştür. Çalışmada yer alan varyans denklemi incelendiğinde negatif şokların BİST 100 üzerinde pozitif şoklara göre daha etkili olduğunu görülmüştür. Yine aynı çalışmada ele alınan USD/TL kuru endeksi açısından; politika faiz kararlarını temsil eden değişkenlerin katsayılarının istatistiki olarak anlamlı olmadığı görülmüştür. Bu durumda USD/TL endeksinin politika faizi artırım, indirim ve sabit kalması kararlarından etkilenmediği sonucuna ulaşılmıştır.

Kaynakça

  • AU. (2008). Assessing Regional Integration in Africa 2008: Towards Monetary and Financial Integration in Africa. United Nations Economic Commission for Africa.
  • Bağcı, E. (2019). Merkez Bankası Politika Faiz Oranı ve Döviz Kuru İlişkisi: Türkiye Örneği. Adıyaman Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, (31), 324-348. doi:10.14520/adyusbd.452196
  • Banz, R. W. (1981). The Relationship Between Return and Market Value of Common Stocks. Journal of Financial Economics, 9(1), 3-18. doi:10.1016/0304-405X(81)90018-0
  • Baykara, S. (2021). The Impact of Monetary Policy Decisions on Stock Prices: An Event Study. PressAcademia Procedia, 13(1), 52-56. doi:10.17261/Pressacademia.2021.1422
  • Borio, C. E. V. (1997). The Implementation of Monetary Policy in Industrial Countries: A Survey (BIS Economics Papers). Basle, Switzerland: Bank For International Settlements. Monetary And Economic Department.
  • Bozkurt, H. (2021). Türkiye’de Para Politikası-Döviz Kuru-Enflasyon İlişkisinin Ampirik Analizi. Ordu Üniversitesi Sosyal Bilimler Enstitüsü Sosyal Bilimler Araştırmaları Dergisi, 11(3), 981-994. doi:10.48146/odusobiad.1000589
  • Branch, B. ve Echevarria, D. P. (1991). The Impact of Bid‐Ask Prices on Market Anomalies. The Financial Review, 26(2), 249-268. doi:10.1111/j.1540-6288.1991.tb00380.x
  • Chang, C.-L. ve McAleer, M. (2017). The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH. Economics Letters, 161, 52-55. doi:10.1016/j.econlet.2017.09.017
  • Chen, M.-H. (2012). The Reaction of US Hospitality Stock Prices to Fed Policy Announcements. International Journal of Hospitality Management, 31(2), 395-398. doi:10.1016/j.ijhm.2011.06.014
  • Cook, T. ve Hahn, T. (1989). The Effect of Changes in The Federal Funds Rate Target on Market Interest Rates in the 1970s. Journal of Monetary Economics, 24(3), 331-351. doi:10.1016/0304-3932(89)90025-1
  • Dale, S. ve Haldane, A. G. (1998). Interest Rate Control in A Model of Monetary Policy. The Manchester School, 66(3), 354-375.
  • Dickey, D. A. ve Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American statistical association, 74(366a), 427-431.
  • Edelberg, W. ve Marshall, D. (1996). Monetary Policy Shocks and Long-Term Interest Rates. Economic Perspectives-Federal Reserve Bank of Chicago, 20, 2-17.
  • Enders, W. (2015). Applied Econometric Time Series (4. bs.). USA: John Wiley & Sons.
  • Fama, E. F. (1965). The Behavior of Stock-Market Prices. The Journal of Business, 38(1), 34-105.
  • Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383-417.
  • Fawley, B. W. ve Neely, C. J. (2014). The Evolution of Federal Reserve Policy and The Impact of Monetary Policy Surprises on Asset Prices. Federal Reserve Bank of St. Louis Review, 96(1), 73-109.
  • George, D. ve Mallery, P. (2010). SPSS For Windows Step by Step: A Simple Guide and Reference, 17.0 Update (10. bs.). Boston: Pearson.
  • Gökalp, B. T. (2017). Beklenen ve Beklenmeyen Para Politikası Kararlarının Hisse Senetleri Fiyatları Üzerindeki Etkileri. Akdeniz İİBF Dergisi, 17(35), 1-15. doi:10.25294/auiibfd.322603
  • Granger, C. W. ve Newbold, P. (1974). Spurious regressions in econometrics. Journal of econometrics, 2(2), 111-120.
