An Econometric Analysis on the Relationship of Banks' Savings Deposits and Savings Participation Funds with Selected Macroeconomic and Financial Indicators

Onur Şeyranlıoğlu

Makale detayları

An Econometric Analysis on the Relationship of Banks' Savings Deposits and Savings Participation Funds with Selected Macroeconomic and Financial Indicators

Yazarlar:

Onur Şeyranlıoğlu

Yayıncı:

Alanya Alaaddin Keykubat Üniversitesi

Ana Başlıklar:

Finans

Dergi:

Alanya Akademik Bakış Vol.7 Issue 3, pp.1217-1239

Belge Tipi:

Makale

Yayın Tarihi:

9/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001299880

pISSN:

2651-4192

Anahtar kelimeler:

Özet:

 In this study, the relationship between savings deposits and savings participation fund accounts of banks in Turkey and selected macroeconomic and financial factors is analysed. According to the Johansen cointegration test findings, a long-run relationship was found between the series in both models. In the long-run VECM findings, it is found that exchange rate, inflation and gold prices have positive and statistically significant effects on the dependent variables. Exchange rate, inflation and gold prices are found to affect savings participation funds more. There is a statistically insignificant and negative relationship between the BIST-100 index and the dependent variables. There is a statistically significant and positive relationship between the interest rate and only savings deposits. Finally, the causality relationships between the series are tested by Toda-Yamamoto test.

 In this study, the relationship between savings deposits and savings participation fund accounts of banks in Turkey and selected macroeconomic and financial factors is analysed. According to the Johansen cointegration test findings, a long-run relationship was found between the series in both models. In the long-run VECM findings, it is found that exchange rate, inflation and gold prices have positive and statistically significant effects on the dependent variables. Exchange rate, inflation and gold prices are found to affect savings participation funds more. There is a statistically insignificant and negative relationship between the BIST-100 index and the dependent variables. There is a statistically significant and positive relationship between the interest rate and only savings deposits. Finally, the causality relationships between the series are tested by Toda-Yamamoto test.

 In this study, the relationship between savings deposits and savings participation fund accounts of banks in Turkey and selected macroeconomic and financial factors is analysed. According to the Johansen cointegration test findings, a long-run relationship was found between the series in both models. In the long-run VECM findings, it is found that exchange rate, inflation and gold prices have positive and statistically significant effects on the dependent variables. Exchange rate, inflation and gold prices are found to affect savings participation funds more. There is a statistically insignificant and negative relationship between the BIST-100 index and the dependent variables. There is a statistically significant and positive relationship between the interest rate and only savings deposits. Finally, the causality relationships between the series are tested by Toda-Yamamoto test.

 Bu araştırmada, Türkiyede bankaların tasarruf mevduatları ve tasarruf katılım fonları hesaplarının seçili makroekonomik ve finansal faktörler ile ilişkisi incelenmiştir. Johansen eşbütünleşme testi bulgularına göre her iki modelde seriler arasında uzun dönemli ilişki tespit edilmiştir. Uzun dönem VECM bulgularında, döviz kuru, enflasyon ve altın fiyatlarının bağımlı değişkenler üzerinde pozitif ve istatistiki açıdan anlamlı etkilerinin olduğu tespit edilmiştir. Döviz kuru, enflasyon ve altın fiyatlarının, tasarruf katılım fonlarını daha fazla etkilediği görülmüştür. BİST-100 endeksi ile bağımlı değişkenler arasında istatistiki açıdan anlamsız ve negatif bir ilişki tespit edilmiştir. Faiz oranı ile sadece tasarruf mevduatları arasında istatistiksel açıdan anlamlı ve pozitif bir ilişki söz konusudur. Son olarak seriler arasındaki nedensellik ilişkileri Toda-Yamamoto testi ile sınanmıştır.

Makale detayları

An Econometric Analysis on the Relationship of Banks' Savings Deposits and Savings Participation Funds with Selected Macroeconomic and Financial Indicators

Yazarlar:

Onur Şeyranlıoğlu

Yayıncı:

Alanya Alaaddin Keykubat Üniversitesi

Ana Başlıklar:

Finans

Dergi:

Alanya Akademik Bakış Vol.7 Issue 3, pp.1217-1239

Belge Tipi:

Makale

Yayın Tarihi:

9/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001299880

pISSN:

2651-4192

Savings Deposits

Savings Participation Funds

Johansen Cointegration Test

VECM

Toda-Yamamoto Causality TestTasarruf Mevduatı

Tasarruf Katılım Fonları

Johansen Eşbütünleşme Testi

VECM

Toda-Yamamoto Nedensellik Testi

Sayı

Makale detayları

Yazarlar: Onur Şeyranlıoğlu

Yayıncı: Alanya Alaaddin Keykubat Üniversitesi

Ana Başlıklar: Finans

Dergi: Alanya Akademik Bakış Vol.7 Issue 3, pp.1217-1239

Belge Tipi: Makale

Yayın Tarihi: 9/2023

Belge Dili: Türkçe

Document ID (Org No.): 2001299880

pISSN: 2651-4192

Sayı

Yazarlar:

Onur Şeyranlıoğlu

Yayıncı:

Alanya Alaaddin Keykubat Üniversitesi

Ana Başlıklar:

Finans

Dergi:

Alanya Akademik Bakış Vol.7 Issue 3, pp.1217-1239

Belge Tipi:

Makale

Yayın Tarihi:

9/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001299880

pISSN:

2651-4192