  • İIbicioglu, M. ve Kapusuzoglu, A. (2012). An Empirical Analysis of Impact of Central Bank Policy Interest Rate on The Decisions of Share Investors: Evidence from Turkey. Procedia-Social and Behavioral Sciences, 62, 489-493. doi:10.1016/j.sbspro.2012.09.079
  • İncekara, A. ve Amanov, A. (2019). The Monetary Transmission Mechanism in Turkey. Procedia Computer Science, 158, 1088-1094. doi:10.1016/j.procs.2019.09.150
  • Jiang, Y. ve Wang, G. (2017). Monetary Policy Surprises and the Responses of Asset Prices: An Event Study Analysis. International Journal of Monetary Economics and Finance, Forthcoming.
  • Kuttner, K. N. (2001). Monetary Policy Surprises and Interest Rates: Evidence from The Fed Funds Futures Market. Journal of Monetary Economics, 47(3), 523-544. doi:10.1016/S0304-3932(01)00055-1
  • Li, H. ve Hong, Y. (2011). Financial Volatility Forecasting with Range-Based Autoregressive Volatility Model. Finance Research Letters, 8(2), 69-76. doi:10.1016/j.frl.2010.12.002
  • Lobo, B. J. (2002). Interest Rate Surprises and Stock Prices. Financial Review, 37(1), 73-91. doi:10.1111/1540-6288.00005
  • Manna, M., Pill, H. ve Quirós, G. (2001). The Eurosystem’s Operational Framework in The Context of The ECB’s Monetary Policy Strategy. International Finance, 4(1), 65-99. doi:10.1111/1468-2362.00066
  • Mishkin, F. S. (2007). Monetary Policy Strategy. Cambridge: MIT Press.
  • Nelson, D. B. (1990). ARCH Models as Diffusion Approximations. Journal of Econometrics, 45(1-2), 7-38. doi:10.1016/0304-4076(90)90092-8
  • Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica: Journal of The Econometric Society, 59(2), 347-370.
  • Phillips, P. C. ve Perron, P. (1988). Testing For a Unit Root in Time Series Regression. Biometrika, 75(2), 335-346.
  • Stotz, O. (2019). The Response of Equity Prices to Monetary Policy Announcements: Decomposing the Announcement Day Return into Cash-Flow News, Interest Rate News, And Risk Premium News. Journal of International Money and Finance, 99, 1-34. doi:10.1016/j.jimonfin.2019.102069
  • Tabachnick, B. G. ve Fidell, L. S. (2013). Using Multivariate Statistics. (6. bs.). Boston: Pearson Education.
  • Tetik, M. ve Ceylan, R. (2015). Faiz Koridoru Stratejisinin Hisse Senedi Fiyatlari ve Döviz Kuru Üzerine Etkisinin Incelenmesi/Analysis of the Effect of Interest Rate Corridor Strategy on Common Stock and Exchange Rate. Business and Economics Research Journal, 6(4), 55.
  • Thaler, R. H. (1988). Anomalies: The Winner’s Curse. Journal of Economic Perspectives, 2(1), 191-202.
  • Thorbecke, W. ve Alami, T. (1994). The Effect of Changes in The Federal Funds Rate Target on Stock Prices in the 1970s. Journal of Economics and Business, 46(1), 13-19. doi:10.1016/0148-6195(94)90018-3
  • Varvouzou, I. (2013). Capital Market Anomalies: Explained by Human’s Irrationality. Hamburg: Anchor Academic Publishing.
  • Yalcinkaya, Y. ve Tunali, H. (2019). 2017-2018 Döviz Kuru Türbülansı ve Türkiye Cumhuriyet Merkez Bankası’nın Yeni Para Politikası Araçları. Ekonomi Politika ve Finans Araştırmaları Dergisi, 4(1), 17-36. doi:10.30784/epfad.511381
  • Yıldırım, B. (2022). Merkez Bankası Faiz Kararlarının Finansal Piyasalara Etkisi. (Yayımlanmamış yüksek lisans tezi). Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü, Denizli.
Toplam 39 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Para Politikası
Bölüm MAKALELER
Yazarlar

Hasan Kazak 0000-0003-0699-5371

Erken Görünüm Tarihi 27 Ekim 2023
Yayımlanma Tarihi 31 Ekim 2023
Yayımlandığı Sayı Yıl 2023 Sayı: 41

Kaynak Göster

APA Kazak, H. (2023). MERKEZ BANKASI POLİTİKA FAİZİ KARARLARININ HİSSE SENETLERİ VE DÖVİZ KURU ÜZERİNDEKİ ETKİSİNİN AMPİRİK BİR ANALİZİ: TÜRKİYE’DEN KANITLAR. Uluslararası İktisadi Ve İdari İncelemeler Dergisi(41), 50-63. https://doi.org/10.18092/ulikidince.1231285


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